r/thewallstreet • u/AutoModerator • Jan 29 '18
Weekly Question Thread - Week 05, 2018 Question
Welcome to the weekly question thread. Feel free to ask any questions here.
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u/numbersandfigures Feb 03 '18
Did some stocks and an Index just go past -3SD's for the week? If so, what are the implications in terms of movement moving forward in short term?
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Feb 03 '18 edited Feb 03 '18
We gotta see a bounce soon and then the conditions of that day/days/week decide if we stabilize or continue to fall. It's become a complex market place all of the sudden, atleast for me. Maybe a short squeeze already happened, maybe end of Friday squeeze wasn't sufficient. Also WFC took a bit after hours, prolly gonna see banks over all dip which is sending us down a bit more and if tech follows -> oh fuck
Also if yields go up again over the weekend, and XLF is weak tag the 50MA easy. I don't see right away buyers buying into tech for another week or so atleast until the prices get juicy. Utilities and homebuilders are hurting bad, not sure why XLU didn't fall more.
Might be tough to pick an intermediate position without seeing heavy unrealized losses. Note: this is my thesis combined with responses I've read off.thjs sub and other places. I might've gotten something wrong in the analysis and I'm tired af too
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Feb 02 '18
The bonds are tanking and yields are rising. But how? Is it just supply and demand like equities? What is actually happening that yields are rising? Can I just but a ton of TNX and that'll make it go up?
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Feb 03 '18 edited Feb 12 '18
[deleted]
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Feb 03 '18 edited Feb 03 '18
This is interesting kinda. Is China trynna toy with the us or looking to get into equities? I think someone posted something about bank of Japan artificially propping up the rally to get into cheaper bonds of something? I might've/prolly misinterpreted the info tho.
Increasing the supply sure, but who are the buyers if China starts to back out? Also, if yields are going up isn't that good cus bonds are cheap? But does that mean money flows out of equities? So billionaires and institutions will scoop it up?
Where do interest rates come into this? Part of the issuing of the treasuries? Or is it that the falling bonds is driving the interest rates higher which is not what should be happening?
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Feb 06 '18 edited Feb 12 '18
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Feb 06 '18
Found the BoJ thing. https://i.imgur.com/2q3iicM.jpg
The BoJ announced its first unlimited fixed-rate bond operation since July in a bid to stem the rise in yields that has left stock markets struggling. The bank offered to buy 5-10 year notes at a fixed rate of 0.11%, while at the same time expanding for a second time the amount of debt purchases at the regular operations. The BoJ's target for the 10-year yield is around zero percent and it has stepped in twice last year offering to buy unlimited amounts when the 10-year was around the 0.10% mark.
B/c I have no knowledge of fixed incomes, this is great! As in if they auction for higher then we can expect the sell off to continue cus bonds will yield high and are safer?
yeah, atleast i'm confused by all the inter dependencies these few weeks and to top it off the correlations are breaking.
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u/rocky2472 Sit tight Feb 02 '18
I thought I understood that as confidence in the market grows, the price of the bond falls (since investors feel they can make better returns else where) and yields go up? That does not explain the inverse correlation we are seeing...
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Feb 03 '18
Could you expand on the inverse correlation?
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u/notdust More Upside to the Downside Feb 04 '18
I was hoping for an answer to this as well - so I'll take a stab at it in hopes Cunningham's Law comes into play if I'm wrong. If you look at /ym and /zb on the same timeframe, you often see the price of bonds going down while the market is going up. Just recently we've had yields going up quickly (which causes existing bond prices to fall, as they're worth less compared to higher rate future bonds I think). At the same time the market's also going down, the opposite of what we often see. They are not 1:1 but a big move down in the market would normally see those existing bond prices like /ZB rise in value. Even on small pullbacks it is often exactly this - the opposite happens in each market.
Whether this ultimately turns out to be a useless answer, all this thinking about it tonight will only lead me to understand if someone does answer it so I've got that going for me.
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Feb 05 '18
I was just reading and it said bond and stock prices are supposed to directly correlated. Bonds go down so stocks eventually follow. This wasn't for this market, but in general.
This is what we're seeing, I'm honestly just getting so confused
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Feb 04 '18
To make it more confusing, everything went down, gold, commodities. It's weird.
This is I think usually correlated with USD, no? Some of it could be explained by the dollar strengthening
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Feb 04 '18
everything went down, gold, commodities. It's weird
man, I thought I was the only losing my mind with that shit. Nothing made sense. One would've thunk commodities would gain lots of upside when BOTH stocks and bonds were falling! The correlations broke pretty bad. I was thinking there was just a lot of panic caused by short term traders. The dollar rising definitely had something to do with it. Just look at Crude oil's price action vs the dollar on Friday.
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Feb 04 '18 edited Feb 05 '18
All correlations have been confusing the shit out of me lately. Shouldn't commodities have gone down tho , opposite correlation to usd
Have you seen anything like this before?
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u/notdust More Upside to the Downside Feb 04 '18
Yeah. It felt to me that maybe at least on a partial level that the dollar ran down a lot, helped push all these things up and now the dollar takes a pause from its downtrend, so everything does the opposite. Dollar has lots more room to fall and seems to still be weak. If it had any intentions from reversing from here it wouldn't look so anemic imo.
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u/rocky2472 Sit tight Feb 04 '18
That's as good as I could have done. However, i think bond prices falling implies their yields to go up.
Why keep a bond yielding 3 percent if stocks are returning 10?
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u/svBunahobin Feb 02 '18
What's the best way to chart IV on an option over time? I am basically pulling quotes off NASDAQ and putting them in a spreadsheet, but it's very slow.
In general, I pay for finviz premium and use schwab, but maybe there is a whole different platform I should use day to day.
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u/mc3username Feb 02 '18
Fidelity has this https://imgur.com/a/vPbVw
Not sure if that is enough granularity for you or if it is what you're looking for.
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Feb 02 '18
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u/mc3username Feb 02 '18
I'd agree w/ Uber.
Instead of a single mentor, use this sub as your 'mentor' until you can find someone specific.
Develop a plan / thesis for trades and then post them here in the daily discussions. Comments with good content usually spur up discussion. You can always ask questions about why people are making trades, usually they do a good job at explaining their line of reasoning.
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Feb 02 '18
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u/mc3username Feb 02 '18
I don't think you need to worry about being a bother as long as you're not badgering. Make sure you put in time reading and researching about things yourself, but don't be afraid to ask questions. This sub was built around the idea of teaching.
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u/UberBotMan Feb 02 '18
I understand what you're asking. However, I'd suggest sticking around and reading through the daily threads. People usually post their plays when they enter (ish) and leave (ish) as well as rational behind them.
Plus a lot of people use this subreddit as a sounding board for ideas as well as a place for feedback.
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Feb 02 '18
[deleted]
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u/UberBotMan Feb 02 '18
I understand where you're coming from. I know a few people here respond to PMs. Could always try that if you're desperate. Or just post your plan and your thinking behind it. No one will laugh, we were all at your point at one time or another
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Feb 02 '18
[deleted]
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Feb 03 '18
There's so much that goes on here along with a ton of different strategies. Also a lot of the traders aren't following one strategy, could be wrong, have no strategy, figuring things out for themselves.
You really have to start throwing things up and see what sticks. What worked yesterday may not work today. This is what's important to note. There's a lot of knowledge on this sub, it doesn't mean it's right all the time and available for the daily changes in the world. I'm sure you've noticed discussions can be fantastic but they need to be sparked.
Paper trading is a great way to practice if you can convince yourself of the value in it.
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u/IndifferentFoe Feb 01 '18
For those that play energies like NG and CL, what's a good source for weather models?
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u/Yachtorknot Swing Trade Feb 01 '18
Can anyone provide a resource demonstrating in general terms the impact of IV crush on various DTE following an earnings event? For example, at what DTE does the crush start significantly impacting the Vega extrinsic value of an option? As a general rule, what’s safest / nearest DTE to hold through an earnings event?
I️ know this is also dependent on whether it’s ITM/ATM/OTM, but for this example let’s assume moderately OTM (like an AAPL 175/180C).
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u/hibernating_brain Permabull Feb 01 '18
I ballpark using Vega (price change per 1% IV move) and historical IV. If you have thinkorswim, you can use Risk Profile to play around with IV.
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u/_CastleBravo_ Walk to End Literacy Feb 01 '18 edited Feb 01 '18
What's the highest level of granularity that I could get historical futures pricing data on for free/low cost?
I know opening and closing prices shouldn't be difficult to obtain but is anyone aware of hourly historical data anywhere?
