BSOD – CTRL ALT DELETE – HALT – HELLO WORLD

When I read Paul Ford’s What Is CODE  – recently published in Bloomberg, it resonated with me enough to be inspired in writing just as abstract flash fiction blogs regarding our world of a Turing Machine based binary code, the influences of Apple’s “App Stores” flooding our ultra-mobile high tech market, which amplify the threats that are infiltrating the security of our financial institutions, and the means of which, devising an alternative trading platform that is completely coded unlike anything before, stands out as the priority in my life right now.

Is the threat worse or the massive proliferation of ultra-mobile technology dominating our lives and credit cards?

IF This, Then This…

Ford claims there are an aggregate collection of coders (programmers) around 18 million and growing fast.  He makes a poignant point that you cannot disregard (and I’ve known for a long time after having my computer’s hard drive hacked to death several times) that either programmers are running the world or the programs that they are coding are running the world.

sudo apt-get upgrade

If you stumble upon my blog and read the accounts of this fictionalized – flash written story – you’ll be introduced, rather covertly to the things you NEED to know in regards to developing a vital perspective that challenges your own subconscious bias between myth and fact.  Such as that people think Apple is a superior product.  It is not.

In fact, to date, Apple/Macintosh is a wanna be Android, given that baseline syntax used for all operating systems is Unix/Linux based.

The Apple Watch is only the means of which to keep its customer base tethered to having to have their other products to find satisfaction of functionality.  Blindly spending more money on something that is inferior reeks of the irrational behavior of a “skewed” debt driven economy that make Bitcoin more attractive each day we face another economic crisis.  Have you bought a Mycelium Wallet yet?

You can Ubuntu-ize your life to make it much easier to manage the “terminal codes” of which both Microsoft and Apple are terminally ill because the collective “they” programmers, are like all writers of anything – Asemic to Linguistic Tongues – they have to put their own spin on it, plagiarizing that which was the original Basic Word.

is pal: {x -|x }

Moreover, he Proof of Concept trading model: CODEXCELIAN can give you the robust absolute critical knowledge of understanding equity mechanisms.  2 + 2 = 4.

The Turing Test 

Notable physicist Roger Penrose pays the deepest respect to Alan Turing in his white paper on living  a computer driven lifestyle.  It is without a doubt a truth of which sadly one of the greatest minds of the 20th century was destroyed by homophobic zealots.

But then there is Ada Lovelace, Linda B. (UNIX coder) and others who pioneered the course of technology to what we know of it as managing, or at the very least obstructing through complications of Blue Screens of Death in our lives today.

This is how I arrived at the title of my story:

“WRITE HIM OFF – Z EQUALS ZERO”

We live in a world economy based on the Pareto Effect.  Our very own perception and/or motivation to claim our individual right to be selfish enough that it is the way to attain our construed dreams of fulfillment, are guided and  molded into this belief system that for one to gain, another must suffer.

This title reflect it, metaphorically, because story titles are suppose to emblematic of the story’s plot, and my story embraces humanity because I am a human, at least I was mere reflection of one the last time I looked in the mirror.

“Write Him Off” is to imply that the Turing’s Model no longer works, Wolfram, et al are in danger of becoming extinct, just as millions of earthly creatures have disappeared from our wanton gluttony of devouring the earth’s cyclic equilibrium of resources, thrusting our civilization into a quick descent of obscurity.

I mean no insult to Turing, yet it does bear fruit in the manner that he was initially mistreated and then through the course of computerizing society’s history our coders are evolving his mechanism.

“Z Equals Zero” equates into the Greek letter “Zeta”, (you already know what this represents) and Zero as the numerical binary code “0” that streamed down the computer monitors in the movie the Matrix – representing a Zen mindset of “the illusion of nothingness”.

Combined together you have a story plot about the ending of one computerized mindset era and the its code.

SERGM

Then there is the nonfictional aspect of my quantitative model (hint for you coders) that is ready to be programmed for API cloud access, is going to be posted here.  Had you read my article “SERGM” last year, you’d been introduced to a manner of critical thinking that, to my surprised gained me an invitation to join Interactive Brokers “think tank” on writing trading algorithms.

I declined because of the very fact that I would have been pushed into the traditional mainstream polluting belief systems (our synapses transfer data between neurotransmitters at 2 milliseconds, much too slow for CPU programmed high frequency trading programs – clocked at 2 microseconds) of which I am trying to break away from by listening to frequency tones on a daily basis.  Pineal gland activation is a primary function of exiting the Occidental paradigm.

Your own thought process right now is getting jumbled, as the presentation of my own stream of consciousness is skewing the internal perceptions of your limited time frame experiences in life as not equating – both mathematically and psychologically coherent.

We, as humans, can only evolve as fast as our minds can assimilate what we experience – and that comes in holographic fragmented fractal tiles of embedded memory – stored in at least three areas of our cranial machine.

Artificial Intelligence is seriously hampered by this fact as our own mental latency is transferred into the construction of a machine that is mathematically programmed to our cognitive means of critical thinking – running wildly through mega calculations that spin terabite hard drives out of control.

When the algo hits a snag, it halts and goes into the BSOD.   There more inefficiencies within our computer industry than there are common nonsensical approaches to solving the issues that we have already created with due course of conflict resolution.

This opacity causes risks. One study by a researcher at the University of Hawaii found that 88 percent of spreadsheets contain errors.  Paul Ford, What Is Coding?

I’m taking  you into “no man’s land” per se – and this part of it will take a quantum leap of faith on your part to try and remain connected, and focused with impeccable intention – the journey of Don Juan in Carlos Castaneda, and beyond the mouse pointing cursory browsing attention span of three seconds.

In conjunction to this blog site – I’ll be developing a website and YouTube videos that hopefully, once I get the “bugs” fixed will be live Excel streaming (making sure I’ve removed the 88 errors) so you can follow my gleamed equity and option trading signals.

Entropy and Inert Code

It is my intent to introduce you to the future of trading platforms – both through fictional story telling and the actual reality of Lilliputian mechanisms based on abstract constructs, i.e. quasicrystal polyhedral geometrical strategic complex systems embedded with adaptive agent subroutine calibrations that reveal the “pings” of HFT’s shark bait offers.

Be aware that things will be getting “thick” to make you “think” in solving what I will be making more puzzling by not filling in all tilling along the way  That’s your job to exercise your gray matter between your ears.

Finally, I am NOT the guy in the khaki jacket.

Stay tuned, the best is yet to come.  I might even get a Noble Prize.

ADOBE SNAPSHOT -CALLS AND PUTS OUTCOMES

adbe-screenshot-domain-date-time

In the moment of time we have during execution of market performance – data flowing endlessly from all nodal points perscribed by our algorithms; here is ADOBE (NASDAQ:ADBE) – artistically designed and/or engineered using our CXQ Excel model to be calibrated with Marcoaxis – the Buy or Sell graphics.

Sharpening the data’s focus in this case causes a slight distraction – to the viewer’s inner eye – But the essential kernel of information to which we direct your attention is the Call linear/logistic tracking blue line that rose away from the Put – up above it’s placement, simply implemented by the spreadsheet’s functionality.

The pivotal inputs are Entry Price, Ask and Bid.

We earned about $372 (not including commissions) on the Long Call (OCT Strike 105; Premium Limit Order Entry $2.14. (Put Strike was 94 with a Limit Entry at $1.10.)

Volatility – DTE:  Call Delta rose to 0.724; Put -0.036.  Prob OTM for the Call dropped to 0.2929 while the Put Prob OTM rose to 0.9573.

Trade date was 9/8/2016.

Next up – COSTCO September 28th.

We have a Limit Order for a Long Call on COST OCT (hoping for more volatility given the drop in price over the past few months. Limit Order Entry $152.80 with a target to $157.34 before the earnings report in six days. (Just within the 7 day cycle.)

As with all our posts they are strictly educational. We are grateful for Macroaxis’ assistance in providing their robust Financial Analytics. (The graph posted on the right.

YIN/YANG – DHARMA – TAO: TRADING IN THE NOOSPHERE

TAO
TRADING IS DUALITY – THE BALANCE OF YIN & YANG

I want to express gratitude to the person who was critical in a harsh response to my posting this sacred symbol in a post related to Forex trading.  This graphic is one of my own modifications.  Did you notice there are two separate circles with the “S” shape inside, separating the white from black, and in the center the “seed” as it is called?

“What in the hell does that have to do with trading,” the irritated person remarked in a forum.

Well, let’s explore this a little further, in simple terms and use a metaphor to help your mind’s resistance with another example.

Correct perception of the market analytics will pay off.  More likely biased thinking will not.  In part, this is because, quite simply we have two parties seeking to profit from the other in an investment transaction.  Understanding above all, that there is a duality in play when you are trading the market – one is seeking to dominate the other into a subordinate position so as to take the profit.

The “Bid and Ask” logistics is driven by the level of net shares/orders that flow into either side, thus setting a new price that tends to project a trend, either Bullish or Bearish.  Whether one trades only assets and/or combines this with options (Call and Puts) the “duality” exists over the price move.  However, there is a dynamic phenomenon in play that becomes the Quantum Field.

Or in another way, it reflects the “nooshpere” taken from the writings of  Pierre Teilhard de Chardin from Cosmogenesis.  Along with Vladimir Vernadsky (Paris, 1926) they foresaw that  “..at the root of the primary definition of noosphere is a dual perception: that life on Earth is a unity constituting a whole system.

Okay, the reason I commented on this, is the importance of the last comment: “…a unity constituting a whole system.”

One may not see a metaphysical aspect to Wall Street, yet it is quite embedded during the trading session, because it is based on human  behavior (including the algorithmic machines that are programmed by humans).  This “behavior” is the influence from many schools of thought, traditional to Quantum psychics.   Still, the fundamentals remain: volatility and equilibrium.

So, during intraday trading we have at least two parties, taking the opposite side of the “bet”, in hopes of taking the profit.  During this stage, the market is not balanced, and can become more so if there is a sell off or an “All In” market.  Yet, given the laws of physics, the volatility eventually creates an equilibrium between the two prices – such as a Delta equilateral outcome between a Call and Put spread when Implied Volatility drives both side’s premiums up.

This is the juncture of Yin/Yang – the balance.

Yin: represents the negative, the passive feminine principle in nature.

Yang: is positive, representing the active, masculine principle in nature.

Yin/Yang: presented together divides the creative fusion of the two cosmic forces; the “S”-line.  Within each contain a “seed” of the other.

Dichotomous judgments are perceptual, they are not real.  Duality equates to “profit” when you can grasp the conceptual aspects of its empowerment in all things.

Foreign Currency trading involves a dominate and subordinate currency; with respect to derivatives we consider the Put-Call Parity that exemplifies the dynamic system that two aspects empower the equilibrium of Oneness.

My critic said, “That’s stupid,” signing off with the punctuation  of pontifically profound pointlessness.

