Jul 25, 2017 - Dividend. Yield (%). AAPL Apple Inc. 783. 1.68. MSFT Microsoft Corporation ... TWTR Twitter. Thu Jul-27.
July 25, 2017
Symbol SMH XLK OIH QQQ FXE
Description of ETF
IV Rank 65 41 36 36 28
23 15 29 15 8
1-Month Price Change 1% 2% 4% 2% 5%
Correlation with S&P 500 Strong Positive Strong Positive Weak Positive Strong Positive Weak Negative
86.7 57.35 24.88 144.23 113
Expected 30Day % Range +/- 6% +/- 4% +/- 8% +/- 4% +/- 2%
26
30
7%
Weak Positive
32.245
+/- 9%
26 22 20 16
21 13 30 10
2% -1% 10% -1%
Moderate Positive Strong Positive Weak Positive Strong Positive
39.9 80.18 9.685 55.13
+/- 6% +/- 4% +/- 9% +/- 3%
IV
Price
XRT IYR USO XLP
Semiconductor Tech Oil Services Nasdaq 100 Euro Currency Oil & Gas Explor & Product Retail U.S. Real Estate United States Oil Fund Consumer Staples
XLY
Consumer Disc.
15
12
2%
Strong Positive
91.1699
+/- 4%
XHB XBI XLV EWJ XME XLE XLI XLB EEM XLU
Homebuilders Biotech Health Care Japan Index Fund Metals and Mining Energy Select Sector Industrial Materials Emerging Index Fund Utilities 20+ Year Treasury Bond ETF Junior Gold Miners Dow Mexico Russell 2000 ETF Financial Brazil S&P 500
15 14 14 13 12 12 9 8 7 7
16 26 12 10 20 17 13 13 15 12
0% 3% 0% 0% 14% 3% 1% 4% 6% -1%
Strong Positive Moderate Positive Strong Positive Moderate Positive Moderate Positive Weak Positive Strong Positive Strong Positive Strong Positive Moderate Positive
38.61 82.0598 81.14 54.15 32.25 65.7656 68.89 55.79 43.85 52.77
+/- 5% +/- 8% +/- 3% +/- 3% +/- 6% +/- 5% +/- 4% +/- 4% +/- 4% +/- 3%
6
10
-3%
Weak Negative
124.1
+/- 3%
5 3 3 3 1 1 0
33 10 19 15 14 26 10
-3% 1% 8% 2% 5% 13% 2%
None or Very Weak Strong Positive Moderate Positive Strong Positive Moderate Positive Weak Positive Strong Positive
32.64 216.37 57.43 143.49 25.24 37.5 247.62
+/- 9% +/- 3% +/- 5% +/- 4% +/- 4% +/- 7% +/- 3%
XOP
TLT GDXJ DIA EWW IWM XLF EWZ SPY
Michael Rechenthin, PhD Kai Zeng
[email protected]
3-Month Correlations of Price Returns One way that we seek diversification is through trading stocks with relatively low correlations.
Top 5 Dow stocks sorted by capitalization and dividend yield. A popular strategy for some readers is to sell covered calls against long stock. While any stock will work, some traders like doing this strategy on large capitalization, dividend-paying stocks, such as those in the Dow Jones. Although the payment of the dividend causes the price of the stock to (theoretically) drop by the same amount of the dividend, it does create an additional source of cash flow. Note: This shouldn't be thought of as an arbitrage strategy; buying stocks before a dividend is paid, capturing the dividend, and then selling immediately afterward, generally results in a net profit of $0.
© tastytrade.com, 2017
Description AAPL MSFT JNJ XOM JPM
Apple Inc. Microsoft Corporation Johnson & Johnson Exxon Mobil Corporation JP Morgan Chase & Co.
Description VZ CVX IBM XOM PFE
Verizon Communications Inc. Chevron Corporation International Business Machines Exxon Mobil Corporation Pfizer, Inc.
