NFLX AFTER HOURS EARNINGS 7/17/17

CXQ – Macroaxis Research Hub – TOS

The Double Whammy Strangle Payoff

We entered a Long position on both the Call and Put for a strangle spread on July 7th.  Here is an example of how well a “strangle” position can pay off – when carrying the debit.  The key is making sure you are out beyond the 30 day cycle to have a sufficient buffer.

Take Away – We’ll close our position – take profits off the table and then reposition for the after hours earnings report – covering with a Short Call and Long Put for a three day hold.

Symbol Strangle 18 AUG 17  (40)
NFLX CALL PUT
7/17/2017 07:05 7-Jul 7-Jul
Position Long Short
strike 160 145
entry 4.55 5.90
bid 9.55 1.98
ask 9.80 2.02
delta 0.5855 (0.17)
volume 268 648
prob otm 46.27% 79.47%
IV 40.74% 43.93%
contract 200 100
cost basis $910.00 $590.00
profit $1,000.00 $392.00

Macroaxis Research Hub

Macroaxis provides buy or sell recommendations on Netflix Inc to complement and cross-verify current analyst consensus on Netflix. Our advice engine determines the firm potential to grow exclusively from the prospective of investors current risk tolerance and investing horizon. To make sure Netflix Inc is not overpriced, please verify all Netflix Inc fundamentals including its Current Ratio, and the relationship between EBITDA and Number of Employees . Given that Netflix Inc has Number of Shares Shorted of 27.48 M, we recommend you check Netflix market performance and probability of bankruptcy to make sure the company can sustain itself in the current economic cycle given your last-minute risk tolerance and investing horizon.

Relative Risk vs. Return Landscape

If you would invest  15,340  in Netflix Inc on June 17, 2017 and sell it today you would earn a total of  772.00  from holding Netflix Inc or generate 5.03% return on investment over 30 days. Netflix Inc is currently generating 0.2612% of daily expected returns and assumes 1.795% risk (volatility on return distribution) over the 30 days horizon. In different words, 17% of equities are less volatile than Netflix Inc and 95% of traded equity instruments are projected to make higher returns than the company over the 30 days investment horizon.

On a scale of 0 to 100 Netflix holds performance score of 10. The company secures Beta (Market Risk) of 2.0468 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Netflix will likely underperform.. Although it is vital to follow to Netflix Inc price patterns, it is good to be conservative about what you can actually do with the information about equity historical price patterns. The philosophy towards estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Netflix Inc technical indicators you can presently evaluate if the expected return of 0.2612% will be sustainable into the future. Please exercise Netflix Inc Total Risk AlphaDownside Variance as well as the relationship between Downside Variance and Rate Of Daily Change to make a quick decision on whether Netflix Inc current price movements will revert.

TOS Chart – Calculate Option Pull Back

NFLX – The above chart shows a solid long upward trend, tapping the 78% Fibonacci Retracement.  This is a signal that the equity is overbought and will pull back to the 68% at the very least- if not the 50% Fibonacci price (considered the new Pivot Price).  Considering that NASDAQ will retreat at the same time.

We will calculate our percentage pull back to the option chains premiums to know what our potential profit will be for a 3 day hold targeting the 50%. The Trend line shows a $6 retracement so targeting an OTM on the Put – 50% versus the Call OTM at 30% favors a lean into the Put to go long  and shorting the Call (write).  [The OTM percentage can be thought of as the Standard Deviation – once removed.]  

The other validation is that the Implied Volatility is over 35% – that signals leading edge on the Put side.  On the TOS Chart we combine the Rate of Change with the Volatility Standard Deviation indicators – which shows a shift in our favor.  

The asset Volatility is 1.03% which gives the premiums substantial vigor to move in a “swing trade” strategy.  

Short the Call Strike at 150 – premium decay with 1 Contract (100 shares) at our entry of $14.81 will approximately $8 in three days.  

The Long Put Strike at 160 – entry at $7.36 with 1 Contract ought to increase to approximately $13.  With a $6 range that equals $600 we ought to see a $1200 net profit – without calculating in the option premium Bid/Ask spreads.

Here is our new CXQ NFLX Matrix set up in preparation for the After Market Earnings Report today:

NFLX CALL PUT NFLX
7/17/2017 08:11 7/17 7/17
Position Short Long *last
strike 150 160 160.91
entry 14.66 7.46 open
bid 14.60 7.40 162.91
ask 14.85 7.45 high
delta 0.7306 (0.46) 163.55
volume 816 1297 low
prob otm 31.36% 49.59% 160.25
IV 42.87% 41.07% Vol/Shares
contract 100 100 4727927
cost basis $1,466.14 $746.21 431004410
profit $6.14 ($6.21) ($0.06)

*The column on the far right shows the Asset price range and Price Move which is more valid than the Net Change.  Volume and Shares are divided to find the intraday volatility.

