Going to the Scan Tab I opened up TOS’s source code for Earnings.  The problem is that this only searches for stocks with upcoming earnings within the selected amount of days (default is 10)  but DOES NOT look for those that already had or does not have earnings within a “X” amount of days.  I believe I was able to use their code and supplement some stuff and have figured out a way to search for stocks that have no upcoming earnings with the user able to select the amount of days.  I will try to break this down by the numbers:

1) TOS users can start by opening up their Desktop App and then going to the Scan Tab.

2) Then go to the “Add Study Filter” box to the right and click on it.  This adds and defaults to the “ADX Crossover” box which is added to the bottom of your filter:

3) Click on the “ADX Crossover” box and scroll down to “Corporate Actions and then over to “Earnings” and the following should be displayed:

4) Next click on that pencil to the right of the “D” and to the left of the “Red X”.  This opens up your script to where you can edit it with the “thinkscript Editor” Tab (as shown below):

4) Highlight the entire text and delete it.  Then paste the following in bold red text :

#Wizard text: Has an earnings annoucement
#Wizard input: Choice
#Wizard text: in the next
#Wizard input: length
#Wizard text: bars

Input length = 20;

input Choice = {default “Any time”, “Before the Market”, “After the Market”};
def earnings = hasearnings();

def scan;

switch (Choice){
case “Any time”:
scan = sum(hasearnings(),length)[-length +1] > 0;
case “Before the Market”:
scan = sum(HasEarnings(type = EarningTime.BEFORE_MARKET),length)[-length +1] > 0;
case “After the Market”:
scan = sum(HasEarnings(type = EarningTime.AFTER_MARKET),length)[-length +1] > 0;
} ;

def x = if(scan,1,0);

plot NoUpcomingEarnings = x == 0;

5) Hit “OK” and then that should work.

I have this set at 20.  But you can easily edit it by going to Line #7 at the “Input length” and change that number to anything you wish.  Keep in mind it looks for stocks that DOES NOT have earnings in those next amount of days, in this case does not have earnings in the next 20 days.  You can then add other filters that fit your personal liking such as price higher than or volume average greater than to further filter it down.

I am not a programmer or coder but just make my own scans as best I can and puzzle stuff together to achieve my goal.  I could not find anything else on the internet but if you have a better way just let me know.  I just wanted to share this with traders that had the same kind of annoyance that I experienced with finding stocks that fit scan criteria only to find they have earnings soon.  Hope this helps.

Today I learned that I will no longer have this edge as of Thursday morning I will now be required to work a day shift starting at 6am and working until an unknown time Monday-Friday.  This requires me to completely change my strategy as I like to swing trade in options and be frequent to the monitor as I do not rely on limit orders whether in stocks or options.

Now I ask my myself what to do?  I love trading and the markets in general.  But being away during most of the day leaves me without conversation via social media or in the know until after hours and that sucks as I always liked participation but recent events have left my concentration elsewhere.

While some of you may say trade via limit orders or alerts, I have never trusted these without my own eyes on the situation, ie. ISRG.  So now I will try to develop some sort of strategy in long-dated options expiration or in the indices that have lower volatility.  I can also look to go back to some pairs trading as well.  Either way an adjustment needs to be made and overall this sucks as I know I will be out of the game more than usual for at minimum several months.

Either way it has been fun to be in contact with traders via Twitter/Stocktwits and  will try to be as active as possible but these new hours will definitely hinder future engagements.

If you have followed or read my blog I thank you and I will try to to keep updated as much as possible.  For right now current obligations will hinder frequency.

The problem with the weather here in PA today was that it was mid to high 30′s during the day and raining/sleeting.  Miserable weather but I had to have the grilled bratwursts.  So I grilled at the edge of the opened garage door as I often do when weather messes up my grilling efforts.  I ate the delicious grilled bratwursts and then later in the night proceeded to the garage where it was time for the weight portion of the workout followed by the pushups-situps-pullups routine.

I didn’t want to leave the garage door open for reasons of the weather and I don’t like people looking in my garage while I workout as this in the past has attracted beautiful women that disrupt my routine.  So I had to make a decision: put my grill out in the rain or bring my grill inside not thinking the burning coal would do much harm as the coals were dying down.  I chose to bring the grill inside.

Throughout the workout I was feeling slightly light-headed but not a crazy unusual occurrence and I was also having a harder time focusing and was more short of breath than usual.  I attributed this to a late night of research and an early wake coupled with current exercise.  Meanwhile I didn’t really acknowledge the fact that I brought the grill in and this was emitting carbon monoxide.

After completion, about 40 minutes, I went in the house and I was dizzy, light-headed, and exhausted.  This is when it occurred to me that the damn grill was slowly poisoning me and I probably was in a deadly toxic environment while pushing my body to exhaustion.  So in the process I probably lost some brain cells but in the end it was a good workout and I really enjoyed those bratwursted sausages on a grill that continues to remain rust free.

