StockFetcher Forums · Filter Exchange · Credit Spread Candidates<< 1 2 >>Post Follow-up
bills10733
9 posts
msg #64745
Ignore bills10733
7/5/2008 11:33:23 PM

I am wondering if anyone has filter suggestions for credit spread candidates. Rather than looking for traditionally bullish or bearish trends (although that's one alternative), we might look for stocks that have shown very solid support or resistance. We don't need to predict where they will go, only where they won't go. Does anyone have thoughts? Are there filters there that might work? Even without the specific filter, I would be interested in any ideas at all.

Thanks,
Bill


alf44
2,025 posts
msg #64746
Ignore alf44
modified
7/6/2008 1:05:57 AM

...I have ALWAYS loved the concept of "Credit Spreads"...but I don't know HOW...you could/would scan for potential "underlying" stocks that might lend themselves to THAT strategy !!!

-----------------------------------------------------------

Obviously...for a "Bull PUT Credit Spread"...you want to find stocks that are prolly in UPtrends...and/or ...are NOT likely to fall below the "strike" of the PUT you SOLD ... (that way you keep ALL of the premium of the PUT you SOLD) !!!

AND...

Obviously...for a "BEAR CALL Credit Spread"...you want to find stocks that are prolly in DOWNtrends...and/or...are NOT likely to rise above the "strike" of the CALL you SOLD ... (that way you keep the premium of the CALL you SOLD) !!!

----------------------------------------------------------

SO ...

I guess...if you were to scan for "Credit Spread" possibilites...you want to find stocks that are NOT likely to move...adversely ...to some "safe distance far away strike"...of the option...you SOLD ...

...hmmmmmmm...

...that's indeed a tuff one...

...but...MAN...IF...

...IF...

...this riddle could be solved...you could be the "MONTHLY rent collector" !!!

...Collecting that Option Premium...and getting RICH...SLOWLY but SURELY !!!


I LIKE IT !!!

HELL...I LOVE IT !!!


I'm ALL ears...someone please work on this one !!!



Regards,

alf44

freshpotato
36 posts
msg #64747
Ignore freshpotato
7/6/2008 8:36:09 AM

I have some filters looking to "filter" out good calendar - IC spreads.

I simply count the number of trading days with a movement greater then 5% in the last 99 days, I want that to be below 5.

I also check if the stock has moved more then 5% the last week, 10% the last month or 15% the last three months. All this should be negative

set{5day,sum(day range,5)}
set{20day,sum(day range,20)}
set{60day,sum(day range,60)}

Then you have to look for stocks with low implied volatility

freshpotato
36 posts
msg #64753
Ignore freshpotato
modified
7/6/2008 5:04:01 PM

I just created a filter, this will filter out what I think is the best candidates for calendars / IC. If you or anyone has anything to add to make is better, please share

set{STD,sum(normalized standard deviation(20),99)}
add column STD

set{5%,count(absolute day change is above 5,99)}
add column 5%

set{1week,sum(day change,5)}
add column 1week

set{1month,sum(day change,20)}
add column 1month


set{3months,sum(day change,60)}
add column 3months




and optionable
average volume(30) > 500000
close > 10
std < 2
5% < 1
1week is between 5 and -5
1month is between 10 and -10
3months is between 15 and -15


freshpotato
36 posts
msg #64754
Ignore freshpotato
modified
7/6/2008 5:05:20 PM



set {HistVol,Historical Volatility(100,1) }
add column HistVol


freshpotato
36 posts
msg #64755
Ignore freshpotato
7/6/2008 5:12:25 PM

Added a 12 week channel to the chart

set{channeltop,high 12 week high}
set{channelbottom,low 12 week low}
and draw price line at channeltop
and draw price line at channelbottom

set {HistVol,Historical Volatility(100,1) }
add column HistVol

set{STD,sum(normalized standard deviation(20),99)}
add column STD

set{5%,count(absolute day change is above 5,99)}
add column 5%

set{1week,sum(day change,5)}
add column 1week

set{1month,sum(day change,20)}
add column 1month


set{3months,sum(day change,60)}
add column 3months




and optionable
average volume(30) > 500000
close > 10
std < 2 do not draw std
5% < 1 do not draw 5%
1week is between 5 and -5 do not draw 1week
1month is between 10 and -10 do not draw 1month
3months is between 15 and -15 do not draw 3months

freshpotato
36 posts
msg #64756
Ignore freshpotato
7/6/2008 5:20:22 PM

Made some more adjustments, I added the channeldiff, witch will be the percentage of the 12 week channel. I also added sector, stay away from the crazy sectors


set{channeltop,high 12 week high}
set{channelbottom,low 12 week low}
and draw price line at channeltop
and draw price line at channelbottom
set{channeldiff,channeltop - channelbottom}
add column sector

set {1%,close divided by 100}
set {ch%, channeldiff divided by 1%}
add column ch%

set {HistVol,Historical Volatility(100,1) }
add column HistVol

set{STD,sum(normalized standard deviation(20),99)}
add column STD
a
set{5%,count(absolute day change is above 5,99)}
add column 5%

set{1week,sum(day change,5)}
add column 1week

set{1month,sum(day change,20)}
add column 1month


set{3months,sum(day change,60)}
add column 3months




and optionable
average volume(30) > 500000
close > 10
std < 2 do not draw std
5% < 1 do not draw 5%
1week is between 5 and -5 do not draw 1week
1month is between 10 and -10 do not draw 1month
3months is between 15 and -15 do not draw 3months


bills10733
9 posts
msg #64776
Ignore bills10733
7/8/2008 7:34:10 AM

This is very helpful. It might also be used to find some Calendar Spread candidates, as it seems to hightlight "channeling" stocks.

johnpaulca
11,297 posts
msg #64778
Ignore johnpaulca
7/8/2008 9:00:54 AM

Clickable...

Fetcher[
set{channeltop,high 12 week high}
set{channelbottom,low 12 week low}
and draw price line at channeltop
and draw price line at channelbottom
set{channeldiff,channeltop - channelbottom}
add column sector

set {1%,close divided by 100}
set {ch%, channeldiff divided by 1%}
add column ch%

set {HistVol,Historical Volatility(100,1) }
add column HistVol

set{STD,sum(normalized standard deviation(20),99)}
add column STD
a
set{5%,count(absolute day change is above 5,99)}
add column 5%

set{1week,sum(day change,5)}
add column 1week

set{1month,sum(day change,20)}
add column 1month


set{3months,sum(day change,60)}
add column 3months

and optionable
average volume(30) > 500000
close > 10
std < 2 do not draw std
5% < 1 do not draw 5%
1week is between 5 and -5 do not draw 1week
1month is between 10 and -10 do not draw 1month
3months is between 15 and -15 do not draw 3months
]



maxreturn
745 posts
msg #64781
Ignore maxreturn
7/8/2008 12:04:48 PM

Just a thought. When I see a market trending and IV is trending up I would rather buy a call/put or perhaps a spread if I feel IV is too high. My preference is to put on credit spreads when I see IV falling and price is settling into a trading range. One way to help visualize shrinking volatility is by using bollinger bands.

StockFetcher Forums · Filter Exchange · Credit Spread Candidates<< 1 2 >>Post Follow-up

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