THE WEEK AHEAD: ADBE, ORCL EARNINGS; GDX/GDXJ, USO/XOP/XLE, EWZ
EARNINGS:
ADBE (89/65) and ORCL (77/60) both announce earnings on Thursday after market close and have the metrics I look for in earnings-related volatility contraction plays (>70% rank; >50% 30-day implied).
Pictured here: a short strangle paying 11.65 at the mid price camped out around the 16 delta. Its defined risk counterpart: the 265/275/395/405 ten-wide iron condor pays 2.46. Off hours markets are showing wide, so look to price setups out during the regular session.
The delta neutral ORCL April 17th 40/55 short strangle pays 1.45.
EXCHANGE-TRADED FUNDS WITH EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS >10% OF THE STOCK PRICE:
GDX (99/51), April
USO (97/66), April
GDXJ (96/58), April
XLE (97/75), April
EWZ (92/52), April
XOP (92/51), April
TLT (91/41), May
EWW (91/48), April
XLU (90/43), June
SMH (84/56), April
FXI (65/33), June
BROAD MARKET WITH EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS >10% OF THE STOCK PRICE:
EFA (87/37), June
QQQ (83/43), April
IWM (82/46), May
SPY (78/41), May
EEM (70/37), June
FUTURES:
/CL (97/65)
/GC (84/25)
/SI (70/30)
/NG (65/48)
/ZS (30/19)
/ZC (21/22)
/ZW (13/27)
VIX/VIX DERIVATIVES:
VIX finished the week at 41.94, so it has been a rough ride for shorters who were in plays before this volatility expansion (points to self). The basic watch word is "patience"; volatility will abate at some point in time ... .
ADBE (89/65) and ORCL (77/60) both announce earnings on Thursday after market close and have the metrics I look for in earnings-related volatility contraction plays (>70% rank; >50% 30-day implied).
Pictured here: a short strangle paying 11.65 at the mid price camped out around the 16 delta. Its defined risk counterpart: the 265/275/395/405 ten-wide iron condor pays 2.46. Off hours markets are showing wide, so look to price setups out during the regular session.
The delta neutral ORCL April 17th 40/55 short strangle pays 1.45.
EXCHANGE-TRADED FUNDS WITH EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS >10% OF THE STOCK PRICE:
GDX (99/51), April
USO (97/66), April
GDXJ (96/58), April
XLE (97/75), April
EWZ (92/52), April
XOP (92/51), April
TLT (91/41), May
EWW (91/48), April
XLU (90/43), June
SMH (84/56), April
FXI (65/33), June
BROAD MARKET WITH EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS >10% OF THE STOCK PRICE:
EFA (87/37), June
QQQ (83/43), April
IWM (82/46), May
SPY (78/41), May
EEM (70/37), June
FUTURES:
/CL (97/65)
/GC (84/25)
/SI (70/30)
/NG (65/48)
/ZS (30/19)
/ZC (21/22)
/ZW (13/27)
VIX/VIX DERIVATIVES:
VIX finished the week at 41.94, so it has been a rough ride for shorters who were in plays before this volatility expansion (points to self). The basic watch word is "patience"; volatility will abate at some point in time ... .