Really?  Once we reach the balance between Yin and Yang, we have entered into market’s dharma (noosphere).  That translates into a trader being “in the zone” and using their intuitiveness as a natural means of analytical assessment, just as if they were making a peanut butter and jelly sandwich.

It’s about “evolving” one’s self into someone they want to be:  A wealth builder.

Dharma has multiple interpretations and symbolic representations.  For example, the ubiquitous weight scale that symbolizes “equal justice for all” (really?) or the New York City Ornamental Iron Workers logo; I can get behind that one.

Then why not the Bull and Bear?  Dharma conveys  a conceptual scope “to hold, maintain, keep”.   It is ironic that Yin and Yang merge with the dharma “that remains constant” is the equilibrium of our market exchanges striving to maintain throughout a trading session, and more over in the macro scale of global economics.   The complex influx of trader’s orders, institutional orders, market maker’s price setting (there’s another story regarding that” and High Frequency Trading.

The summation of Yin/Yang and Dharma brings us to the Tao;   that contains 10,000 things. This surpasses the Internet of Things and only though the Quantum Frontier can realization be attained.  Hmmm, is there an app for this?

In conclusion; my mapping optically with symbolic meaning of our consciousness, the way we think, the duality of negative versus positive, that translates into our individual dharma, eventually leads us to the Tao:  The Profit of 10,000 to the tenth power of prosperity.

Be humble.  And know that no one is any better anyone else. It’s just a matter of getting all the “noise” and “hype” out of the way so that you can really, really tune into what the market’s telling you – and I guarantee you, you’ll find that gem for the Universe wants you to prosper.

Understanding the human dynamics makes attaining profits with effortless effort.

Peace.

Skokie

 

snapshot-2-9-8-2016-3-14-pm-2
Codexquant

Graphics designs are the sole property of Richard Kambak. The second graphic (Earth’s Noosphere) was created by using “Alive” app (Logo appears in right lower corner).  To post, attribution is required.  Any contextual use  that is posted on the Internet with the intent to be malicious or defamatory towards the author is strictly prohibited.

ADOBE PRE-EARNINGS OPTION TRADES -SUMMARY

EQUITY in this ledger: Adobe (NASDAQ:ADBE)

Introducing our move toward a “block” “chain” model using Excel for baseline configuration of input/output parameters regarding Option Trading.

  1. Block: CODEX.  C-RTN, Spread (Strangle), “BUY” (Calculated signal),  Profit/Loss
  2. Excel Layout – Call/Put Workbook Inputs
  3. Determining Option Chain, Strike Price, Premium correlations
  4. Macroaxis Finance:  ADBE Recommendation Graphic

Taking into account the opportunity to make profits from the earnings volatility, we review out context for the pre-earnings report for the asset Adobe (NASDAQ: ADBE).

  1. CODEX/C-RTN BLOCK:  This is a signal based calculation that takes into account both underlying price ranges and statistical computations.  It is sensitive to price move, just as Beta, even more so, and provides a Forward-Looking outcome.  When CODEX is positive than the underlying price trend is Bullish.  When it moves into the negative, the underlying price trend is Bearish.  The max number either way is +1.000 or -1.000.   C-RTN represents a modification of monetized cyclic period to determine the trend, and a calibrated signal “BUY” that is based on a Logic formula.   When the Codex and C-RTN are in conflict, meaning they don’t complement either positive or negative outputs, than there is a risk averse alert for entry.
  2. The CALL/PUT “BLOCK”  aligns the correlated data inputs provided to track the variances between elements.   The Excel layout is flexible so that the elements can be arranged in accordance to the option trader’s hypothesis.  We use “Thinkorswim” to export the selected option chain(s) that is pasted into adjacent spreadsheet.  Then the relevant data is cut and pasted into this format.   What is not shown is the DTE  (Time Decay) entry price BLOCK that provides the “limit” order price in relationship to the traders spread.  You’ll notice the Entry Price input where, in this case, we went Out-of-the-Money (OTM) for both Long Call/Put.  Typically, we prefer a comparable premium, yet our strategy for this trade was short term, capitalizing on volatility and time decay.
  3. BLOCK ARCHITECTURE for this layout is meant to be an optical reference; both for mental entrainment by seeing the correlation of the underlying price move to the Options inputs, and providing an orientation to see time decay of the premiums in real time.

Our terminology has changed over many times over the years.  Conceptually, it’s basically all the same:  building a node of dependent statistical input data that is available to be “chained” or “linked” or “neural” to other “clustered” independent data that is incorporated into various Excel formulas.  We like the flexibility of using Excel as it gives us many options for simulating outcomes and most importantly Proof of Concept.

This ledger publication is extremely simplified in presentation.  As we present more of our own trades and the context behind them, things will become sophisticated and in-depth.

 

CODEX C-RTN P/L
0.07804 -0.0162 $72.00
STRANGLE BUY Signal
CALL PUT
Month 16 SEP 16 (4) 100
Trade Date 09/12/16 09/12/16
Strike 100 95
Premium 3.05 2.13
Ask 3.10 2.16
Entry Price 3.900 0.920
Delta 0.4682 -0.3235
Vega 0.1284 0.116
Prob OTM 0.5679 0.6407
Volume 130 32
Implied Vol 0.2791 0.2982
Gamma 0.0441 0.0373
Contracts 200 200
Close $610.00 $432.00
Open $780.00 $184.00
Profit/Loss -$170.00 $242.00

Macroaxis Financial Analytics provides a complete breakdown of relative analytical elements used by portfolio managers.   We use Macroaxis for several reasons; in this case we wanted to see what the overall market sentiment was for Adobe prior to their earnings release.  We’ll incorporate this feedback into making a case for leaning into either the Call or Put.

screenshot-www-macroaxis-com-2016-09-12-18-09-50

GRTS Market Analysis and Codexquant are meant to present educational thesis’ to provide insightful means of attaining impartial investing decisions.  The take away, moreover is an orientation to confront “our” bias and blind spots when it comes to the truth.  Traditional means are quickly being replaced by highly advanced technological devices and programs.  If we can provide one with a new insight of what’s valid in revising the way we assess our global economy, than we’ve achieved our purpose.

