The Belly of Capitalism

Much Less Low Volatility Stocks This Week

2007-01-28T15:21:00.000-05:00

Categories: stock options, volatility, delta neutral
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New Batch of Low Volatility Stocks

2007-01-15T09:36:00.000-05:00

Click on the snapshots below to see the rest of the list.

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Happy New Year!

2007-01-03T09:52:00.000-05:00

Click on the snapshots below to see the rest of the list.

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More Low Volatility Stocks

2006-12-18T09:17:00.000-05:00

Click on the snapshots below to see the rest of the list.

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This Week Low Volatility Stocks

2006-12-11T08:56:00.000-05:00

The list of stocks at their lowest volatility reading for the year is getting shorter:

Click on the snapshots below to see the rest of the list.

Categories: stock options, volatility, delta neutral
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Low Volatility Stocks

2006-12-03T10:00:00.000-05:00

This week scan is still loaded:

Click on the snapshots below to see the rest of the list.

The following charts show that the implied volatility index is at his lowest values since quite a while:

Categories: stock options, volatility, delta neutral
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A Lot of Low Volatility Stocks This Week!

2006-11-27T10:00:00.000-05:00

I don't rememember to have seen so many stocks with relative low implied volatility as this week and so many of them hitting the lowest value of the year. It wasn't so long ago that I was remarking how few opportunities were out there.

Click on the snapshots below to see the rest of the list.

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This Week Scan for Low Volatility Stocks

2006-11-20T07:48:00.000-05:00

Here we go again:

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Another Low Volatility Scan

2006-11-12T13:47:00.000-05:00

Stocks with relatively low implied volatility but with large open interest and sufficiently high price, as of the end of last week:

Categories: stock options, volatility, delta neutral
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Effects of the Change of Delta

2006-11-11T11:57:00.000-05:00

The following charts show the minute by minute price during the last ten trading days of the underyling security and of the call and put contracts composing my last delta neutral portfolio. The call and put charts have the corresponding delta values at the end of each trading day.

The following spreadsheet shows the price and the greeks of each option contract as they change as the undelrlying asset price and volatility change. The column named "theoretical" reports the theoretical contract price to be compared with the actual end of day price of the contract. The column named "effective" reports the effective delta resulting from the actual market price changes of both contracts and underlying stock to be compared with the theoretical delta.

Notice the considerable difference between the theoretical delta values and the effective ones at the end of 10/31/2006. The spreadsheet below show the position performance if I had used the effective delta values to build it. It would have been a gain of 44% instead of nothing. The following spreadsheet shows what actually happened.

This spreadsheet reports prices and greeks for AMGN. The agreement between actual values and theoretical values is good. The position lost money because AMGN was threading water.

The prices and greek values for UNH are in the spreadsheet below. Here again I can see a discrepancy between the theoretical and effective values of the delta.

If I had used the effective values the gain in this position would have been of 23% instead of 14%:

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Analysis of Each Position

2006-11-05T13:26:00.000-05:00

I broke even on my DNA position. However, that is disappointing because it did move quite sharply.

The AMGN position lost 6.19%. Here again there was a move though not as clean cut as DNA. These positions might have been incorrectly built.

The UNH position yielded 13.93% though the move was quite churning.

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Closed Portfolio at Break Even

2006-11-05T13:16:00.000-05:00

I closed all positions on Friday essentially breaking even on the initial capital invested. I could never open a position in either PAYX, NCC and CBH because of lack of liquidity in the contracts. The following spreadsheet shows the sale transactions closing each position:

The values of the greeks are as at the close of the previous day.

The following spreadsheets show the mark to market value of each position at the end of trading for all the days of the week (including the last day after I closed the portfolio):

The greeks in these spreadsheets are all calculated at the close of the trading day.

Categories: stock options, volatility, delta neutral
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New Portfolio Open for Business

2006-10-31T09:50:00.000-05:00

The following spreadsheet shows the trades that opened the positions of this week delta neutral portfolio:

I made a few changes to the spreadsheet. The columns are commission paid per contract, date of the transaction, security ticker, strike price of the contract, theoretical price of the contract per share of the underlying security, actual price (of the transaction or marked to market), implied volatility of the underlying security, delta of the contract, gamma of the contract, vega of the contract, number of contracts, action (1 means buy, -1 means sell or mark to market), cost of the transaction (a negative value represents the proceeding of a sale or the mark to market value of the position), total delta of the position, total gamma of the position, total vega of the position.