Our DTE calibration shows the time decay factor of deterioration of the premiums and expected loss of our capital outlay.  Notice that at time  of Expiration the Put value is positive where the Call time value is minus.

Call                                      Put

DTE 13.52975 5.95575
EXP (1.1315) 5.9558
DTE Drawdown ($113.15) ($145.55)

Stay Tuned:  We’ll be following with NFLX in three days to determine if our quantitative model has the Proof of Concept nailed down.

###

Request CXQ Excel Model: grtsmarket@gmail.com.  

In the Subject: CXQ Request

Macroaxis Research Hub and the TOS (thinkorswim) charts are attributed to the rightful owners.

Attribution-NonCommercial-NoDerivs CC BY-NC-ND
Duplication of the CXQ Model is strictly prohibited without attribution.

AAPL JULY 14 2017 – THE DIP BEFORE THE IPHONE 8 RELEASE

CXQ – MACROAXIS ANALYTICS -TOS CHART

Apple (NASDAQ: AAPL) Option Matrix Data for Next Week

Month 18 AUG 17 (35) 100
Entry Date      14-Jul   14-Jul
Strangle         CALL     PUT
Position         SHORT  LONG
Strike               150        145
Limit Entry      3.40     2.49
Bid                  3.35        2.51
Ask                  3.40        2.53
Implied Vol   20.03%    20.72%
Delta              0.4598      (0.3344)
Volume          6603          768
Prob OTM      56.51%      64.09%
Contracts        200            200
Cost              $680.00       $498.00
P/L                $10.00       $4.00
DTE              1.92110         1.09240
EXP Prem   (1.4789)         (1.3976)
DTE LOSS ($295.78)       ($279.52)
DIFF P/L     $384.22         $218.48

Determining Premium Limit Entry Matrix

Symbol Entry 15 0
Call 3.358 1.117 0.957
Put 2.497 0.833 0.714

CXQ ScoreCard

SCORIFICATION
CXQ C-RTN Prob Profit Expense P/L
0.21544 1.15213 0.0313% $1,178.00 $12.00

MACROAXIS RESEARCH HUB – SNAPSHOT

    

Relative Risk vs. Return Landscape (MACROAXIS)

If you would invest  14,516  in Apple Inc on June 14, 2017 and sell it today you would earn a total of  261.00  from holding Apple Inc or generate 1.8% return on investment over 30 days. Apple Inc is currently generating 0.0903% of daily expected returns and assumes 1.0712% risk (volatility on return distribution) over the 30 days horizon. [Therefore], 10% of equities are less volatile than Apple Inc and 98% of traded equity instruments are projected to make higher returns than the company over the 30 days investment horizon.

TOS CHART

CONTARIAN MOVE - SHORT CALL LONG PUT
AAPL-15 MINUTE CHART – 7 DAY UP TREND CYCLE

AAPL has moved 4.39% or $6.27 in 7 days.  Remember 98% of correlated equities are projected to make higher returns.

 

TAKE AWAY: Consider the possibility of a reversal prior to release of the iPhone 8 – hype factor.  Piotroski is a 7 – Strong so maintaining a long term investment in the stock is viable.  Scalp a Long Put/Short Call trade starting next week July 17.2017 – 10 days before earnings are released.

###

About R. Kambak: A freelance market for Macroaxis Research Hub.  Has provided quantitative input for various option platforms as well as a beta tester for Tom Sosnoff – Tastytrade/Tastyworks.

Mr Kambak has accumulated twenty years experience as a Forex, Commodities, Equities, and Options trader.

Interested in the CXQ Excel Model please send an email to: grtsmarket@gmail.com.

In the Subject: CXQ Request.

The TOS charts and Macroaxis Research Hub graphics and copy are provided by attributed permission.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.

Attribution-NonCommercial-NoDerivs CC BY-NC-ND  Duplication is strictly prohibited without attribution.

