trading

[Criscmt]

Jan 2022 ITM calls have IV 68-69, OTM 71. I am talking near the money like 400-500 vs. 600-700.

Got it. I guess the good thing, the change doesn't seem to be a lot (2-4%), at least going by options expiring Sep-2021 and later.
Also, IV is high for strikes very DITM, then goes lower, and then goes up as we go way OTM.

 

[EV forever]

I spent literally 15 hours since I woke up this morning modelling a ton of things that could happen over the next 4 weeks.

Ended up buying quite a few 24'Dec $580s and 18'Dec $760s at open, for $25.16 and $4.49 avg.

Will likely make a blog post about it all over the next week or two, when I have time.

Looking forward to your blog post Frank!
https://twitter.com/FrankPeelen/status/1333270268203069445?s=20

Hopefully, you will post the link here with your conclusions.

 

[FrankSG]

Looking forward to your blog post Frank!
https://twitter.com/FrankPeelen/status/1333270268203069445?s=20

Hopefully, you will post the link here with your conclusions.

Here you go:

Tesla's S&P 500 Inclusion Part 2: Predicting the transformation of the TSLA float

 

[ammulder]

Here you go:

Tesla's S&P 500 Inclusion Part 2: Predicting the transformation of the TSLA float

I'm in awe of your research and the time commitment needed for this...

...but I was left with one question. No matter what scenario you put in at the end -- even stock prices of $1000-1100 -- it said there was still overall TSLA buying pressure. If you put in $1500 or $2000, does it still predict buying? Is there some reasonable combination of parameters that makes the model predict overall selling? If so, where's that crossover point?

 

[FrankSG]

I'm in awe of your research and the time commitment needed for this...

...but I was left with one question. No matter what scenario you put in at the end -- even stock prices of $1000-1100 -- it said there was still overall TSLA buying pressure. If you put in $1500 or $2000, does it still predict buying? Is there some reasonable combination of parameters that makes the model predict overall selling? If so, where's that crossover point?

Thank you!

It all depends on what you input. If you input infinite options speculation, you could get buying > selling at $1,500 and $2,000, but for the most part it should output selling > buying at $1,500 (and earlier).

I'd recommend downloading the model and playing around with the inputs yourself.

 

[ammulder]

I'd recommend downloading the model and playing around with the inputs yourself.

Thanks, but I don't understand the hedge parameters well enough to believe I'm putting in reasonable values, so with my input it would be a garbage-in-garbage-out sort of thing.

 

[FrankSG]

TSLA down 1%

My most aggressive calls (TSLA 18Dec $760s) up 25%

Makes total sense

 

[c041v]

TSLA down 1%

My most aggressive calls (TSLA 18Dec $760s) up 25%

Makes total sense

I had a limit order for 11DEC20 825's set at $4.50 maybe around 30 min into trading this morning. it did not execute, and I thought I had actually cancelled it. Turns out, it executed a few min ago around $578 as we climbed back from $55X. The IV is a wild 135. Most of my other Calls are downright anemic compared to this.

I bought these on a lark, and still made 400%, but for a very small number of contracts.

 

[EV forever]

TSLA down 1%

My most aggressive calls (TSLA 18Dec $760s) up 25%

Makes total sense

I was not bothering to check my account this morning expecting it to be all red. But went to check after reading your post - well my most aggressive calls Dec 18 $840s are up 35%. Even the single call I bought as a joke because I had $110 leftover - so bought whatever I could with that amount - Dec 11 $950 is up over 50%.
Yep, makes total sense
/s

 

[Sanny]

I guess I became a pro in holding, but still a noob in selling. Need some pro tips: how do you sell several thousands of TSLA shares? In one trade, split into hundreds of shares, etc.?
Lets say I decide to sell on Dec 18 - should I spread orders across the day, do everything in 1-2 hour window? Which hours could have potentially max buying? Can not really get a decent plan for that, and I think it is wrong to plan trades based on particular price levels, I think it is more a timing thing than a price thing.
P.S. Not trying to time the peak and buy back, need to sell part of the holding due to reorganizing.

 

[FrankSG]

I guess I became a pro in holding, but still a noob in selling. Need some pro tips: how do you sell several thousands of TSLA shares? In one trade, split into hundreds of shares, etc.?
Lets say I decide to sell on Dec 18 - should I spread orders across the day, do everything in 1-2 hour window? Which hours could have potentially max buying? Can not really get a decent plan for that, and I think it is wrong to plan trades based on particular price levels, I think it is more a timing thing than a price thing.
P.S. Not trying to time the peak and buy back, need to sell part of the holding due to reorganizing.

