The Week Ahead: MJ, LIT, ICLN, IWM/RUT, TNX
Options Highly Liquid Single Name With Earnings in the Rear View Mirror, Ranked by Percentage the April 16th At-the-Money Short Straddle is Paying as a Function of Stock Price:
AMC (24/221/50.6) (Movie Theatre)
TLRY (26/162/44.7) (Cannabis)
ACB (3/120/33.9) (Cannabis)
NKLA (12/128/30.9) (EV)
PLUG (44/114/30.7) (EV, Hydrogen)
SPCE (22/106/28.9) (Space Tourism)
CRON (47/104/28.3) (Cannabis)
CGC (20/97/24.1) (Cannabis)
M (18/95/21) (Department Store)
PBR (16/117/18.7) (Petro)
Options Highly Liquid Exchange-Traded Funds, Ranked by Percentage the April 16th At-the-Money Short Straddle is Paying as a Function of Stock Price:
MJ (40/76/22.1) (Cannabis)
LIT (46/57/15.5) (Lithium and Battery Tech)
ICLN (9/53/14.5) (Global Clean Energy Index)
EWZ (16/54/13.6) (Brazil)
JETS (2/48/13.3) (Global Jets)
SLV (30/49/12.4) (Silver)
XRT (22/56/11.6) (Retail)
XBI (24/41/11.2) (Biotech)
XLE (9/49/11.2) (Energy)
KRE (14/69/10.9( (Regional Banking)
Broad Market, Ranked by Percentage the April 16th At-the-Money Short Straddle is Paying as a Function of Stock Price:
IWM (18/36/9.5) (Russell 2000)
QQQ (17/33/8.7) (Nasdaq)
SPY (14/26/6.4) (S&P 500)
DIA (7/24/6.1) (Dow Jones)
EFA (18/19/5.7) (Global, ex. Canada/U.S.)
Bond Funds, Ranked by Percentage the April 16th At-the-Money Short Straddle is Paying as a Function of Stock Price:
TLT (23/27/4.9) (20+ Maturity Treasuries) (1.63% Yield)
EMB (12/18/2.9) (Emerging Market Bonds) (3.99% Yield)
HYG (17/15/2.8) (High Yield Corporate/Junk) (4.82% Yield)
AGG (19/9/2.2) (U.S. Aggregate Bonds) (2.15% Yield)
Comments:
For a number of weeks running, implied remains high in the cannabis sector, with TLRY, ACB, CRON, and CGC at the top of the single name list, and MJ at the top of the ETF list. Pictured here is a plain Jane MJ April 16th 16 delta short put, which paid .63/contract as of Friday close, a potential 3.63% ROC at max, 28.2% annualized at max as a function of notional risk.
Lithium and battery tech follows with the April (47 days) at-the-money short straddle paying greater than 15% and the April 15th 16 delta 51 short put paying 1.18 at the mid as of Friday close, a potential 2.37% ROC at max as a function of notional risk (18.4% annualized).
The ICLN April 16th 17 delta 22 short put paid .47 as of Friday close -- 2.18% ROC at max as a function of notional risk (16.9% annualized).
On the broad market front, IWM 30-day implied finished the week at >35%, followed by QQQ action at just a nibble under that mark at 33. The IWM April 16th 16 delta at the 189 was paying 3.05 (1.64% at max); the QQQ April 16th 16 at the 275, 4.15 (1.53% at max).
An honorable mention goes out to the T-bill and TLT shorters (who knew that trading T bills could be fun?) who shorted TLT or /ZN at pandemic highs, only to see yields on the ten-year T's move from .50 to 1.5 (and TLT from the 170's to finish Friday's session at 143 and change.
AMC (24/221/50.6) (Movie Theatre)
TLRY (26/162/44.7) (Cannabis)
ACB (3/120/33.9) (Cannabis)
NKLA (12/128/30.9) (EV)
PLUG (44/114/30.7) (EV, Hydrogen)
SPCE (22/106/28.9) (Space Tourism)
CRON (47/104/28.3) (Cannabis)
CGC (20/97/24.1) (Cannabis)
M (18/95/21) (Department Store)
PBR (16/117/18.7) (Petro)
Options Highly Liquid Exchange-Traded Funds, Ranked by Percentage the April 16th At-the-Money Short Straddle is Paying as a Function of Stock Price:
MJ (40/76/22.1) (Cannabis)
LIT (46/57/15.5) (Lithium and Battery Tech)
ICLN (9/53/14.5) (Global Clean Energy Index)
EWZ (16/54/13.6) (Brazil)
JETS (2/48/13.3) (Global Jets)
SLV (30/49/12.4) (Silver)
XRT (22/56/11.6) (Retail)
XBI (24/41/11.2) (Biotech)
XLE (9/49/11.2) (Energy)
KRE (14/69/10.9( (Regional Banking)
Broad Market, Ranked by Percentage the April 16th At-the-Money Short Straddle is Paying as a Function of Stock Price:
IWM (18/36/9.5) (Russell 2000)
QQQ (17/33/8.7) (Nasdaq)
SPY (14/26/6.4) (S&P 500)
DIA (7/24/6.1) (Dow Jones)
EFA (18/19/5.7) (Global, ex. Canada/U.S.)
Bond Funds, Ranked by Percentage the April 16th At-the-Money Short Straddle is Paying as a Function of Stock Price:
TLT (23/27/4.9) (20+ Maturity Treasuries) (1.63% Yield)
EMB (12/18/2.9) (Emerging Market Bonds) (3.99% Yield)
HYG (17/15/2.8) (High Yield Corporate/Junk) (4.82% Yield)
AGG (19/9/2.2) (U.S. Aggregate Bonds) (2.15% Yield)
Comments:
For a number of weeks running, implied remains high in the cannabis sector, with TLRY, ACB, CRON, and CGC at the top of the single name list, and MJ at the top of the ETF list. Pictured here is a plain Jane MJ April 16th 16 delta short put, which paid .63/contract as of Friday close, a potential 3.63% ROC at max, 28.2% annualized at max as a function of notional risk.
Lithium and battery tech follows with the April (47 days) at-the-money short straddle paying greater than 15% and the April 15th 16 delta 51 short put paying 1.18 at the mid as of Friday close, a potential 2.37% ROC at max as a function of notional risk (18.4% annualized).
The ICLN April 16th 17 delta 22 short put paid .47 as of Friday close -- 2.18% ROC at max as a function of notional risk (16.9% annualized).
On the broad market front, IWM 30-day implied finished the week at >35%, followed by QQQ action at just a nibble under that mark at 33. The IWM April 16th 16 delta at the 189 was paying 3.05 (1.64% at max); the QQQ April 16th 16 at the 275, 4.15 (1.53% at max).
An honorable mention goes out to the T-bill and TLT shorters (who knew that trading T bills could be fun?) who shorted TLT or /ZN at pandemic highs, only to see yields on the ten-year T's move from .50 to 1.5 (and TLT from the 170's to finish Friday's session at 143 and change.
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