F: http://blogs.barrons.com/stockstowa...arish-as-you-think/?mod=yahoobarrons&ru=yahoo http://finance.yahoo.com/news/ford-posts-best-u-december-143000055.html http://stockcharts.com/h-sc/ui?s=F Trade: With F at 14.76 Sept 12/10 bull put spread for a net credit of $23 Yield = 23/177 = 13% in 255 days or 19% annualized Prob = 80% Expectation = .8(23) - .05(177) - .15(89) = 18.4 - 8.85 -13.35 = -3.8 Price.............Profit / Loss............ROM % 7.50..............(177.00)................-88.50% 9.60..............(177.00)................-88.50% 10.00............(177.00)................-88.50% 11.77.................0.00....................0.00% 11.81.................4.10....................2.05% 12.00................23.00..................13.00% 14.02................23.00..................13.00% 16.23................23.00..................13.00% 18.44................23.00..................13.00%
AMGN: http://finance.yahoo.com/news/amgen-upgraded-strong-buy-portfolio-213009227.html http://www.investopedia.com/article...lions-just-few-drugs.asp?rp=y&partner=YahooSA http://www.msn.com/en-us/money/stockdetails/fi-126.1.AMGN.NAS?symbol=AMGN&form=PRFISB http://stockcharts.com/h-sc/ui Trade: with AMGN at 157.99 Jan '16 110/105 bull put spread for a net credit of $76 Yield = 76/424 = 17.9% in 374 days or 17.5% annualized Prob = 86% Expectation = .86(76) - .11(424) - .03(212) = 65.4 - 46.6 - 6.4 = 12.4 Price..............Profit / Loss...........ROM % 75.00...............(424.00).............-84.80% 100.00.............(424.00).............-84.80% 105.00.............(424.00).............-84.80% 109.24..................0.00.................0.00% 110.00................76.00................17.90% 125.53................76.00................17.90% 150.00................76.00................17.90% 175.00................76.00................17.90% 200.00................76.00................17.90%
TASR: http://finance.yahoo.com/news/bull-day-taser-tasr-bull-060006642.html http://www.msn.com/en-us/money/stockdetails/fi-126.1.TASR.NAS?symbol=TASR&form=PRFISB http://finance.yahoo.com/q/h?s=TASR+Headlines http://stockcharts.com/h-sc/ui?s=tasr Trade: Jan '16 10/5 bull put spread for a net credit of $45 Yield = 45/455 = 10% in 372 days or 9.7% annualized Prob = 91% Expectation = .91(45) - .01(455) - .08(228) = 40.95 - 4.55 - 18.24 = 18.16 Price...............Profit / Loss...........ROM % 3.75.................(455.00).................-91.00% 5.00.................(455.00).................-91.00% 9.28...................(27.00)...................-5.40% 9.55.......................0.00....................0.00% 10.00....................45.00....................9.70% 15.10....................45.00....................9.70% 20.92....................45.00....................9.70% 26.74....................45.00....................9.70% 32.56....................45.00....................9.70%
USO: http://stockcharts.com/h-sc/ui?s=uso http://finance.yahoo.com/news/number-us-oil-rigs-operation-184616613.html http://www.bloomberg.com/news/2015-...t-money-into-funds-in-4-years.html?cmpid=yhoo http://www.bbc.com/news/business-29643612 http://constantvoyagermacro.tumblr.com/post/107404924673/why-the-oil-selloff-is-inducing-paranoia Trade With USO at 18.28 Jan '16 16/20 bull call spread for a net debit of $210 Price................Profit / Loss............ROI % 12.00................(210.00)..............-100.00% 14.50................(210.00)..............-100.00% 16.00................(210.00)..............-100.00% 17.12..................(97.90)................-46.62% 18.10.....................0.00....................0.00% 19.75..................164.70..................78.43% 20.00..................190.00..................90.48% 22.50..................190.00..................90.48% 25.00..................190.00..................90.48%