If we're talking about Dec 18 in particular, volume should be extremely high that day, so I don't think you'll have to worry about this too much.

 

[Sanny]

If we're talking about Dec 18 in particular, volume should be extremely high that day, so I don't think you'll have to worry about this too much.

Thanks, great idea! I also plan to look into some previous additions (FB and Twitter came to mind) to try to guess best hour of the day.

 

[mickificki]

If we're talking about Dec 18 in particular, volume should be extremely high that day, so I don't think you'll have to worry about this too much.

Frank, am I assuming correctly that you’ll sell your Dec 18 before Dec 18? Maybe a few days before?

 

[FrankSG]

Frank, am I assuming correctly that you’ll sell your Dec 18 before Dec 18? Maybe a few days before?

Depends on many factors, including how large a percentage of my portfolio the options grow into. They're already very sizeable. It won't just depend on the risk/reward of the options, nor how long until expiration.

It's possible I'll sell a lot or all of my options well before the 18th, it's also possible I'll hold most until a few hours until expiration on the 18th.

 

[EV forever]

Here you go:

Tesla's S&P 500 Inclusion Part 2: Predicting the transformation of the TSLA float

Dear Frank,

I am always amazed by the level and depth of research that you put into your blog posts! Also, I want to say a sincere thanks to you for all your work and research that you freely share with the rest of us. Your posts have made a fundamental change in my understanding of investing as well as strategies to be utilized. The first time I read your blogs was last year in June - till then, I was pretty much following the financial advisor recommended strategies of diversification, investing in established companies etc. Tesla was my one speculative investment with a couple of hundred shares, simply because I liked the car so much. Reading your blog completely changed my outlook, the data and research you presented convinced me to invest differently - focusing on the company's future. Also helped me learn that it is OK to be concentrated in a single company if I believe in its future.

Of all the great posters on these forums, I would say your blogs have had the most profound effect on my investment philosophy and had a direct impact on the financial security for my family. We don't always remember to take the time thank folks, but this is the best chance for me to thank you for everything!

I have downloaded your model, but haven't played with it much. The great part about the model is that it gives us a mathematical and logical reference to 'gut feel'. My gut feeling for the S&P inclusion is that there will be a spike, then some drop, the final share price will settle into a new equilibrium price - the new bottom will be somewhere between the current price and the spike price. The model provides a hypothetical forecast of what those numbers might be. The great part is that it is entirely based on real data, even if it involves some assumptions and estimations. There is always a magic number at which people will be willing to sell, even the most die hard HODLers.

Again, thank you very much for the research you put into this!

 

[FrankSG]

Dear Frank,

I am always amazed by the level and depth of research that you put into your blog posts! Also, I want to say a sincere thanks to you for all your work and research that you freely share with the rest of us. Your posts have made a fundamental change in my understanding of investing as well as strategies to be utilized. The first time I read your blogs was last year in June - till then, I was pretty much following the financial advisor recommended strategies of diversification, investing in established companies etc. Tesla was my one speculative investment with a couple of hundred shares, simply because I liked the car so much. Reading your blog completely changed my outlook, the data and research you presented convinced me to invest differently - focusing on the company's future. Also helped me learn that it is OK to be concentrated in a single company if I believe in its future.

Of all the great posters on these forums, I would say your blogs have had the most profound effect on my investment philosophy and had a direct impact on the financial security for my family. We don't always remember to take the time thank folks, but this is the best chance for me to thank you for everything!

I have downloaded your model, but haven't played with it much. The great part about the model is that it gives us a mathematical and logical reference to 'gut feel'. My gut feeling for the S&P inclusion is that there will be a spike, then some drop, the final share price will settle into a new equilibrium price - the new bottom will be somewhere between the current price and the spike price. The model provides a hypothetical forecast of what those numbers might be. The great part is that it is entirely based on real data, even if it involves some assumptions and estimations. There is always a magic number at which people will be willing to sell, even the most die hard HODLers.

Again, thank you very much for the research you put into this!

This is awesome to hear! I'm glad that the convincing nature (and the timing Jun'19 was perfect in that sense) of my blog posts has made such a huge impact on your investing knowledge and investing results.