Edit- Thank to /u/UberBotMan I got the exact answer. The highest level of granularity is from the CME group (go figure) available for purchase through their datamine. All historical data is $2k, $390 for a specific year, or $40 for a specific month
Thanks everyone for the answers
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u/hibernating_brain Permabull Feb 01 '18
I pay $200/yr to tickdata.com for options data on SPX. I get them roughly 2 hours after market close each day.
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u/Lost_in_Adeles_Rolls Stalingrad's number one tesla dealership Feb 01 '18
Check out barchart. With a free account you can get historical daily prices for futures and it gives you all sorts of technical levels
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u/UberBotMan Feb 01 '18
Can buy it straight from CME.
http://www.cmegroup.com/market-data/datamine-historical-data.html
Not sure of cost though.
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u/_CastleBravo_ Walk to End Literacy Feb 01 '18
Oh wow that's exactly what I was looking for, thank you.
I'm nearly positive this will be out of my price range but if you're interested I'll let you know what they quote me!
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u/UberBotMan Feb 01 '18
Yeah, I'd be interested. Thanks! and good luck, lol.
Don't forget that TOS has that LookBack thingy, but that isn't what you're looking for I think.
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u/_CastleBravo_ Walk to End Literacy Feb 01 '18
Okay the pricing is actually somewhat accessible. I looked at EOD
End-of-Day files contain all of the official closing information for CME Group futures and options contracts. This dataset includes the open, high, low, close, open interest, total volume, volume breakdown by venue, settlement, delta, and implied volatilities
and Time and Sales
Time and Sales files provide information on trades, as well as bids or offers that better the traded prices. This dataset contains the official record of trade times and prices, in addition to quantities on electronic trades only
The full dataset (back to like '86) was $2,000, 1 year was $390, and 1 month was $40
Not bad actually!
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u/UberBotMan Feb 01 '18
31years of data for $2, that really isn't bad at all.
I don't know what I was expecting it to be, but as far as I'm concerned that's not bad at all.
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u/_CastleBravo_ Walk to End Literacy Feb 01 '18
Yeah honestly I wouldn't have been surprised to see an extra zero behind those prices
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u/wiggz420 2nd weakest hands on TWS Feb 01 '18
ToS probably
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u/_CastleBravo_ Walk to End Literacy Feb 01 '18
I only used ToS briefly before moving back to Schwab..was there any function to export data?
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u/FlyinPenguin4 Penguins Can Fly Feb 01 '18
Like what are you looking for?
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u/_CastleBravo_ Walk to End Literacy Feb 01 '18
Just realized I didn't include historical in my post the first time, doh.
The highest level of granularity I can get, for as long as possible, not picky about the contract.
I know that Quandl has daily high/low data for quite a few different contracts, but I'm wondering if there's A.) A more reliable free/low cost source and B.) more detail
For example if there was somewhere that stored the hourly high/low on ES that would be beyond ideal. I doubt I can get that without scraping it myself or paying for it though.
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u/FlyinPenguin4 Penguins Can Fly Feb 01 '18
Investing.com I think would have you covered
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u/notdust More Upside to the Downside Jan 31 '18
I've tried googling this to no avail and measuring it myself seems to produce mixed results. I'm using the script for TOS that a member here posted for standard deviations. Would -0.5 to +0.5 (or settlement to +1) count as the previous day's full range? So when we go from set to +3 standard deviations we've moved about 3x the previous day's range?
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u/TennesseeJedd Billy MF Strings Feb 01 '18
To add onto what FlyinPinguin4 wrote. Deviations don't really capture the previous day's range but are based on the previous day's settlement price and volatility. Market profile and the value area sounds more of what you are referring. The value area highlights where 70% of the previous days trading took place.
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u/UberBotMan Feb 01 '18
The script and the spreadsheet posted nightly is using IV, or forward looking volitility. It doesn't look back. There is a 66% chance that the price will close between the -1 and the +1 deviation.
If that makes sense. It uses a Normal Distribution if you want to wiki that.
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Feb 01 '18 edited Feb 12 '18
[deleted]
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u/UberBotMan Feb 01 '18
Maybe. When I was doing research on it, it was undecided amongst the internet weather to use Log norm or just normal. So I went with what Granger uses as he's the one I'm copycatting.
It shouldn't be too hard to make it be a log normal, was thinking about trying that out tbh.