NBBO: THE DIRECT FEED RACE TO LIGHT SPEED EXECUTIONS

Forex Dealing Break Down (1)  Click on the link to you to open the “pdf” graphic of trade execution flow exchange comparisons between retail traders and High Frequency Trading algorithmic “machine-to-machine” trade executions.

How Slow is the NBBO?

A Comparison with Direct Exchange Feeds

the oracle machine”

Thirty percent of Wall Street’s intraday liquidity is transformed through price formation acceleration, explicitly influenced by high frequency trading thriving in millions of dollars of profits by exploiting the exchange’s trade execution “latency” electronically sent over the Internet ot capture the “best price” trade executions for the consumer trader.

To be efficiently profitable as a predator on incoming bid/ask trades, the HFT servers are set up is co-located server near an exchange/electronic communications network premise and plugged into a ultra-fast bandwidth. Through network stacking, messaging protocols and raw market data processing.

Though the financial media claims HFT brings greater “liquidity” to the market, in reality it is causing price dislocation for the consumer day trader. For example, the NP-Hard can be used as source code applied to the arbitrage decision problem presented by the variance of the bid and ask spread among the exchanges data flows. Here is where the “investors” and “brokers” can virtually integrate the exchanges through their computational technology without “transparency” to the consumer trader.

clock-rate – faster to market”

Likening the linear exchanges to a convex polyhedral geometric, the functional aspect of the HFT algorithm parameter compilers are encoded into proprietary computational complexity that solves the “problem” through polynomial time within the concrete semantics of an oracle machine or “black box”.

The HFT algorithms must be able to reconfigure frequently in a compute-intensive application to efficiently respond to public data order flows, thus HFT platforms have utilized custom-optimized “field programmable gate array” (FPGA) integrated circuits.

Contemporary (FPGA) optimize I/O speed and allow for programmable logic blocks to be wired together. This is key to minimizing data flow through the bandwidth to the exchange. Though time consuming to program these “logic blocks” can be configured to perform complex combination functions.

Moreover, as mentioned above, soft processor cores implemented with FPGA logic are equally robust. Achieving the ability to be re-programmable at “run time” is leading the FinTech pack with these HFT systems; including non-FPGA architectures (

ref: Redline Trading Sources).

Today, FPGAs are being replaced with an “off-the-shelf” processor (Stretch S5000).

Software-configurations based on “clock rate”, such as the Stretch S5000 are an adaptive hybrid of the FPGA. Having software that is configurable within the processor associated with the general-purpose processor (GPPs) and DSPs and application specific processors (ASPs), serving parallelism and flexibility with FPGAs, programmable logic that is completely embedded inside the processor architecture.

Moreover, the Stretch S5000’s patented Instruction Set Extension Fabric (ISEF) is a game changer in the world of being able to program a processor for compute-intensive applications. The sky is the limit now for HFT to overcome and exploit exchange trade executions clock time.

ping bugs”

The “ping” comes from active sonar terminology so named by Mike Muuss in 1983. It is the means of sending a pulse to a target host across the Internet Protocol (IP) network. In consideration of market exchanges, the “ping” represents a “price prob” activated by an application programming interface (API) plugged into a specific market exchange.

Consequently, by using the “ping” proprietary data feeds (expensive subscription access) have a tremendous advantage over “public” (consumer) consolidated data feeds in consideration of trade execution latency. Even though The National Best Bid and Offer (NBBO) is meant to “halt” price dislocations (latency), but it has shown otherwise.

In light of the highly advanced computational algorithm trading systems such as value weighted average price (VWAP) and weighted average price (TWAP), HFT algorithms maintain an informational advantage by remaining constantly plugged into the major exchanges (listed below) to use latency issues to their advantage.

It is no longer the case that the price shown upon trade execution will be the fill price. Maintaining NBBO “best price” is undermined even more are inter-market sweep orders (ISO) and non-transparent dark pools that send a trade execution to multiple exchanges for instantaneous execution, disregarding the “best price” regulation. This is allowed by the SEC.

13 exchanges and nowhere to go”

Wall Street has two trading systems. Registered exchanges and alternative trading systems. The exchanges are regulated to provide the “best price” through the consolidated quotation system (CQS), and must file any rule changes with the Security and Exchange Commission(SEC).

The electronic communication networks (ECNs) and dark pools, do not provide CQS, but are mandated to match NBBO price quotations. In 2007, the Securities and Exchange Commission established Regulation National Market System (Reg NMS) to protect consumer traders from improprieties of the “best price” execution.

Reg NMS requires the exchanges to provide the quotes to the primary exchanges, such as NYSE. Data that is collected under the Security Information Processors (SIPs) for the NYSE and NASDAQ publish the National Best Bid and Offer (NBBO). Consequently, brokerage houses are required by Reg NMS to give consumer traders the best price at execution.

Out of the 13 exchanges accessed for market trading, the NASDAQ, NYSE, NYSE ARCA, BATS BZX, Direct Edge EDGX and EDGA have approximately eighty-eight percent of the lion’s share in total volumes. Dark pool trades, that are non-transparent account for more than 12% of the trading volume.

 

the larger the latency, the greater the uncertainty”

For consumer traders, this short duration of dislocation of price, becomes costly in commissions while bolstering optimal profits for HFTs. Empirical data comparison from examination of publicly traded market data and data sold directly from exchanges (tapped by High Frequency Trading algorithms) proves the fact that the “latency” of the consumer’s executed trade is picked off by HFTs, monitoring the data flow with direct access to the exchanges.

In one control study between the public NBBO and a synthetic NBBO (Redline Trading Source using a software programmed processor similar to the Stretch S5000) turned up 54,734 price dislocations; tabulated within 6.5 hours of the trading session with the equity Apple (AAPL).

It is estimated that price dislocations happened every 2.34 seconds with the latency lasting as long as 1.5 milliseconds. Consumer trades went to the wrong market exchange 0.175% of the time. The average price dislocation was $0.034.

 

MEASURE YOUR COMPUTER’S TRADE EXECUTION LATENCY

http://www.dukascopy.com/fxcomm/fx-article-contest/?How-To-Measure-The-Latency=&action=read&id=948&language=en

The “packet-switched” network measured either “one-way” or “round trip” is being exploited as a “fixed game”.

 

CODEX QBT COMPUTATIONAL EQUATION INPUTS FOR EXCEL

CODEX.QBT – MATRIX
STATISTICAL PARAMETRIC 
EXCEL SEQUENCE EQUATIONS AND COMPUTATIONS

INPUT DATA MATRIX

Symbol

Impl Vol

%Change

Close

Open

AG

0.61

0.03

10.8

11.06

STRIKE CALL

INTRINSIC

C PROB OTM

C PREMIUM $

10.00

0.82

0.34

1.00

1.20

0.04

BIDU

46.39%

2.19%

170.14

172.38

STRIKE CALL

INTRINSIC

C PROB OTM

C PREMIUM $

175

5.11

0.56

8.2

INTRINSIC IS THE DIFFERENCE BETWEEN THE UNDERLYING AND STRIKE PRICE FOR CALL CALL OPTIONS;

PUT OPTIONS IS THE DIFFERENCE BETWEEN THE STRIKE PRICE AND THE UNDERLYING

TGT: =SUM(HIGH PRICE-LOW PRICE)+OPEN

TGT 2: =SUM(OPEN PRICE – CLOSE PRICE)+LAST PRICE

INTRINSIC VALUE IS THE ACTUAL VALUE BASED ON AN UNDERLYING PERCEPTION OF ITS TRUE VALUE, BOTH TANGIBLE AND INTANGIBLE.

TGT

TGT

RANGE

11.59

11.42

0.79

P PROB OTM

P PREMIUM $

IV POP

0.65

0.35

0.48

0.04

CALL IMPLIED VOLATILITY- PROBABILITY OF PROFIT

PUT IMPLIED VOLATILITY – PROBABILITY OF PROFIT

CALL IV POP: =SUM(STDEV IV – CLOSE)

PUT IV POP: = SUM(STDEV IV – PUT PREMIUM

C IV

C HV

OPT IV

STDEV IV

0.57

0.45

0.61

0.833

STANDARD DEVIATION EQUATION FOR IMPLIED VOLATILITY

=STDEV(C IV; C HV; OPT IV)*10

DELTA

THETA

GAMMA

VEGA

0.710

-0.009

0.230

0.010

-0.290

-0.009

0.032

0.088

CASH DELTA

= DELTA* UNDERLYING PRICE * POSITION SIZE

THETA = 10,000 * -1 = -100;

MEASURE OF TIME DECAY FOR A ONE DAY TIME HORIZON;

EXTRAPOLATED OUT TO EXPIRATION

PROFIT/LOSS

CASH DELTA * SPOT CHANGE IN %; (CASH GAMMA * SPOT CHANGE IN %)/2;

THETA*NUMBER OF DAYS (USUALLY 1 EXCEPT FOR W/E;

VEGA*CHANGE IN IV

Q & P WORLD

(QUANTITATIVE – OPTIONS; PORTFOLIO – EQUITIES)

P ACTION

1.55

PRICE ACTION IS ESSENTIAL IN COMPARISON TO NET CHANGE. IT ACTS AS THE LEADING INDICATOR FOR INTRADAY PRICE MOVEMENT DIRECTION/REVERSAL

=SUM((LAST PRICE-OPEN PRICE)+(LAST PRICE-HIGH PRICE)+(LAST PRICE-LOW PRICE))/1.8

NET/PRICE MOVEMENT RATIO

=SUM(NET CHANGE/PRICE ACTION)

HV

STDEV

IV

0.91

0.96

1.17

HV (HISTORICAL VOLATILITY) IS COMPARED TO THE PRICE RANGE STANDARD DEVIATION AND THE IMPLIED VOLATILITY THAT SHOWS IF THE ASSET’S PRICE MOVEMENT IS VOLATILE – MEANING THE OPTION PREMIUMS WILL BE HIGHLY ACTIVE

ALPHA

BETA

EXP RTNS

-0.42

0.31

0.08

ALPHA:

=SUM(RISK FREE RATE)+(EXP RETURN-BENCHMARK)*(STDEV RETURN/STDEV MARK)

BETA:

=SQRT(EXP RETURNS)/ABS(HV)

IF BETA IS “2” IT WILL BE EXPECTED TO SIGNIFICALLY OUTPERFORM IF MARKET IS GOING UP, AND SIGNIFICANTLY UNDERPERFORM IF MARKET IS GOING DOWN.

IF BETA IS “1” THEN ASSET AND MARKET WILL GENERATE SIMILAR RETURNS OVER TIME

EXP RETURNS: =STDEV(IV;HV)*SQRT(DAYS/252)

BENCH: =SUM(CLOSE PRICE;OPENPRICE;LAST PRICE; HIGH PRICE; LOW PRICE)/5*0.01

STDEV RETURNS: =STDEV(PRICE ACTION;IV)

STDEV MARK: =STDEV(STDEV;BENCH)

BENCH

STDEV RTNS

STDEV MARK

0.64

0.27

0.23

LIST FOR BLACK SCHOLES CALCULATION

RISK FREE

0.25

 

EXP MOVE

SD SQRT

1.87

0.77

EXP MOVE:

=LN(PIVOT PRICE)*0.45

SD SQRT:

=STDEV(OPEN PRICE;LAST PRICE)*SQRT(EXP MOVE)

LOG

EXP

0.88

2.42

NATURAL LOG:

=LN(EXP MOVE/SD SQRT)

EXPONENTIAL:

=EXP(LOG)

SKEW

DAILY %

0.56

0.45

SKEW:

=SKEW(HV;STDEV;IV)/EXPONENTIAL

ALTERNATIVE:

=SKEW(STDEV;SQRT SD;LOG;EXP)

DAILY %:

=SUM((PRICE ACTION)*0.1/SQRT(DAYS/252)

ADD: MEAN AND VARIANCE

PIVOT

64.01

PIVOT PRICE:

=AVERAGE(PRICE SERIES)

OR

=AVERAGE(OPEN;LAST;HIGH;LOW PRICES)

CHG %

1.01%

PIVOT PRICE:

=AVERAGE(PRICE SERIES)

OR

=AVERAGE(OPEN;LAST;HIGH;LOW PRICES)

CHG %

1.01%

=SUM(HIGH PRICE TGT-HIGH PRICE)*1/HIGH PRICE TGT

HIGH

66.07

=SUM(OPEN+EXPONENTIAL)

LOW

65.29

=SUM(HIGH PRICE TARGET-SD SQRT)

INT

EXT

#N/A

#N/A

INT: =SUM(LAST PRICE – STDEV)+IV

EXT: =SUM(LAST PRICE – INTRINSIC)

STDEV

#DIV/0!

=STDEV(CLOSE;OPEN;LAST PRICE SERIES)

SV

IV

VOL

#N/A

#N/A

#DIV/0!

STATISTICAL VOLATILITY

=AVEDEV(CLOSE;OPEN;LAST;HIGH;LOW)^0.314

TO FIND IMPLIED VOLATILITY RANK (INTRADAY)

=STDEV(OPEN, HIGH, LOW, LAST PRICE RANGE)

THEN,

=SQRT(STDEV)

A-B

#N/A

=SUM(ASK-BID)/VOLUME

RULE:

WHEN SV, IV, VOL ARE NEAR NEUTRAL THIS IS A BUY SIGNAL –

STDEV SIGNALS AN ANOMALY IF IT LOOKS LIKE AN OUTLIER TO THE TRIAD.

GROWTH

VALUE

SD SQRT

#DIV/0!

#DIV/0!

#DIV/0!

GROWTH:

=GROWTH(LAST PRICE; HIGH PRICE;SV;IV;MIN+TIME VAUE)+MIN PRICE TGT

VALUE:

=SUM(GROWTH-LAST PRICE)

SD SQRT:

=STDEV(IV;VOL)*SQRT(DAYS/252)

ALTERNATE:

=STDEV(ROR;ROC)*SQRT(DAYS/252)

=STDEV(HIGH PRICE;LOW PRICE)*SQRT(DAYS/252)

MIN + TV

#N/A

TIME VALUE

=SUM(MIN+EXTRINSIC)

INDEX

WEIGHT

#N/A

#DIV/0!

INDEX:

=AVEDEV(PRICE SERIES)/5

WEIGHT:

=SUMPRODUCT(STDEV;SV;IV)*PRICE ACTION

ROR

ROC

#N/A

#DIV/0!

ROR:

=SUM(HIGH PRICE-LOW PRICE)/ABS(HIGH)

ROC:

=STDEV(HIGH;LOW)*SQRT(DAYS/252)

MEAN

#N/A

MEAN

=MEDIAN(OPEN PRICE;LAST PRICE;HIGH PRICE;LOW PRICE)

P TGT

EXP MOVE

#N/A

#N/A

PRICE TARGET:

=SUM(LAST+PRICE ACTION)

EXPONENTIAL MOVE:

=(PRICE INDEX)*45/252)

CAN VARY TIME FRAME USING 1/16TH FRACTIONAL

VAR

KURT

0

#DIV/0!

VARIANCE:

=VARP(OPENPRICE TO LOW PRICE SERIES)

KURTOSIS:

=KURT(SV;IV;ROC;STDEV)

ALPHA

BETA

RSQ

#N/A

#DIV/0!