*I will attribute any future stupid trade decisions to this incident and loss of those brain cells.

Looking at competitors of PCLN that have recently reported can give us some insight on expectations of price action (earnings data from StreetInsider):

1. EXPE – EPS (miss) revenue (beat); opened down -1.61% and closed -2.67%
2. TRIP – EPS (beat) revenue (beat) ; opened down -9.21% and closed -7.14%
3. OWW – EPS (miss) revenue (beat); opened  up 0.37%  and closed +16.67%
4. TZOO – EPS (beat) revenue (beat); opened up 4.11% and closed +24.31%

From a competitor standpoint it was a mix on EPS but all beat on revenue.  The opening move seemed fairly mute except for TRIP, which saw buyers and hit highs within the first 30min of trading.  PCLN was talked about stock on 8/8 when it saw a big gap down and closed near the lows.  In this report it missed on revenues but more importantly it guided down for Q3’12 EPS (to which it ended up beating on Q3 release).

For further explanation of the excel tables and data in them please refer to this post.

Looking at the Augen StDev 1min After Open average it is showing 3.75.  I like to take this multiplied by the current StDev Move Before Earnings which is showing 13.79.

3.75 * 13.79 = 51.71; this is my expected point move based on prior price action and volatility movements into earnings.

The next table shows implied volatility (IV) moves and looks at the ATM straddle to see what the option market is pricing (I prefer to use the bid for purposes of the worse possible fill).  On the far right the green cells represent a win selling the straddle and the red cells represent a loss):

Looking at the data the 2 most recent earnings saw some of the biggest moves on a percentage basis and we are right about where we were back on the 8/7 earnings release in which PCLN saw its biggest move.  Some other notes:

• Straddle (going off bid price) is pricing 7.2% move
• ATM Call IV is low comparing to past
• Except for 2 prior earnings the straddle sale has been very profitable and alternated quarters between a win or loss

To me selling volatility doesn’t seem like the better trade here.  But I also think that the two prior earnings moves has many with that observation and I like to think when things become too obvious the opposite can happen.

So is volatility a sale?  Given the data its a no in my opinion but now that a big move is expected, I believe the opposite will happen.  Also the competitors stats have me leaning towards a volatility sale as well, especially when they have had previous big gaps on earnings yet recent release is fairly muted from close to open.    I definitely would not sell a straddle unless you can afford a big loss.  I personally like selling an Iron Condor (managed risk vs straddle sale).

Looking at the chart (notes on chart):

The chart above has yellow dashed lines showing where I want PCLN to stay within into Friday expiration.  The trade I like:

Sell March1 620/625/735/740 Iron Condor for 1.92 credit, risk $308.

Below is the risk profile with red dashed lines representing a 10% move.  In this trade I make a profit (at Friday expiration) if PCLN stays within -7.2% to the downside and +9.7% to the upside (all going off EOD data 2/25/2013):

Also you could come in on those strikes for a lower risk, lower probability trade.  I like this trade as I am looking for volatility to be a sale and look for the price to stay contained.  If I price action goes against my thoughts/expectations then this trade will probably be a loser.  Personally I trade and would recommend trading earnings accepting a 100% loss as earnings trades are a gamble in where all you can control is your risk.

This to me looks like a ratio spread to be confirmed by looking at open interest on Monday.  In this spread the trader is buying the March 52.25 calls and selling twice as many March 55 calls for a net debit 0.69c.  Also there was action in the May options chain as well.  There was a big block of 17,397 calls on the ask for a 2.05 debit.  All together the May 52.5 calls saw volume of 27,245 contracts vs open interest of 282.  A picture of the T&S can be seen below:

Now that the options action has set the alert, it is time to look at the chart to see if the technicals align with the action:

In the chart we can that LVS has been in a downtrend (annoted by red bars) with a reversal bar (green bar).  If LVS breaks above the high of the green bar there is a probability for a continued long trade.  If it breaks below the low of the green bar then the downtrend is likely to resume.  Note that this is all short-term price action in timeframe of a swing trade.  On another note for the bullish side LVS saw a nice hammer candle on the 100ema on volume above average that was confirmed by Fridays candle on volume above average.

So what’s the trade?

In this scenario I like to look at the recent option action, especially the ratio spread.  In this trade the trader is looking at the following risk profile with March expiration in mind:

In following this trade I would be looking at upside for LVS as this big trader is looking for it to close between 52.43 and 57.57 at March expiration.  The furthest red-dashed line to the left represents current price.  This risk profile combined with the May action as annotated above has me leaning bullish in LVS.