IPAR: http://finance.yahoo.com/news/bear-day-inter-parfums-ipar-060006014.html http://www.msn.com/en-us/money/stockdetails/fi-126.1.IPAR.NAS?symbol=IPAR&form=PRFISB http://stockcharts.com/h-sc/ui?s=IPAR http://finance.yahoo.com/echarts?s=IPAR Interactive#{"range":"2y","scale":"linear"} Trade: with IPAR at 25.67 Aug 30/35 bear call spread for a net credit of $45 Yield = 45/455 = 9.9% in 219 days or 16.5% annualized Prob = 75% Expectation = .75(45) - .12(455) - .13(227) = 33.75 - 54.6 - 29.51= -50.36 Price............Profit / Loss..........ROM % 20.00...............45.00...................9.90% 25.00...............45.00...................9.90% 28.89...............45.00...................9.90% 30.00...............45.00...................9.90% 30.45.................0.00...................0.00% 33.85............(339.60)...............-67.92% 35.00............(455.00)...............-91.00% 38.80............(455.00)...............-91.00% 43.75............(455.00)...............-91.00%
RIO http://finance.yahoo.com/news/bear-day-rio-tinto-rio-060006532.html http://www.msn.com/en-us/money/stockdetails/fi-126.1.RIO.NYS?symbol=RIO&form=PRFISB http://stockcharts.com/h-sc/ui?s=rio Trade: with RIO at 43.1 Jan '16 50/52.5 bear call spread for a net credit of $50 Yield = 50/200 = 25% in 363 days or 25.1% annualized Prob = 71% Expectation = .71(50) - .24(200) - .05(100) = 35.5 - 48 - 5 = -17.5 Price.................Profit / Loss................ROM % 30.00....................50.00.......................20.00% 40.00....................50.00.......................20.00% 45.44....................50.00.......................20.00% 50.00....................50.00.......................20.00% 50.50......................0.00.........................0.00% 52.17.................(167.00).....................-66.80% 52.50.................(200.00).....................-80.00% 60.00.................(200.00).....................-80.00% 65.00..................(200.00)....................-80.00%
What is the source of these figures? Expectation = .93(61) - .05(939) - .02(469) = 56.7 - 47 - 9.4 = .03 I assume the the first is the probability times the spread price. What are the other two?
IBM: http://finance.yahoo.com/news/ibm-t...revenue-continues-sag-214654905--finance.html http://finance.yahoo.com/news/ibm-fourth-quarter-profit-beats-212334923.html http://www.bizjournals.com/triangle...nings-bill-kreher-edward-jones.html?ana=yahoo http://www.msn.com/en-us/money/stockdetails/fi-126.1.IBM.NYS?symbol=IBM&form=PRFIHQ http://finance.yahoo.com/echarts?s=IBM Interactive#{"range":"2y","scale":"linear"} Trade: With IBM at 156.95 Jan '16 200/205 bear call spread for a net credit of $40 Yield = 40/460 = 8.7% in 360 days or 8.8% annualized Prob = 85% Expectation = .85(40) - .125(460) - .02(230) = 34 - 57.5 - 4.6 = -28.1 Price..................Profit / Loss................ROM % 117.71...................40.00........................8.70% 144.30...................40.00........................8.70% 172.29...................40.00........................8.70% 200.00...................40.00........................8.70% 200.28...................12.50........................2.50% 200.40.....................0.00........................0.00% 205.00................(460.00)....................-92.00% 228.26................(460.00)....................-92.00% 256.25................(460.00)....................-92.00% not a very good trade but the best I can come up with.
T: (a retirement money trade) http://finance.yahoo.com/q/ks?s=T Key Statistics http://finance.yahoo.com/echarts?s=T Interactive#{"range":"10y","scale":"linear"} http://stockcharts.com/h-sc/ui?s=T Trade: with T at 33.95 Jan '16 25/23 bull put spread for a net credit of $15 Yield = 15/185 = 8.1% in 360 days or 8.2% annualized Prob = 95% Expectation = .95(15) - .025(185) - .025(93) = 14.25 - 4.6 - 2.3 = 7.35 Price......................Profit / Loss..............ROM % 17.25......................(185.00)...................-92.50% 22.08......................(185.00)...................-92.50% 23.00......................(185.00)...................-92.50% 24.85...........................0.00.......................0.00% 25.00.........................15.00.......................8.10% 27.17.........................15.00.......................8.10% 32.26.........................15.00.......................8.10% 37.35.........................15.00.......................8.10% 42.44.........................15.00.......................8.10%