THE WEEK AHEAD:
EARNINGS ANNOUNCEMENT VOLATILITY CONTRACTION PLAYS:
M (41/103/September 18.7%): Announces Wednesday before market open.
Potential Plays:
September 18th 13 short straddle, paying 1.30 as of Friday close, .33 at 25% max.
September 18th 5/7/7/9 iron fly, paying 1.07 as of Friday close, .27 at 25% max.
Look to take profit at 25% max.
CLDR (68/116/September 20.1%): Announces Wednesday after market close.
Potential Plays:
September 18th 13 short straddle, paying 2.60 as of Friday close, .65 at 25% max.
September 18th 9/13/13/17 iron fly, paying 2.13 as of Friday close, .53 at 25% max.
Look to take profit at 25% max.
CRWD (32/74/September 15.0%): Announces Wednesday after market close.
Potential Plays:
September 18th 101/145 short strangle, paying 4.03 as of Friday close, 2.01 at 50% max.
September 18th 100/105/140/145. Markets are showing wide in the off hours, but look to put on a setup that pays at least one-third the width of the wings in credit.
Comments: Not a ton is shaking next week for options liquid underlyings, but here are what appear to me to be the best candidates for volatility contraction plays. Naturally, I'm just preliminarily pricing these out to see whether they're potentially worthwhile, and actual strikes are likely to change somewhat running into earnings as price moves.
EXCHANGE-TRADED FUNDS SCREENED FOR >35% 30-DAY IMPLIED/OCTOBER AT-THE-MONEY SHORT STRADDLE PAYING >10% OF STOCK PRICE:
SLV (45/56/15.2%)
XLE (24/39/11.2%)
GDX (22/47/13.3%)
GDXJ (21/58/15.7%)
EWZ (17/44/12.3%)
XOP (13/50/14.1%)
GDXJ is paying the most as a function of stock price (15.7%), followed by SLV (15.2%), XOP (14.1%), and GDX (13.3%).
WHAT THE SHORT STRANGLES NEAREST 16 DELTA ARE PAYING:
The GDXJ October 16th 15/75 short strangle: 2.15, 3.6% as a function of stock price,
The SLV October 16th 22/32 short strangle: .97, 3.6% as a function of stock price.
The XOP October 16th 45/63 short strangle: 1.84, 3.5% as a function of stock price.
The GDX October 16th 38/47 short strangle: .84, 2.0% as a function of stock price.
Comments: I've already got a miners play on, so am likely to avoid getting into another closely correlated underlying here.
BROAD MARKET:
QQQ (29/32/8.8%)
IWM (22/28/7.6%)
EFA (17/20/5.6%)
SPY (12/22/5.3%)
WHAT THE SHORT STRANGLES NEAREST 16 DELTA ARE PAYING:
The QQQ October 16th 257/320 short strangle is paying 6.51, 2.2% as a function of stock price.
The IWM October 16th 140/170 short strangle, 2.93, 1.9%.
The EFA October 16th 60/69 short strangle, .93, 1.4%.
The SPY October 16th 317/391 short strangle, 4.95, 1.4%.
Comments: In the IRA, I've been mechanically selling 45 days 'til expiry puts at the two times expected move strike (basically, the 16 delta) and will pretty much continue to do so until 30-day drops below 20%. There's always hesitancy to continue to do this at successive all-time-highs, and, yes, it is likely I will be assigned shares at some point in a >2 times expected move sell-off, after which I'll proceed to cover. That being said, I've got an inordinate amount of undeployed buying power after all the acquisitional short put ladders I put on in the sell-off have come off; I'd rather take some risk here to earn "something," all while keeping a reasonable amount of dry powder free to take advantage if we get another one of those bodice rippers we had in mid-March. This week, I'll follow the implied volatility, and as of Friday close, that was in the QQQ's.
DIVIDEND EARNERS:
XLU (21/23/7.1%)
EWA (20/24/7.0%)
TLT (18/19/4.8%)
EFA (17/20/5.6%)
EWZ (17/44/12.3%)
IYR (17/24/6.5%)
HYG (17/14/2.8%)
SPY (16/22/5.3%)
EMB (11/11/2.7%)
The Brazilian exchange-traded fund leads the pack for the umpteenth week in a row, with XLU and EWA in distant second and third places. I'm fine with continuing to hit EWZ via acquisitional short put over and over again if that's where the implied volatility leads, but, yes, it's kind of getting old.
For what it's worth: The 2 times expected move EWZ October 16th 28 short put is paying .36 per contract as of Friday close (1.2% as a function of stock price).
Key: The first number in parentheses is the implied volatility rank or percentile (i.e., where implied volatility is relative to where it's been over the past 52 weeks); the second, 30-day implied volatility; and the third, the percentage of stock price that the specified monthly expiry at-the-money short straddle is paying.
EARNINGS ANNOUNCEMENT VOLATILITY CONTRACTION PLAYS:
M (41/103/September 18.7%): Announces Wednesday before market open.
Potential Plays:
September 18th 13 short straddle, paying 1.30 as of Friday close, .33 at 25% max.
September 18th 5/7/7/9 iron fly, paying 1.07 as of Friday close, .27 at 25% max.
Look to take profit at 25% max.
CLDR (68/116/September 20.1%): Announces Wednesday after market close.
Potential Plays:
September 18th 13 short straddle, paying 2.60 as of Friday close, .65 at 25% max.
September 18th 9/13/13/17 iron fly, paying 2.13 as of Friday close, .53 at 25% max.
Look to take profit at 25% max.
CRWD (32/74/September 15.0%): Announces Wednesday after market close.
Potential Plays:
September 18th 101/145 short strangle, paying 4.03 as of Friday close, 2.01 at 50% max.
September 18th 100/105/140/145. Markets are showing wide in the off hours, but look to put on a setup that pays at least one-third the width of the wings in credit.
Comments: Not a ton is shaking next week for options liquid underlyings, but here are what appear to me to be the best candidates for volatility contraction plays. Naturally, I'm just preliminarily pricing these out to see whether they're potentially worthwhile, and actual strikes are likely to change somewhat running into earnings as price moves.
EXCHANGE-TRADED FUNDS SCREENED FOR >35% 30-DAY IMPLIED/OCTOBER AT-THE-MONEY SHORT STRADDLE PAYING >10% OF STOCK PRICE:
SLV (45/56/15.2%)
XLE (24/39/11.2%)
GDX (22/47/13.3%)
GDXJ (21/58/15.7%)
EWZ (17/44/12.3%)
XOP (13/50/14.1%)
GDXJ is paying the most as a function of stock price (15.7%), followed by SLV (15.2%), XOP (14.1%), and GDX (13.3%).
WHAT THE SHORT STRANGLES NEAREST 16 DELTA ARE PAYING:
The GDXJ October 16th 15/75 short strangle: 2.15, 3.6% as a function of stock price,
The SLV October 16th 22/32 short strangle: .97, 3.6% as a function of stock price.
The XOP October 16th 45/63 short strangle: 1.84, 3.5% as a function of stock price.
The GDX October 16th 38/47 short strangle: .84, 2.0% as a function of stock price.
Comments: I've already got a miners play on, so am likely to avoid getting into another closely correlated underlying here.
BROAD MARKET:
QQQ (29/32/8.8%)
IWM (22/28/7.6%)
EFA (17/20/5.6%)
SPY (12/22/5.3%)
WHAT THE SHORT STRANGLES NEAREST 16 DELTA ARE PAYING:
The QQQ October 16th 257/320 short strangle is paying 6.51, 2.2% as a function of stock price.
The IWM October 16th 140/170 short strangle, 2.93, 1.9%.
The EFA October 16th 60/69 short strangle, .93, 1.4%.
The SPY October 16th 317/391 short strangle, 4.95, 1.4%.
Comments: In the IRA, I've been mechanically selling 45 days 'til expiry puts at the two times expected move strike (basically, the 16 delta) and will pretty much continue to do so until 30-day drops below 20%. There's always hesitancy to continue to do this at successive all-time-highs, and, yes, it is likely I will be assigned shares at some point in a >2 times expected move sell-off, after which I'll proceed to cover. That being said, I've got an inordinate amount of undeployed buying power after all the acquisitional short put ladders I put on in the sell-off have come off; I'd rather take some risk here to earn "something," all while keeping a reasonable amount of dry powder free to take advantage if we get another one of those bodice rippers we had in mid-March. This week, I'll follow the implied volatility, and as of Friday close, that was in the QQQ's.
DIVIDEND EARNERS:
XLU (21/23/7.1%)
EWA (20/24/7.0%)
TLT (18/19/4.8%)
EFA (17/20/5.6%)
EWZ (17/44/12.3%)
IYR (17/24/6.5%)
HYG (17/14/2.8%)
SPY (16/22/5.3%)
EMB (11/11/2.7%)
The Brazilian exchange-traded fund leads the pack for the umpteenth week in a row, with XLU and EWA in distant second and third places. I'm fine with continuing to hit EWZ via acquisitional short put over and over again if that's where the implied volatility leads, but, yes, it's kind of getting old.
For what it's worth: The 2 times expected move EWZ October 16th 28 short put is paying .36 per contract as of Friday close (1.2% as a function of stock price).
Key: The first number in parentheses is the implied volatility rank or percentile (i.e., where implied volatility is relative to where it's been over the past 52 weeks); the second, 30-day implied volatility; and the third, the percentage of stock price that the specified monthly expiry at-the-money short straddle is paying.
Commento:
I would remiss were I not to mention AAPL and TSLA's splits. Those are likely to be bit crazy out of the gate. As of Friday's close, AAPL IV was in the 42.6%-ile over the past 52 weeks with 30-day at 53.4%; TSLA at 41.1/103.9%.