Thursday, October 15, 2015

Thursday Oct 15Morning Notes

I'll be stepping out and missing the open this AM, unfortunately. 

Edit: Turns out that I did not have to step out. I bid on NFLX on the open at 60% vol but it opened around 100% and as of noontime experienced 80% realized vol (fair mkt as I predicted). I bid on a WDC strangle but it was too illiquid and I didn't get filled and I was pissed. I bid on a STX strangle on the open but was too cheap with the offer, and it was still good for a double in <30mins... but no fill. 

Es: +0.7% at 1997.25
Vx: -3.4% at 17.70
Cl: -1.2% at 46.12

Earnings: NFLX XLNX C
Other News: WMT smoked yesterday during/after investors conference;

FPRX: +66% at 28.00, 847k, b/a 0.29 - licensing deal
DXCM: +14.1% at 80.60, 15.5k, b/a 0.80 - guides higher, receives upgrades
XLNX: +4.1% at 47.25, 5k, b/a 0.50 - Earnings

MTW: -15% at 13.91, 635k, b/a 0.09 - guides down
STX: -13.2% at 41.45, 640k, b/a 0.40 - guides down
VRX: -11.6% at 157.00, 552k, b/a 0.05 to 0.20 - Co. receives subpoena
GRMN: -9.7% at 33.35, 28k, b/a 0.34 - guides down
HCA: -9.5% at 68.80, 143k, b/a 0.55 - guides down
THC: -7.3% at 32.49, 33k, b/a 0.14 - HCA sympathy
CYH: -6% at 39.19, 2.7k, b/a 0.10 - HCA sympathy
NFLX: -5.5% at 104.21, 668k, b/a 0.10 - Earnings
WDC: -4.5% at 79.35, 12.5k, b/a 0.40 - STX sympathy

TT Vol Watch:

TT Track of the Day: Nirvana's "Lithium", the first CD I ever purchased!


  1. thoughts on brian johnson's books? i know you like Augen. how do you plot your own opinion of what IV should be? premarket price action?

    1. I also keep my own running spreadsheet of historical post-earnings moves to give me an idea of what to expect for volatility. I only keep track of names that I'm interested in trading that have liquid weekly options.

    2. I posted this first but didn't publish it as a "reply" the first time:

      I haven't checked out his books, wasn't even aware of them until you mentioned it but will check them out. I'm a big fan of Augen but that could just be confirmation bias on my part because he trades the way I prefer to trade. I also like Larry McMillan and Sheldon Natenberg's options books for volatility. Ophir Gottlieb's blog also has some great general IV writeups as well.

      This blog post of mine highlighting an AMZN trade details what I look for:

      What I'll also do, is look at the % max move the stock makes in the pre-mkt and figure out the underlying volatility of that move by multiply it by 15.9 to put me in the ballpark. Combined with the back month vols, I'll work out what I'm willing to pay for a strangle, or where I would consider putting on a credit spread if I think that's more advantageous of play. Wish I could be more specific but there are just so many variables when it comes to options trading.

      Just learn as much about implied volatility as you can!

      - Chris

    3. thanks so much what are your thoughts about unusual options activity? when do you use it?

    4. Good question, and the best answer for that comes from Dan Nathan and Joe Kunkle:
      1. Dan Nathan:
      2. Joe Kunkle:

    5. perfect, yes I had read those? Any chance to look at Brian Johnson's two books? BTW whats your overall win rate, with extended hours long vol at open strategy =)?

    6. Haven't figured out win/loss percentage for this year, but estimate >60%. My win rate last year for non-directionals (all) was 75.8%, win % dropped to 62% incorporating all option plays. With long options, one can theoretically have a losing record and still be profitable so long as the winners generate outsized gains. I like this strategy because I have had success with it. Trade whatever you are comfortable with and try not to focus on what works for someone else. It's just like working out at the gym - one routine may work great for me but may not be ideal for someone else. Good luck!

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