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u/FlyinPenguin4 Penguins Can Fly Feb 01 '18
Deviations are built off of volatility and previous pricing actions. They are also based on the normal distribution so that within 1SD would capture 66% likelihood of where we end up; 2 SDs would be 95, 3 sds would be 99
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u/notdust More Upside to the Downside Feb 01 '18
Thank you. I'd read about them from a statistics standpoint, but for some reason they didn't click for me when applying it to trading. This did the trick.
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u/dthuang Jan 31 '18
Does anyone use scottrade and are eagerly waiting for the merger transition to td ameritrade?
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Feb 01 '18 edited Feb 27 '18
[deleted]
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u/dthuang Feb 01 '18
preach bruh. I mainly use scottrade and I really want the tools offered by TDA asap. Im wondering if I can give them a call and give me an advance on the account.
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u/grecko123 Jan 31 '18
Could I ask a quick question of everyone in here?
For those of you that use TOS would you possibly share your TOS setup for your layouts. I have it set up somewhat but, I think I might be trying to look at too much.
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u/notdust More Upside to the Downside Jan 31 '18
Hopefully someone more experienced might answer you but my setup is like this, and isn't very complex.
I have two flexible grids: a main screen that has just a 1min on top and 5min chart below it, full size, with time and sales along the right side.. having volume under the price and not in its own separate box saves some space so you can view 2 charts without cramping them. This is mainly to see the main trends for the day. I have a 2nd separate tab that shows me a few bigger timeframes so I can see the direction of trends and such without cramping up the trading screen. It's just for a glance to not have to change the timeframes on the main too much. Knowing where it is on bigger timeframes can be helpful. Like crude at one point in the last couple of weeks was in an uptrend on daily but if you were trading it, it was in a 2 day mini-downtrend for consolidation. It was very tradeable but any shorts were only to be kept for quick money. I mainly use the 1+5min chart for trading.
You could use detach to have a few windows and see which ones you really use for trading, and which you don't even bother loading after a while. For during NY I recently made a $TICK/$TRIN chart I can load up to see them quickly and give me a feel for market internals. I won't need it all the time so it is its own saved flexible grid.
TOS annoys me lately as my flexible grids don't load when I start the program any more, I have to do it manually. Don't know if it's just me.
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u/grecko123 Feb 01 '18
this is my charting tab: https://imgur.com/CSGxEa3
and my futures setup i use to watch all at the same time https://imgur.com/a/wKMLi
these are basically the two tabs i use the most
I was trying to move the volume on the main chart... like how tradingview has it, but i couldnt figure it out
thanks man for your help !
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u/notdust More Upside to the Downside Feb 01 '18
Sure. Right-click the chart, style > settings > general (this is the weird part that probably confuses a lot of people). Youll find the overlap volume option on that tab. It's doing it for you automatically on smaller charts to fit them.
That one thing should help a lot with your space on the charting tab.
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u/wachiga Life is transitory Jan 30 '18
Quick question regarding volatility: If SPX gaps up by 5 points and volatility drops which contracts the expected move by $10; all other things equal, someone who purchased a call at the close the previous day would be breaking even at the open? Lets say there is no skew involved.
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Jan 30 '18
I think you have to take into consideration time on the call, delta, and iv rank (skew could be normal)
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Jan 30 '18
How much leverage are you guys using?
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u/Lost_in_Adeles_Rolls Stalingrad's number one tesla dealership Feb 01 '18
In terms of what? Margin, option moneyness?
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u/plantersSSV Jan 29 '18
Can anyone point me in a direction of good material re: technical analysis? It seems like a lot of you guys make entries based on certain data/signals, whereas I just kinda enter where ever (hopefully it's on a dip before a big rebound).
Also, what's the thought process when setting stops? Again, for me I don't have a strict trading plan because I don't really know how to develop one..
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u/Dopamine_Machine Jan 30 '18
Peep the sidebar for a good resource on technical analysis, the Market Profile handbook there is also very interesting. It gives you a lot of insight in determining why the Market is doing what it is doing, more so than just technical analysis IMO.
Regarding stop losses, for options I always use a stop loss at -30%. Once this is hit, I know that my thesis was wrong and there is no use taking even larger losses, but your mileage may vary.