#N/A

ALPHA:

=SUM(IV)+(PRICE ACTION – STDEV)*(INDEX/WEIGHT)

BETA:

=FTEST(IV;NET CHANGE; PRICE INDEX)

PEARSON:

=PEARSON(HIGH, LOW, CURRENT PRICE; NET CHANGE, PRICE ACTION, PRICE INDEX)

(Disclaimer:  The data presented is intentionally provided for educational purposes only.  We are not making any recommendations nor implying that this statistical set up is a proven format for making profitable trades.  Our intent is to expose traders to the combinations of scenarios regarding Excel equation inputs and the means of calibration by making a modular layout of specific “family” statistical inputs that can be supportive for other modular bins.)

Peace.

Rich

CODING THE EXCEL SPREADSHEET – STRANGLES AND STRADDLES

Our new model brand logo is <codex.qbt> of which you’re going to see more of in the future as our signature icon.

It is baseline defined as a “code” for programming of which eventually moves from binary code toward a “Qubit” superposition quantum program language.

We are using Excel as a baseline platform in determining Proof of Concept of parameters inputs correlated to equations and networking calibrations.

We have posted our latest video showing the simple sequencing of data input from the Thinkorswim (TOS) platform into Excel for the Strangles and Straddles template.

Click here to view the video on setting up our options template spreadsheet.

When it comes to trading “Strangles” or “Straddle” spreads, there few quantifiable “optics” that show a comparison of movement between the Call and Put premiums, calibrated to your “entry price” to give you enough insight to entrain your cognitive decision making towards more profitability.

Nor are there calibrated Excel spreadsheets that give you flexibility with defined ranges of which you can “code” yourself though the Open Source format.

We developed this spreadsheet template for traders to use in simulating their thesis and/or in executing actual trades to track the profit/loss ratio.

It is meant for the novice to have access to an introductory process, so complexity is minimized.

The optics reflect to the user just exactly how the choice of strike price is affected comparatively to the underlying assets price move, volatility and option chain month choice.

There are so many scenarios with option spreads that it takes time to learn which strategy works best under specific market performance conditions.

We are all guilty in trading losses through our stubborn “confirmation bias”‘ so these templates are meant to be “impartial judges” to confront bad default habits and entrain your subconscious mental decision making processes toward refined risk defined knowledge that triggers profitable executions.

The <codex.qbt> Excel templates shown in the videos are available per request, and for now, gratis.

Please give me some time for turn around as I’m the only one managing this the plethora of requests.

Peace.

Rich

THINK BACK: TWITTER EARNINGS – THE WHIPSAW OPTION STRANGLE TRADE

In this blog we discuss how we found which option side to lean into prior to Twitter’s (NASDAQ:TWTR) earnings release the following day – 10/27/2015.

It never amazes me when the predictable is always the unpredictable when it comes to trading options around earnings.  The “zero sum” outcome and randomness of the efficient market indicators are equally reliable to be unreliable.  What goes down must come up.

And paradoxically, TWTR posted a plus in earnings, though minuscule by our standards, market makers obviously have inventory lined up to short TWTR, proving that our PUT weighed values were correct: but only momentarily since TWTR returned to the breakout price on during intraday trading on 10/28.

Posted Table on October 26, 2015 the day before Twitter posted earnings.

Estimate is -0.24 cents and actual was 0.10 in After Market Reporting.  What transpired as to the volatility of movement provides excellent feedback as to why you’re flying blind, even with statistical evidence to support a “mechanical” risk defined trade.

In this table below you’ll see our goal post statistical data indicator’s comparison between the NOV 2015 Call/Put analytic matrix that is calculated by our Codex.qbt* formula.

How to read this graph:  On both left and right sides we have Call and Put coinciding indicators: Premium (Ask), our entry price (calculated for a limit order entry), Bio premium price, Delta Hedge (not direct Delta, but our own calibration), Gamma, Implied Volatility at the Strike, Probability Out-of-the-Money, Strike, Number of contracts in hundredths, Probability of Profit (calibrated to our own formulary), P/L, and Skew price.  Note: Intrinsic is purposely left blank as this is a short term trade.

In the middle are the Logic signals:  Delta Hedge shows “Call” and Implied Volatility shows “Put”, a contradiction that played out accordingly.  The “Spread .03” Alert is to signal us when the spread between the Bid and Ask expands greater than two cents.

Stock quote and option quote for TWTR on 10/26/15 08:13:03
CALL P/L Strangle PUT P/L
$38.00 $260.00 $222.00
NOV 15 (25) 100
CALL OFFSET** PUT
Premium 1.98 $260.00 Premium 2.060
Entry Price 1.78 DELTA Entry Price 1.931
Bid Price 1.93 PUT Bid Price 2.07
Delta Hedge 0.3381 Delta Hedge 0.427
Gamma 0.0887 IV Gamma 0.1272
IV 0.743 PUT IV 0.760
Prob OTM 0.61 Prob OTM 0.52
Intrinsic Spread > .03 Intrinsic
Strike 32.00 CALL Strike 30.00
Contracts 100.00 ALERT Contracts 300.000
Prob of Profit 0.1921 PUT Prob of Profit 0.1935
Profit/Loss $38.00 ALERT Profit/Loss $222.000
Skew Price 1.94 Skew Price 2.209

What sticks out is that the Implied Volatility is .743, well above our .45 threshold for mean reversion of a Buy Call signal; and that the Put indicators out weigh the Calls.

With a favorable out come of TWTR going short, we executed a cost reduction limit order with 3 Long Put contracts and 1 Long Call contract, to protect the upside, so not to diminish our profits.  You’ll notice we were pretty close in matching up the premiums for pairwise management of risk to reward ratios.

twtr earnings
Entered around $30.89. Surged up for a Call scalp profit and closed out at closing bell. Held the Put side to the opening bell on 10/28 to lock in profits at $28.80.