Michael Rechenthin, PhD | Kai Zeng
Market Cap (Billions) 783 567 365 339 320
Dividend Yield (%) 1.68 2.11 2.48 3.84 2.20
Market Cap (Billions) 180 196 138 339 200
Dividend Yield (%) 5.22 4.18 4.08 3.84 3.82
Page 2 of 9
Earnings trades offer investors opportunities in stocks with the largest potential of a volatility contraction the day after a company announces their quarterly earnings report. For trade ideas watch "In the Hot Seat with Pete" daily at 2:30pm CST. Symbol T AMD AKAM X KO BA F FB GILD LVS WFM GG IMAX PG VZ MA UPS DOW JCI LUV MGM TWTR INTC SBUX BIDU EA FSLR XOM CVX MRK BCS AAL PFE BP S UA AAPL HLF SPWR GRPN
Description AT&T Advanced Micro Devices Akamai Technologies United States Steel Corp. Coca-Cola Company Boeing Company Ford Motor Company Facebook Class A Gilead Sciences Las Vegas Sands Corp. Whole Foods Market Goldcorp Imax Corp. Procter & Gamble Company Verizon Communications Mastercard Incorporated United Parcel Service Dow Chemical Company Johnson Controls Southwest Airlines Company MGM Resorts International Twitter Intel Corp. Starbucks Corp. Baidu Electronic Arts First Solar Exxon Mobil Corp. Chevron Corp. Merck & Company Barclays PLC American Airlines Group Pfizer BP p.l.c. Sprint Corp. Under Armour Class C Apple Herbalife Ltd. SunPower Corp. Groupon
© tastytrade.com, 2017
Expected Date Tue Jul-25 Tue Jul-25 Tue Jul-25 Tue Jul-25 Wed Jul-26 Wed Jul-26 Wed Jul-26 Wed Jul-26 Wed Jul-26 Wed Jul-26 Wed Jul-26 Wed Jul-26 Wed Jul-26 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Thu Jul-27 Fri Jul-28 Fri Jul-28 Fri Jul-28 Fri Jul-28 Fri Jul-28 Tue Aug-01 Tue Aug-01 Tue Aug-01 Tue Aug-01 Tue Aug-01 Tue Aug-01 Tue Aug-01 Wed Aug-02
Release Time After Close After Close After Close After Close Before Open Before Open Before Open After Close After Close After Close After Close After Close After Close Before Open Before Open Before Open Before Open Before Open Before Open Before Open Before Open Before Open After Close After Close After Close After Close After Close Before Open Before Open Before Open Before Open Before Open Before Open Before Open Before Open Before Open After Close After Close After Close Before Open
Market Cap (Billions) 224.5 13.1 9.0 4.1 192.4 128.0 45.9 476.6 96.4 49.5 13.3 11.7 1.4 226.6 180.4 136.2 97.8 80.8 41.5 36.5 19.6 14.6 163.5 84.0 67.0 34.8 4.7 339.5 195.6 171.3 45.1 25.6 199.8 113.7 34.0 8.3 783.5 6.4 1.5 2.1
Michael Rechenthin, PhD | Kai Zeng
Average Volume 21,691,200 81,379,104 2,541,800 21,189,900 10,869,400 2,901,710 38,442,000 17,974,900 8,625,040 3,406,950 8,204,550 7,202,310 1,477,210 6,462,290 15,307,200 3,230,240 2,587,420 5,404,360 4,619,460 4,566,250 7,448,320 19,695,000 22,002,400 7,988,860 2,583,310 3,252,010 3,125,590 11,070,600 5,406,860 8,899,960 3,369,780 6,153,610 20,610,700 5,551,770 16,238,100 3,461,690 27,245,200 1,085,740 3,110,000 8,123,920
Weekly Options? Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Page 3 of 9
Stocks and ETFs with an upcoming dividend. In the money short call options are the only options at risk of additional early assignment due to the dividend. If the extrinsic value of the in the money short call is less than the dividend, the option is at (a greater than average) risk of being assigned. Description SIG CAG TXN MS KMI ERF BX DOW ORC EV AGNC PSEC SKT PAA EPD PBCT NRG TRGP BK TTS ALLY OHI GT PAYX O CASY CFG AES ADTN KBH WSR TK PFE
Signet Jewelers Limited ConAgra Brands Texas Instruments Morgan Stanley Kinder Morgan Enerplus The Blackstone Group L.P. Dow Chemical Orchid Island Capital Eaton Vance AGNC Investment Corp. Prospect Capital Tanger Factory Outlet Centers Plains All American Pipeline Enterprise Products Partners People's United Financial, NRG Energy Targa Resources Bank of New York Mellon Tile Shop Hldgs, Ally Financial Omega Healthcare Investors The Goodyear Tire & Rubber Paychex, Realty Income Caseys General Stores, Citizens Financial Group The AES ADTRAN, KB Home Whitestone REIT Teekay Pfizer
© tastytrade.com, 2017
Ex-Dividend Date Wed, Jul 26 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Thu, Jul 27 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Fri, Jul 28 Mon, Jul 31 Tue, Aug 01 Tue, Aug 01 Tue, Aug 01 Tue, Aug 01 Wed, Aug 02 Wed, Aug 02
Dividend Per Share 0.31 0.21 0.50 0.25 0.13 0.01 0.54 0.46 0.14 0.28 0.18 0.08 0.34 0.55 0.42 0.17 0.30 0.91 0.24 0.05 0.12 0.64 0.10 0.50 0.21 0.26 0.18 0.12 0.09 0.03 0.10 0.06 0.32
Michael Rechenthin, PhD | Kai Zeng
In Dow? Yes
In S&P 500? Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
In Russell 2000? Yes Yes Yes Yes Yes Yes -
Page 4 of 9
Below are the segments that got among the highest views per day.
Date
Segment
Title
Mon, Jul 24
Market Measures
Low VIX: Short SPY or Long VIX
Mon, Jul 24
Options Jive
ETF Portfolio Comparison
Mon, Jul 24
Best Practices
Effective Ways to Understand Delta
Fri, Jul 21
Market Measures
/VX Term Structure: Expected vs. Actual
Fri, Jul 21
tasty Extras
Ben the Intern
Fri, Jul 21
Closing the Gap - Futures Edition
Gold and Aussie Dollar Pairs Trade
Thu, Jul 20
Market Measures
Legging Out of Iron Condors
Thu, Jul 20
Trades From the Research Team LIVE
Trades From the Research Team LIVE
Wed, Jul 19
Market Measures
Economic Reports and Volatility
Wed, Jul 19
Options Jive
What's With the Low VIX?
Wed, Jul 19
Strategies for IRA
Earnings and Iron Condors
Tue, Jul 18
Market Measures
Mullet: Short Front, Long Back
Tue, Jul 18
Options Jive
China Moving Into the EEM
Tue, Jul 18
tasty BITES
Why 45 Days?
Mon, Jul 17
Market Measures
Multifactor ETFs
Mon, Jul 17
Options Jive
Leveraged ETFs: Too Much Leverage?
Mon, Jul 17
Best Practices
Earning's Season
Geeks on Parade videos are on the homepage! o o o o o
© tastytrade.com, 2017
The Data Science Behind Financial Backtesting (Dr. Data) Vol Skew, Probability & Why Selling Excess Risk Premium Makes Money (TP) Contango & Backwardation: Opportunities in Fixed vs. Variable Cost of Carry (Pete) The Trouble with Overfit & the Advantages of Model Simplicity (Jacob) Covariance & Correlation: Origin, Understanding and Application (Jim)
Michael Rechenthin, PhD | Kai Zeng
Page 5 of 9
This is our broad view of the market ranging from stocks to bonds to currencies.