I have also learned a lot from writing the blogs and thanks to reading TMC. Twenty months ago, I had never created a financial model or forecast in my life. I started building my own for Tesla in April/May of last year, which ended up becoming my first blog post, after a friend in Tokyo, whom I hadn't seen for 3-4 years, suggested I share my Tesla knowledge in a blog.

Since then, I've learned so much. Thinking through things myself and organizing my thoughts in blog posts, as well as reading TMC have helped me acquire so much knowledge. Last year, @ReflexFunds and Fact Checking taught me about delta hedging. Over the summer, a number of TMC members taught me things about how trades are settled, and helped me research whether the stock split had an impact on naked shorts.

I'm glad to hear you find the model helpful. The ability to be able to make more data-driven estimations regarding the inclusion was exactly what I was aiming for.

 

[Rb48888]

Thank you!

It all depends on what you input. If you input infinite options speculation, you could get buying > selling at $1,500 and $2,000, but for the most part it should output selling > buying at $1,500 (and earlier).

I'd recommend downloading the model and playing around with the inputs yourself.

Question for @FrankSG and/or @generalenthu :

First, thank you BOTH for your generous contributions to the board! Frank, I've read all of your blog posts, and I make reference to your models often. Generalenthu, I've referenced your delta hedging tables a few times before, and I always pay attention when I see either of you post.

Yesterday, I was playing with Frank's new S&P Inclusion model (Gosh-darn thanks again Frank!), and I'm curious about the inputs section. In particular, I can't figure out how to estimate potential Total Delta Hedge Inventory for price moves larger than the 100pts represented in Generalenthu's super-awesome tables.

My feeling is that we’ll see varying conditions between now and the inclusion date, and I’d love the ability to keep my inputs current.

The range shown on the tables usually provides plenty of headroom, but during the inclusion period I’d love to be able to assess a wider range, similar to this section from Frank’s newest post:

However, as of Thanksgiving Thursday, the current TDHI stands at 226,812,796, and the TDHIs for various stock prices have also shifted quite a bit:

• $700: 226,812,796 + 43,224,014 = 270,036,810
• $800: 226,812,796 + 58,531,490 = 285,344,286
• $900: 226,812,796 + 67,385,619 = 294,198,415
• $1,000: 226,812,796 + 72,660,666 = 299,473,462
• $1,100: 226,812,796 + 75,802,316 = 302,615,112

I understand if you’d rather not share this info publicly, so thanks regardless. You’ve both already been a huge help!

Side note: I do remember some discussion here when @generalenthu first presented these tables, but I wasn’t able to dig it back up. If there’s existing discussion on the methodology, and you’d rather just point me there, I’d appreciate that as well.

Thanks again!

Go Go TSLA Longs!

 

[FrankSG]

Question for @FrankSG and/or @generalenthu :

First, thank you BOTH for your generous contributions to the board! Frank, I've read all of your blog posts, and I make reference to your models often. Generalenthu, I've referenced your delta hedging tables a few times before, and I always pay attention when I see either of you post.

Yesterday, I was playing with Frank's new S&P Inclusion model (Gosh-darn thanks again Frank!), and I'm curious about the inputs section. In particular, I can't figure out how to estimate potential Total Delta Hedge Inventory for price moves larger than the 100pts represented in Generalenthu's super-awesome tables.

My feeling is that we’ll see varying conditions between now and the inclusion date, and I’d love the ability to keep my inputs current.

The range shown on the tables usually provides plenty of headroom, but during the inclusion period I’d love to be able to assess a wider range, similar to this section from Frank’s newest post:



I understand if you’d rather not share this info publicly, so thanks regardless. You’ve both already been a huge help!

Side note: I do remember some discussion here when @generalenthu first presented these tables, but I wasn’t able to dig it back up. If there’s existing discussion on the methodology, and you’d rather just point me there, I’d appreciate that as well.

Thanks again!

Go Go TSLA Longs!

Yeah, the table only shows for up to $100 price movements.

One useful thing you could look at though is how it's moved in the past. There's been large run-ups in the stock price before, and you can go all the way back to May and see how the TDHI changed. You can see how it behaved during the early June rally, as well as the August rally.

 

[Rb48888]

Yeah, the table only shows for up to $100 price movements.

One useful thing you could look at though is how it's moved in the past. There's been large run-ups in the stock price before, and you can go all the way back to May and see how the TDHI changed. You can see how it behaved during the early June rally, as well as the August rally.

Ahh, yes! Great idea, thanks!

 

[mickificki]

Some humor, got this from Earl of Frunkpuppy on Twitter: