September 12, 2017

Activity in Crude/Gas. Crude futures (/CL) have seen quite Stocks/ETFs above 50% IV Rank
a bit of movement over the past two weeks from lows of IV Rank IV Days until Earnings
$45.58 to highs of $49.58 an almost 9% movement. Gasoline
BK 81 23 36
Futures (/RB) have retracted from multi-year highs of $1.81 to
$1.63 an 11% decline. GE 77 24 37
COST 74 21 22
All this movement has been pretty positive for the oil and gas
VZ 69 20 36
ETFs: OIH (up 7% from 2 week lows), XLE (up 5% from 2 week
lows), and XOP (up 4% from 2 week lows). ORCL 69 26 1
AAPL 67 26 41
Strongest and Weakest ETFs. Brazil (EWZ) has been on a JNJ 60 16 34
tear, along with the emerging markets ETF (EEM).
FDX 59 27 6
The Biotech ETF (XBI) has seen large increases; within the PM 59 20 36
biotechs, INSM, IMMU, KITE, JUNO, EPZM, BLUE, PBYI, and PEP 59 17 21
IMGN have all seen moves over 30% within the past month. PYPL 57 27 36
We tend to avoid selling option premium in individual biotech
NKE 54 28 13
stocks though, due to the large outlier risks.
DIS 53 19 Past
The Gold Miners ETF (GDXJ and GDX) along with the Metals XLF 52 20 N/A
and Mining ETF (XME) have also seen large increases of 8.4%,
UTX 49 20 41
7.3% and 7.2% over the past month respectively.
BLK 49 22 34
Stocks and ETFs with IV Rank above 50%. Please see IBM 49 20 33
the list of stocks and ETFs with IV Ranks above 50%. Notice also T 48 19 41
any upcoming earnings (last column).
LOW 43 24 Past

What Else Are We Trading? The Research Team is

also considering:
Bearish put calendar in SPX
Bullish iron condor in DIS
Sold put in CMG
Neutral iron condor in HD
Neutral straddle in XLF
Neutral iron condor in MSFT
Bearish iron condor in GLD
Synthetic long stock in UUP
Michael Rechenthin, PhD
Kai Zeng
research@tastytrade.com
 3-Month Correlations of Price Returns
One way that we seek diversification is through
trading stocks/ETFs with relatively low correlations.

Dow Stocks.
Apple (AAPL) has seen the largest increase over the past month (in anticipation of iPhone 8 announcement on September 12?),
while Nike (NKE) has run into a bit of trouble. As far as volatility is considered, GE, TRV, AAPL, VZ and JNJ are all seeing high levels
of IV Rank.

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 Earnings season will start back mid-October expect to see few big
name companies report until then. Seen below is a visualization of the
number of stocks in the S&P 500 with upcoming earnings.

Symbol Description Expected Date Release Time Weekly Options?

ORCL Oracle Corp. Thu Sep-14 After Close Yes
LEN Lennar CorpClass A Tue Sep-19 Before Open -
AZO AutoZone Tue Sep-19 Before Open Yes
KBH KB Home Tue Sep-19 After Close -
FDX FedEx Corp. Tue Sep-19 After Close Yes
ADBE Adobe Systems Incorporated - Tue Sep-19 After Close Yes
BBBY Bed Bath & Beyond Tue Sep-19 After Close Yes
GIS General Mills Wed Sep-20 Before Open -

Historical Stock Moves Around Earnings

Historical Price Move From Immediately Before Earnings to Friday's Expiration
Earnings Release Date 2nd Q 1st Q 4th Q 3rd Q 2nd Q 1st Q 4th Q 3rd Q 2nd Q
2017 2017 2016 2016 2016 2016 2015 2015 2015
ORCL Sept 14 (After Close) 10% 6% -4% -5% 3% 7% -7% -5% -7%
LEN Sept 19 (Before Open) -1% -3% 0% -4% -4% 2% -2% 0% 6%
ADBE Sept 19 (After Close) 3% 4% -1% 7% -8% 4% 3% 1% -0%
BBBY Sept 19 (After Close) -12% 4% -11% 1% 0% -4% 0% 1% 1%
FDX Sept 19 (After Close) 3% -2% -3% 7% -8% 13% -1% -6% -3%

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 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.