My trade recommendation is an upside March call butterfly spread.  I personally would trade the same ratio spread but for margin purposes I believe the butterfly spread offers much of the same opportunity without the same margin requirements.  I like the March 52.5/55/57.5 call butterfly for a 0.19c debit (max loss $19).  This captures approximately the same range for a reduced cost.  Risk profile can be seen below:

I really like this trade from a risk:reward standpoint and that it actually follows the big trade that was put on in the March ratio spread.  As always this trade is based on my thoughts and the individual trader is responsible for his/her decisions.

• 2/5 - Utilizing Market Comments From Other Traders (put on March 460-480-490 Call Broken Wing Butterfly (BWB) for 4.25 debit)
• 2/11 – Trade Adjustment – APPL (added Feb4/Feb 460 Put Calendar for 1.60 debit)
• 2/15 – Following the Trade – AAPL Trade Adjustment on Friday 2/15 (recap of all the trades and closed the Feb4/Feb 460 Put Calendar for 4.09 credit (+$249.00, +155.6%) and added Feb4/Mar1 440 Put Calendar for 1.69 debit)

Today I closed that  Feb4/Mar1 440 Put Calendar in the morning for a 4.40 credit (+$271.00, 160.4%), trade order below:

I wanted to take advantage of the morning weakness and just close out this hedge to the main Broken Wing Butterfly that I had on.  With the gains in the 2 calendar trades I put on, the remaining trade of the original BWB is a risk-free trade at a $95 credit.  I do not plan to add anymore hedging strategies to this trade and instead will ride out the BWB more and likely to near expiration.  In a perfect world AAPL would shoot past then retrace to the 480 level around March expiration, 22 days.

Below is the new risk profile, same look as the original trade with different risk/reward:

Now I sit and wait until March expiration.  I could keep adding a hedging strategy but with those 2 calendar trades I am happy with the risk and will let AAPL do its thing leaving the long bias trade on.  Below is a trade history:

• Sectors – the worst performers were Energy and Materials while the best performers were Consumer Staples and Utilities (the flight to safer assets)
• Euro down and Yen up
• Japan was best global ETF performer while Russia, correlated to natural resources, was the worst performer
• Bonds, which are negative YTD, saw gains across the group

Picture courtesy of Bespoke Investment Group:

Even though it was the biggest down day of the year on volume above average, I like to see that these key ETF’s performed as expected on a macro scale.

When looking at the VIX-type instrument for gold we look at the GVZ.  Today the GVZ saw a move of 18.03%.  Below is a 1 year daily log chart showing the size of the move.  Something to note is that GLD really saw this down move accelerate last Friday on the gap below 158, but note what the GVZ has done on the Friday & Tuesday moves  in comparison to today:

Also with that I like to look at what the GLD  implied volatility (IV) has done in the options, below is an excel screenshot of the rise in volatility since the close of Thursday (data from thinkorswim):

We can see the larger rise on a percentage basis in the near-dated weekly options verse the monthly option chain.  Next week expiration showed a rise of 4.03 points (29.94%) in the calls and 4.33 points (31.22%) in the puts.  A bigger jump relative to price change than we saw on the previous decline Friday.  Personally I’m liking the idea of selling some front month volatility and buying further dated options.

On a chart and price basis, how big was the move today?  When looking at volatility of the instrument, many use Bollinger Bands and I like to use them as well.  Today it was noted by several on the stream that we closed below the 3rd standard deviation 20 day Bollinger Band.  While traders like to use the fat tails of moves as price has been known to walk the band on the 2 standard deviation setting, this isn’t quite so common with the 3rd standard deviation.  It is a more rare occurrence that often sees a snap back.

I looked at the last 10 years of data for GLD and a close below the lower 3rd standard deviation band has happened twice, both being in 2012 (yellow arrows mark a close below then back inside the band):

Zoomed in view:

Below is a chart of GLD going back to when we broke out and GLD went parabolic:

I have a correlation  to GDX as today it was noted on the stream by several I follow that the metals saw big option buys near the close in ABX, GG, & NEM in the January 2014 chain, search stream with ticker and you will find the posts.  ABX stuck out in my mind as January saw buyers of the 40 calls, noted by @OptionsHawk at his website where there are usually 4 free option notes for each day:

These go all the way out to January 2014 so if you were looking to play off some of this information you will definitely want to go out in time and let the trade work.  The trades today (2/20) were put on for cheap on an option price basis but are also +1million dollar trades.  Either way use diligence if using this info for a trade and keep timeframe in mind.