TOS “think back chart” (The outcomes are not as accurate given the intraday subtleties involved in our trade executions.)

The totals are listed in the above graph: Call profit was $38 on one contract and Put profit was $222 giving us a $260 pay out minus the per contract fees.  The whipsaw volatility on price formation was foretold by the OTM percentage.

*Codex.qbt is our bootstrapped Excel quantitative statistical model name.

It is in the Proof of Concept phase; based on the hypothetical Qubit “superposition” of categorical data inputs compiled into statistical data bins then calibrated for a “measure of certainty” outcome.

**Offset is the combined profit/loss between the Call and Put positions.  This is an excellent visual for “Strangles” and “Straddles” as you can see how both positions can become profitable at the same time.

Do you use TOS?  Would you like to have our Open Source Excel spreadsheet models for your own use?

Available for MSN Excel 2010, Apache Open Office and Google Spreadsheets.  These spreadsheets can be customized for your own trading style and watch list selections.

Inquire at: grtsmarket@gmail.com for a list.

Peace.

RK

Disclaimer:  The above information is for educational purposes only.  We make no claims of validity or suggestion for trading the assets listed.

9AM MARKET UPDATE – MARKET INDEXES SLOW TO REBOUND

May 7, 2015

Here’s our 9 AM (PST) equity matrix update for intraday trading.  Price Skew alignment verifies the Price Target.

Ticker Pearson Last Quote Forecast Target Price Skew
AAL 0.3635 49.24 49.59 50.68 50.68
YHOO 0.8051 43.61 43.93 43.44 43.44
GOOG -0.0315 531.2 533.26 535.93 535.93
VXX 0.9302 21.8 21.75 21.65 21.65
IBM 0.6700 171.54 171.86 172.97 172.97
UPS 0.3645 99.72 99.76 100.00 100.00
TWC 0.1592 156.3 156.63 157.10 157.10
HFC 0.3391 41.11 41.40 42.20 42.20
BLUE 0.2177 150.15 151.82 156.31 156.31
HD 0.4630 110.21 110.55 111.62 111.62
MSFT 0.4027 47.04 47.20 47.62 47.62

LOGIC MATRIX – VOLATILITY PROBABILITY 

TICKER IV>SV IV>STDEV Mean>Last
AAL SELL SELL BUY
YHOO SELL SELL BUY
GOOG SELL SELL BUY
VXX BUY BUY SELL
IBM SELL SELL BUY
UPS SELL SELL BUY
TWC SELL SELL BUY
HFC SELL SELL BUY
BLUE SELL SELL BUY
HD SELL SELL BUY
MSFT SELL SELL BUY

 

Microsoft (NASDAQ:MSFT)continues to inch upwards.  Here is the Pearson graph posted on Macroaxis.

msft pearson correlation coefficient

 

Disclaimer: This post is for educational purposes only and not intended to give trading advice or recommendations.  The charts are provided as a courtesy from Maxcroaxis, a financial services website for portfolio analysis and optimization.

FIRST 45 – EQUITY TRACKER UPDATE

May 7. 2015 – OPENING BELL

It’s a mixed heat map, with red dominating crude oil while consumer discretionary patches are reflecting an undecided market.   We’re sidelined.

Equity: Alibaba (NASDAQ:BABA) and Yahoo (NASDAQ:YHOO) bolted up during extend hours opening at extreme highs at opening bell, but those gains are being erased with pull backs to the 50% price level.

Energy: Crude oil  is halted after a 29% bull run since March 17, 2015.  The BP Prudhoe Royalty Trust (NYSE:BPT)- our bell weather asset – made a sudden drop at opening bell.  Valero (NYSE:VLO) is the contrarian play, making a meager gain this morning

Currency: The green back is making gains after the Euro showed a solid recovery nearly breaking through 1.1400 before pulling back, now at 1.1256.

TICKER Pearson Last Predicted FORECAST
AAPL -0.0500 125.25 125.18 125.17
YHOO 0.9925 44.27 46.44 44.93
PBR 0.4740 9.64 9.80 9.72
JBLU 0.0015 21.35 21.56 21.31
AXP -0.1278 78.08 78.26 78.02
WMT 0.1715 77.98 78.25 77.92
TGT 0.3216 79.76 80.23 79.64
AWAY 0.6632 27.06 27.25 27.06
MSFT 0.1396 46.73 47.06 46.64
YHOO 0.9925 44.27 46.44 44.93
TYC -0.5523 39.54 39.61 39.65
UAL 0.2253 61.25 62.18 60.89

PORTFOLIO TRACKER MATRIX

TICKER Pearson Last Mode Price FORECAST
FB -0.2239 77.68 77.98 78.09
AXP 0.8541 77.96 78.01 78.20
INTC 0.9455 32.50 32.53 32.86
HPQ 0.7847 32.68 32.76 33.08
AAPL 0.3157 125.03 125.12 125.42
MSFT 0.9554 46.68 46.66 47.05
TWTR 0.8630 37.50 37.60 38.03
P 0.9085 18.05 18.23 18.57
BTU -0.8609 4.59 4.96 5.51
JBLU 0.9826 21.28 21.39 21.66

Next update 9AM (PST).

Disclaimer: This post is for educational purposes only and not intended to give trading advice or recommendations.  The charts are provided as a courtesy from Maxcroaxis, a financial services website for portfolio analysis and optimization tools.