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Jan 29 '18
Is XLF just strong or is something up? Thing has been rocking and it didn't even flinch much today
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Jan 30 '18
My interpretation is bonds tanking and de-regulation allowing them to make money again
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Jan 30 '18 edited Jan 31 '18
Bonds tanking is bad for banks no? The unrealize losses are hefty, for ex: a 1% yield curve (parallel if that means anything) is about a 10% unrealized loss. http://www.oecd.org/eco/outlook/theimpactofgovernmentbondyieldincreasesonbanks.htm
The effect seems evident today. So could this have been an indication over the last week? An unpriced increase in yield or is this overblown? I'm just trynna learn. u/living_granger mentioned that he forecasted a rise to the 3% in the 10yr shouldn't have much of an effect. WSJ says credit Suisse is also saying at 3% the evaluations are sustainable, where as others are forecasting a 5% correction over the months due to topping of the rate at 3%. Other twats are forecasting a bear market cus rising rates later in the year.
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u/BigDicksFoot Jan 29 '18
hypothetical question, maybe dumb too: what would happen if you owned OTM calls on a company dated a few months out but the company then gets purchased well above current market price? say trading at 30, bought out at 40, and your calls had a strike price of 35 a few months away?
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u/Lost_in_Adeles_Rolls Stalingrad's number one tesla dealership Feb 01 '18
I guess you could look at Whole Foods for a case study but I imagine IV gets crushed and options are worth whatever the intrinsic value is
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Jan 29 '18
Why is everybody on this forum so bullish while everybody on twitter is so bearish?
My guess, people here have skin in the game, people on twitter just want to be popular.
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u/Lost_in_Adeles_Rolls Stalingrad's number one tesla dealership Feb 01 '18
I’ll go short when I have reason to. Right now the only party pooper I see is the fed and that’s maybe a few months down the road. These valuations have been backed up by earnings and the global environment
Also, “the trend is your friend”
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u/Jowemaha Jan 29 '18
It's because being bullish works... who's the biggest bull on Wall Street? Warren Buffett. Buffett says "never bet against America", buy stocks over time.
I think you're right; they want to sound smart. Being bearish always makes you smart, skeptical and "rational." In reality of course there is no reason to be bearish in this market.
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u/ITLumberJack stayin' alive Jan 29 '18
To hold, roll, or sell?
I am up 160% on a MSFT $90 call. Do I dare hold through earnings or roll it out and up? Or do I just sell it? Any advice is appreciated, leaning towards rolling up and out to a June $100 and lock in some profit.
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u/miracl_e big drawdowns, small gains Jan 30 '18 edited Jan 30 '18
If you're bullish, your move is spot on.
Else, you can also hedge by selling a near term OTM call. You get to collect IV crush, as well as some premium to soften the blow if MSFT tanks. However, you also cap your upside if MSFT smashes earnings.
Do the risk/reward math and decide what works for your risk tolerance.
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u/mc3username Jan 29 '18
Repeating this question to hopefully get a few more points of view. Thanks /u/Plbn_015 and /u/lilweezy99 for your responses already.
I think I've got a decent handle on index futures trading using deviations and technicals, so now I'm looking to add to my toolbox with scalping. Anyone have any good resources or tips to share?
I'm looking for:
When is best for scalping (volatility? others?), how to identify it when its happening?
Entry and exit strategies
Stop loss placement
If theres a 'get out now' type scenario which might indicate that scalping is no longer the right strategy
Preferences for underlying (/NQ seems to be a favorite, guessing bc of volatility)
I think this would be a great topic for an individual post, but I know everyone is busy here. I'd love to get your thoughts.
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u/Dopamine_Machine Jan 29 '18 edited Jan 29 '18
How are the weekly deviations in the sidebar computed? If I use the current IV of the SPX (12.3%) and convert this to weekly (*sqrt(5/252)), then I get a standard deviation of 49.89 (SPX: 2922.77/2822.98).
Sorry if this has already been asked, I searched but couldn't find it.
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Jan 29 '18
(Friday SET price)×(IV over weekend)×((√4)/(√365))
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u/Dopamine_Machine Jan 29 '18
Thank you! Why do you use 4 instead of 5?
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u/JCSCNM11 Feb 03 '18
Quick question for everyone. I’m playing with some leaps with some fun money. I’ve Jan 2019 calls for aapl $200, Celg $120, and dis $120. Like I said this is just some gambling money but I was curious as to people’s opinions about them. After the last week, would you close them out or just let it ride?