Dividend Per In Russell

Symbol Description Ex-Dividend Date In Dow? In S&P 500?
Share 2000?
GRMN Garmin Ltd. Wed, Sep 13 $0.51 - Yes -
GG Goldcorp Wed, Sep 13 $0.02 - - -
NEM Newmont Mining Wed, Sep 13 $0.08 - Yes -
M Macy's Inc Thu, Sep 14 $0.38 - Yes -
MO Altria Group Thu, Sep 14 $0.66 - Yes -
BANC Banc of California Thu, Sep 14 $0.13 - - Yes
KBR KBR Thu, Sep 14 $0.08 - - Yes
AME AMETEK Thu, Sep 14 $0.09 - Yes -
XL XL Group Ltd. Thu, Sep 14 $0.22 - Yes -
VIAB Viacom (Class B) Thu, Sep 14 $0.20 - Yes -
VIA Viacom (Class A) Thu, Sep 14 $0.20 - - -
AIG American International Group New Thu, Sep 14 $0.32 - Yes -
GILD Gilead Sciences, Thu, Sep 14 $0.52 - Yes -
NDAQ Nasdaq, Thu, Sep 14 $0.38 - Yes -
MRK Merck & (new) Thu, Sep 14 $0.47 Yes Yes -
KO Coca-Cola Thu, Sep 14 $0.37 Yes Yes -
TMO Thermo Fisher Scientific Inc Thu, Sep 14 $0.15 - Yes -
WU Western Union Thu, Sep 14 $0.18 - Yes -
BBBY Bed Bath & Beyond Thu, Sep 14 $0.15 - Yes -
GE General Electric Fri, Sep 15 $0.24 Yes Yes -
ALLE Allegion plcs Fri, Sep 15 $0.16 - Yes -
APH Amphenol Fri, Sep 15 $0.19 - Yes -
DTE DTE Energy Fri, Sep 15 $0.83 - Yes -
BBY Best Buy Co. Mon, Sep 18 $0.34 - Yes -
AVGO Broadcom Limiteds Mon, Sep 18 $1.02 - Yes -
ECL Ecolab Mon, Sep 18 $0.37 - Yes -
TIF Tiffany & Co. Tue, Sep 19 $0.50 - Yes -
STX Seagate Technology PLCs Tue, Sep 19 $0.63 - Yes -
LVS Las Vegas Sands Corp. Wed, Sep 20 $0.73 - - -

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 Show of the Highest Viewed Shows Include:
Date Segment Title
Mon, Sep 11 Market Measures Fading Moves with Skewed Strangles
Mon, Sep 11 Options Jive Seasonality in Equities and Implied Volatility
Mon, Sep 11 Best Practices Trade Defense
Fri, Sep 08 Assume the Position Political Risk, Climate Risk, Financial Risk
Fri, Sep 08 Market Measures Wait or Stay Engaged?
Fri, Sep 08 Resize & Analyze Week of September 5th
Fri, Sep 08 Closing the Gap - Futures Edition North of the Border, South of the Wall
Thu, Sep 07 Market Measures Strangle Return on Capital: 16 Delta vs. 30 Delta
Thu, Sep 07 Options Jive Volatility Smiles & Strategy Selection
Thu, Sep 07 Trades From the Research Team LIVE Trades From the Research Team LIVE
Wed, Sep 06 Market Measures Bullish Strangles in High IV
Wed, Sep 06 Options Jive Mechanics for Defending Trades
Wed, Sep 06 tasty BITES Correlation Risks in a Smaller Account
Tue, Sep 05 Market Measures Weekly Options & Management Targets
Tue, Sep 05 Options Jive How to Use Beta Weighted Delta
Tue, Sep 05 Best Practices Iron Condor Comparisons
Fri, Sep 01 Assume the Position Our Favorite Short
Fri, Sep 01 Market Measures What Metals ETF Are We Trading?
Fri, Sep 01 Options Jive Pairs Trading the Nasdaq 5
Fri, Sep 01 Closing the Gap - Futures Edition Russell Futures Are Back

Geeks on Parade videos are in the archives

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)

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Reading this Report
Expected Range Cone. ThefollowingpagesshowstocksandETFsthat thetastytradeResearch Teamcurrently find have relatively high or
low volatility. The coloredcone represents a 30-dayexpectedtheoretical pricerangethat 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 markets 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 theconeat 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 securitys 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 options market
is pricing in an annualized price range, either plus or minus, of 27%.

IV Rank. IV by itself doesnt 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 securitys 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 parenthesis, 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. d/b/a tastytrade (tastytrade) and is for informational and educational purposes only. It is not, nor is it
intended to be, trading or investment advice or a recommendation that any security, futures contract, transaction or investment strategy is suitable for any
person. Trading securities can involve high risk and the loss of any funds invested. tastytrade, through its content, financial programming or otherwise,
does not provide investment or financial advice or make investment recommendations. Investment information provided may not be appropriate for all
investors, and is provided without respect to individual investor financial sophistication, financial situation, investing time horizon or risk tolerance.
tastytrade is not in the business of transacting securities trades, nor does it direct client commodity accounts or give commodity trading advice tailored to
any particular clients situation or investment objectives. tastytrade is not a licensed financial advisor, registered investment advisor, or a registered broker-
dealer. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

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