As stated in my first post, “Utilizing Market Comments from Other Traders“, I went long AAPL with options in the form of a Broken Wing Butterfly, below are pictures of my order entry and risk profile:

Order entry:

Risk profile:

On 2/11 I made an adjustment (via 460 Put Calendar) to protect from downside action.  More into the analysis of the why and what I was looking at can be found in this post, “Trade Adjustment – AAPL“.  Below is the order entry with the addition of the risk profile with the adjustment:

Order entry:

Risk profile:

**Now for the new trade and adjustment made. **

I rolled that 460 Put Calendar in the afternoon on Friday.  The hindsight trade would have been to leave it on for what turned out to be a perfect pin at 460 and max profits achieved.  The way I saw it though and playing this Calendar Spread was that I had risk to the upside on the Put Calendar trade if AAPL were to move higher.  Below is the 15min chart of AAPL and where I rolled the position:

My order was to close out the 460 Put Calendar and roll to next weeks 440 Put Calendar.  On the daily AAPL is still in a long-term downtrend, but also in a low volume pullback on that recent break above 460:

Needless to say I see AAPL as a tough trade.  I wasn’t happy with the 450 Put Calendar as a hedge against the current long Broken Wing Butterfly so I went with next week’s 440 Put Calendar, in case we see that whoosh below 450.  I then believe 440 will hold on a price and time to expiration basis. Below is my order entry:

I executed this in one order and rolled this position for a 2.40 credit. Broken down:

• closed the 460 Put Calendar (original debit 1.60) at 4.09 (+$249.00, +155.6%)
• opened the 440 Put Calendar at 1.69
• overall a positive gain of $80 with no more risk in the Put Calendar hedge and reducing my cost basis of the original trade of the Call Broken Wing Butterfly from 4.25 to 3.45.

Below is my new risk profile going into Friday expiration 2/22:

Overall I am comfortable with my adjustment allowing for downside protection in case we see that drop in AAPL.  The downside is where my risk in the combined trade is and this is what I am looking to protect.

Today I took my loss in an Amazon (AMZN) trade.  AMZN is a stock I like to trade with options as they are liquid, offer weekly options, and the stock moves.  I don’t want to go into much detail on the strategy here but want to keep this post more about taking losses.  On 2/12 I took on a bearish position in AMZN via March 260/255 Call Diagonal for a 2.45 debit (max risk to upside of $740.00).  Trade order entry shown below:

I took this trade while watching the 30min chart and I was looking to take advantage of anticipated downside but still bullish AMZN hence being on the call side of AMZN and long the March Call with weekly rolling capabilities.  Anyway here is the 30min chart I was looking at with notes:

So with this action I liked the idea that we would retest those 2/7 lows around 255 and this looked like a good place to get long AMZN according to the daily, overall the Call Diagonal was a strategy looking to take advantage of a pullback in order to get long.

So what happened?  AMZN came out with several news bits this morning of minting currency, playing its cloud in cars, and expanding a content licensing agreement with CBS; regardless it was all bullish news that had AMZN gapping up Wed morning almost 3 dollars.  My thoughts were of course “why not as I just put on a bearish strategy” looking for a gap down or selling to 255.  Right away I thought “all this news appears bullish for AMZN so lets see how it handles the opening gap?”

As stated in a previous post I was big on the 260 level for AMZN.  Another reason for this bearish position was its inability to hold that 260 level on Tuesday 2/12, so this was in focus for me.  Seeing that we would gap above this level left me feeling uncomfortable with my position and looking at how it handled that news.  Concentrating on a scaled down time frame, opening volume was bullish and the 260 level wasn’t even breached.  This told me I just need to accept the loss and I was wrong.  Below is a 30min and 5min chart:

It appears that this news from AMZN coupled with its continued selling since earnings was the catalyst it needed for further upside and it ripped through the day creating a nice daily chart.  Below you can see my order entry/exit orders:

I ended up taking a -$85.00 loss on this trade (per 1-lot, -34.6%).  But watching AMZN price through the day made a losing trade into an actual win from a mental capital standpoint.  Here is an EOD Risk Profile of the current trade, currently showing a loss of -$304.98 (-124% debit, -41% risk).  As you can see by the low/high red dashed lines not even a 2 sigma move to the downside (low probability of happening) would put me at  my target of 255:

I cut the loss realizing I was wrong in my thesis and ending up cutting it before it turned into 3.5x the current loss.  To me this is near a win as when I first started trading I would have turned this into a hope strategy (which it could still come back down).  I have learned through several blown accounts this doesn’t work and learning to cut the loss when you realize you are wrong from your initial analysis is the right strategy.

Now when I look back at this I ask myself “would I take this trade again?” and the answer is yes I would.  This just turned out to go against me with maybe some news catalysts & no anticipation of AMZN or some overall market weakness.  I preserved capital to move on to another trade or get back in AMZN.  If there is one thing I have learned through time it is the ability to realize I am wrong and learn why.  There are just some things you can’t control, accept your risk going into a trade.