© tastytrade.com, 2017
Michael Rechenthin, PhD | Kai Zeng
Page 6 of 9
Exchange-traded funds (ETFs) are securities that trade like stock while tracking indices, commodities, bonds, and baskets of assets. We are tracking these ETFs because of the opportunity they present and the liquidity they exhibit.
© tastytrade.com, 2017
Michael Rechenthin, PhD | Kai Zeng
Page 7 of 9
These are a few of the individual stocks that we have on our radar. Always be aware of expected earning date when choosing your expiration. Individual stocks do have more risk of sudden moves - make sure you are compensated for the risk.
© tastytrade.com, 2017
Michael Rechenthin, PhD | Kai Zeng
Page 8 of 9
Reading this Report Expected Range Cone. The following pages show stocks and ETFs that the tastytrade Research Team currently find have relatively high or low volatility. The colored cone represents a 30-day expected theoretical price range that is calculated from the options’ implied volatilities. If the implied volatility is relatively high, then the market is expecting a larger price change in the underlying stock or ETF. From this we can derive the market’s 1 standard deviation theoretical expectation of where prices might be in the future. In other words, the market is expecting, with a 68% theoretical probability, that prices will fall within the boundary of the cone at the end of 30 days.
Cone Color. The color of the cone is significant. The darker the color, the
more “extreme” the implied volatility (IV) which is represented by implied volatility rank (IV Rank). This information can help you decide on a trading strategy.
Glossary IV. Implied Volatility is the estimated volatility of a security’s price derived from its option price; the higher the IV, the more expensive the
option and therefore the larger the expected price move. IV is an annualized number of volatility, e.g. a IV of 27 means the option’s market is pricing in an annualized price range, either plus or minus, of 27%.
IV Rank. IV by itself doesn’t tell us if if the volatility is high or low - but IV Rank does. An IV Rank of 70 means that the IV is 70% between its low and high IV over the past year. The higher the IV Rank, the higher the security’s IV is compared to its past year. We provide six levels to make evaluating easier: • Extremely High: IV Rank between 90 and 100 • High: IV Rank between 75 and 90 • Moderately High: IV Rank between 50 and 75 • Moderately Low: IV Rank between 25 and 50 • Low: IV Rank between 10 and 25 • Extremely Low: IV Rank between 0 and 10
Option Liquidity. At tastytrade we have our own theoretical measure of option liquidity, Poor, Moderate, Good, or Great. It examines the options’ bid/ask spread, open interest, and the number of strikes with non-zero bids.
Correlation with S&P 500. Correlation is a statistical measure of how strong a relationship two securities have with one another. A correlation of -1 means the stocks are perfectly negatively correlated (they move in opposite directions), while a correlation of +1 means the stocks are perfectly positively correlated (they move in the same direction). A correlation of 0 means there exist little relationship.
Earnings. The earnings date of the security. In practice we tend to see stocks have a larger amount of implied volatility (IV) nearer to
earnings as the market is pricing in the fear of the upcoming earnings announcement. In parethesis, is BTO or AMC; "Before the Open" or "After Market Closes", respectively. Upcoming earnings dates do sometimes change.
Disclosures tastytrade content is provided solely by dough, Inc., and is for informational and educational purposes only. All volatility, probability, liquidity and correlation numbers are purely theoretical in nature, and are for illustrative purposes only. It is not, nor is it intended to be, trading or investment advice or a recommendation that any security, futures, transaction or investment strategy is suitable for any person. Options are not suitable for all investors as the special risks inherent to options trading may expose investors to potentially rapid and substantial losses. tastytrade or its parent, dough, Inc., does not provide investment or financial advice or make investment recommendations, nor is either in the business of transacting trades, nor does it direct client commodity accounts or give commodity trading advice tailored to any particular client’s situation or investment objectives.
© tastytrade.com, 2017
Michael Rechenthin, PhD | Kai Zeng
Page 9 of 9