AMZN – OPTION MATRIX JULY 14 2017

CXQ QUANT – MACROAXIS RESEARCH HUB

Tracking Amazon (NASDAQ: AMZN)

Strangle Option Spread – Long Call Short Put

Spread OPTIONS
Strangle CALL PUT
Month 18 AUG 17 (44) 18 AUG 17 (44)
Entry Date 7-Jul 5-Jul
Position  LONG    SHORT
Strike       990          975
Entry          28.25     31.35
Bid             38.40      19.60
Ask           39.05        20.10
IVol           25.29%      25.75%
Delta         0.58          (0.35)
Volume      9                  12
Prob OTM 45.28%     61.94%
Contracts   100             100
Cost     $2,825.00       $3,135.00
P/L       $1,015.00        $1,175.00
DTE       $29.52           $10.53
EXP         $1.27             $10.53
DTE         $127.13       ($2,081.82)

Note: Entry was seven days ago – the 7-day cycle. The Put Delta has decayed substantially. The DTE Price calculations show a very strong Call position for intraday trading. Kept contracts to 1 or 100 shares. Initially entered with the AUG option chain at 44 days out. Implied Volatility below 35% so a strong Buy on the call side and Short on the put side. Volume sparse – higher Put translates into selling the Bid.

To retain our profits we’ll close the Long Call and Short Put position today since it’s Friday.

About DTE:  Time decay is essential in knowing what the option premium will be at the time of Expiration of the option chain.  We have used Edward Thorp’s formula that he devised in relationship with the Black Swan formula – though we replaced the BS with our own equation set to determine what the DTE premium will be and what profit or loss there will be with the option investment over the time (t).   By incorporating the cost of the trade we have devised a means of seeing what amount will be lost in relationship with our capital outlay.  In this case – the numbers show a positive outcome that confirms are choice to Short the Put and Buy the Call.

*The formula is:  M = m + v 2/2
m = lognormal
v = volatility
lognormal + volatility 2/2
m is the lognormal drift parameter and v is the volatility

Here is how it looks on our Excel spreadsheet matrix.  The “Drift Price” is key to finding the asset price based on the time horizon (which we configured into another set of equations utilizing an independent and dependent linear regression combination offset by the lognormal equation.

E Log SQRT Drift P
0.03456 0.22437 0.00649

Taking it one step further Thorp hypothesized (in the late 60s):

*E(S(t)) = S((0)) exp (Mt) is the expected value of the stock at time t if S(0) is the initial price.

The Final Results are calibrated into our CXQ and C-RTN Scorification Matrix:

CXQ CXQ2 C-RTN Thorp Prob Profit
0.7413 0.2412% 0.3118 0.9922 0.4891%

Translated:  CXQ above 0.55 is a Buy signal.  CXQ2 is secondary to the C-RTN to show the covariance of their “gap”.  The closer the gap the more valid the signal to Buy. The Thorp Drift Price score confirms a strong Buy signal.  Probability of Profit is based on “intraday” price moves.

*Beat The Market by Edward Thorp

MACROAXIS RESEARCH HUB

AMZN has a Piotroski Score of 7 (very strong), though it’s showing an overvalued price.  Still analyst recommendations are a Strong Buy (24 versus nearly 0 for Strong Sell).  Right now AMZN is trailing behind the major indexes.  NASDAQ up 0.21%.  (A telltale tip off is that Apple (NASDAQ: AAPL) didn’t hold its gains from yesterday.)

Jeffrey Bezos sold 155647 of common stock at a value of $0.01 per share on July 11, 2017.  Major Institutional holders are Swedbank (565.5K common shares valued at 5548.3M) and Bank of Montreal (552.7K common shares valued at 535M.)

Macroaxis Graphics  

                                                                       

     

 Macroaxis Price Density Hype Analysis – 30 Days

TAKE AWAY:  Close current position to take profits off the table.  Reset on Monday to Short the Option.

About R. Kambak – provides input for the Macroaxis Research Hub.  Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.  In the Subject: CXQ Request. The TOS charts are posted with credit to the platform/brokerage.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.  Attribution-NonCommercial-NoDerivs CC BY-NC-ND   Duplication is strictly prohibited without attribution.

MACROAXIS PORTFOLIO – JULY 12TH – 44.61% YTD GAIN

CXQ Portfolio

Invested $13,000.

Equities: AAPL, BA, BABA, FB, ADBE, NVDA

YTD RTN: $3276 or 41.66%

See Chart:  Mix Invest 

Compared to DOW (Pick Area)

 

About R. Kambak – He does portfolio development for wealth building.  Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.  

In the Subject: CXQ Request

The TOS charts and Macroaxis charts are posted with credit to the platform/brokerage.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.  

Attribution-NonCommercial-NoDerivs
CC BY-NC-ND
Duplication is strictly prohibited without attribution.

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