The following spreadsheet shows the portfolio marked to market at the end of yesterday trading:

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Low Volatility Scan

2006-10-29T18:14:00.000-05:00

Here is the list of stocks with low implied volatility at the end of last week:

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In-Depth Review of each Position

2006-10-29T17:04:00.000-05:00

I lost 9.84% with GILD. It was just churning. Excellent opportunities with GILD did exist at the beginning and at the end of September and again at the beginning of October. Note the extended period of low volatility in September and October.

The AXP position lost 11.82%. It was consolidating with decreasing volatility. The move was not large enough.

The CBH position lost 24%. Again, just churning resulting in decreasing volatility.

With JNJ I lost 7.72%. It consolidated after a big move.

The OEX position was slightly profitable with a 5.66% gain. Notice the stairway pattern of a sharp move after a long consolidation. However, the jump is never sufficiently large to produce a big gain.

UNH was a break even. It was in a consolidation pattern.

Overall, a week of poor opportunities.

Categories: stock options, volatility, delta neutral
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What If?

2006-10-29T09:33:00.001-05:00

This spreadsheet shows again the trades opening all the positions:

The following spreadsheets show the mark to market value (as a negative cost) and the performance of each position and of the entire portfolio at the end of each trading day of the week if I had done nothing:

I also show the theoretical value, the delta and the vega for each contract.

Clearly, the only way to make money from this portfolio was to close it intraday on Monday. The loss at the end of the week is larger than the one that I actually had.

Categories: stock options, volatility, delta neutral
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Closed the Portfolio with a Small Loss

2006-10-27T11:49:00.000-04:00

I had problems blogging this week. Things seems to be back on track now.

These trades opened the positions of the delta neutral portfolio of this week:

I added a few columns to the trade spreadsheet. After the security ticker I have the strike price of the contract and the theoretical value of the contract per share calculated using the IVolatility basic calculator. After the price of the transaction I have the delta and the vega calculated using the basic calculator.

These trades closed all positions:

After the delta column I have the performance of each position.

Categories: stock options, volatility, delta neutral
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Scan for Next Week Opportunities

2006-10-22T09:36:00.001-04:00

As of the end of trading last week the scan for low implied volatility stocks provides the following result:

Not that many opportunities. In fact, they are even less if we filter out mergers and buy-outs. FSL agreed on September 15 to to sell itself to a private-equity consortium led by the Blackstone Group for $17.6 billion, or $40 per share. UNV is being purchased by a group of private equity firms and media mogul Haim Saban for $12.3 billion, or $36.25 in cash per share. HCA is about to go private in a $21 billion management-led leveraged buyout. CVC received an offer by the Dolan family to buy all the shares they do not already own for $27 a share.

The following charts show the price and standard deviation of the remaining stocks over the past year of trading:

The following charts focus on the past two months:

Categories: stock options, volatility, delta neutral
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Performance of Each Trade

2006-10-08T10:53:00.000-04:00

I will be traveling in the next two week and I will not trade. It's a good time to post the performance of all the delta neutral trades (mostly straddles) that I have executed so far:

For each underlying security I print the date of the trade, the cash used to make the trade, including commissions (cash in), the cash released by liquidating the position, minus the cost of commissions (cash out), the performance of each trade and the total performance for that underlying security.

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Analysis

2006-10-07T11:17:00.000-04:00

I made a 50% gain with CELG. This was a good trade. A bit of churning followed by a sharp and large move.

I lost 6.35% on JNJ. Though it did make a decent move it backtracked it immediately.

I broke even on MT. It did move in the end but the initial churning was to strong.

PG was a loss of 13.6%. It did make a clean move but the call did not follow through that well. Looks like it could have been mispriced.

Categories: stock options, volatility, delta neutral
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Closed All Positions with 20% Gain

2006-10-05T17:22:00.000-04:00

The title says it all:

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In the Green

2006-10-04T14:00:00.000-04:00

My portfolio not so long ago:

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Option Relative Performance

2006-10-04T08:42:00.000-04:00

Yesterday evening my portfolio looked like this:

The following charts show the relative performance of each option pair and the underlying stock:

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Started a New Portfolio

2006-10-02T19:11:00.000-04:00

I refilled the delta neutral portfolio today with these trades:

I added a new column to the trade sheet with the theoretical value of the contract generated by the calculator corresponding to the given delta. As a side note, LQHJV and LQHVV were purchased at different times during the day and the calculated values of price and delta correspond to the purchase time.

At the end of today's trading my portfolio looked like this:

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Scanning Again

2006-10-01T08:54:00.000-04:00

This is the result of this week scan for low implied volatility:

The following charts show the price and standard deviation of the first 10 of the list over the past year of trading, after removing the companies that are being acquired:

The following charts focus on the past two months:

Categories: stock options, volatility, delta neutral
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