EARNINGS
CRM (57/42) releases earnings on Tuesday after market close, so look to put on a play in the waning hours of Tuesday's New York session.
Pictured here is an iron condor in the July monthly with the short options nearest the 20 delta strikes. Preliminarily, it's paying 1.61 at the mid price with break evens wide of the expected move at 133.40/171.60 with delta/theta metrics of -.89/2.27.
As of Friday close, the June 7th weekly to July 19th monthly volatility contraction is from 61.8% to 39.0% or about 41.5%.
Look to manage intratrade by rolling the untested side toward current price on approaching worthless with a 50% max take profit target.
BROAD MARKET
EEM (38/21)
QQQ (36/23)
IWM (36/22)
SPY (37/19)
EFA (29/17)
The EEM July 19th 37/41/41/45 iron fly is paying just shy of 25% of the width of the longs (8-wide) at 1.99 and break evens of 39.01/42.99. Look to take profit at 25% max, as you would with a short straddle.
QQQ is paying slightly more than one-third the width of the wings for the short option strikes nearest the 20's -- the 158/161/185/188: 1.01 credit, break evens at 159.99/186.01, delta/theta metrics of -2.66/1.49. Manage intratrade by rolling in untested on approaching worthless toward current price; 50% max take profit.
The IWM iron condor nearest the 20 delta is the July 19th 133/136/154/157, with break evens of 135.01/164.99, delta/theta metrics of -3.27/1.43. 50% max take profit. Manage intratrade by rolling in untested on approaching worthless toward current price; 50% max take profit.
SECTOR EXCHANGE-TRADED FUNDS
Top 5 By Rank: TLT (65/13); USO (58/48); TBT (58/27); OIH (54/42); GDXJ (51/29).
The volatility in oil isn't a particular surprise. /CL (21/46) has been crushed from a late April high of 66.44 to a Friday session low of 53.05, leading to an OVX pop from the mid-20's to a Friday session high of 47.49, so it's an opportunity to sell premium in /CL, USO, or one of the closely correlated proxies like XOP (43/39).
TBT is at a 52-week low; TLT, a similar high with the yield on the 10-year T note yield cratering to finish last week at 2.142, so I could envision putting on a bullish assumption play in TBT either on the notion that we get some risk on post-May sell-off or that yield has bottomed in this vicinity (between 2.00-2.25).
A bullish assumption TBT short put in the July cycle at the 28 strike isn't paying a ton -- .43 at the mid, with a 27.57 break even and delta/theta metrics of 25.35/.85, but the more aggressive 29 pays .73 with a 28.27 break even and delta/theta metrics of 38.97/.96.
SINGLE NAME WITH EARNINGS IN THE REAR VIEW
X (66/61): The July 19th 12 straddle is paying 2.00, 10.00/14.00 break evens, and a delta/theta metric of -2.66/1.99.
AAPL (51/33): The July 19th nearest the 20 delta iron condor, the 155/160/190/195 is paying 1.67 with 158.33/191.67 break evens, and a delta/theta metric of -1.88/2.05.
TSLA (51/73): Some of the volatility leaked out last week, but the nearest the 20 -- the 140/145/215/220 appears to be paying 1.92 at the mid, assuming you can get filled there, with markets showing wide ... .
CRM (57/42) releases earnings on Tuesday after market close, so look to put on a play in the waning hours of Tuesday's New York session.
Pictured here is an iron condor in the July monthly with the short options nearest the 20 delta strikes. Preliminarily, it's paying 1.61 at the mid price with break evens wide of the expected move at 133.40/171.60 with delta/theta metrics of -.89/2.27.
As of Friday close, the June 7th weekly to July 19th monthly volatility contraction is from 61.8% to 39.0% or about 41.5%.
Look to manage intratrade by rolling the untested side toward current price on approaching worthless with a 50% max take profit target.
BROAD MARKET
EEM (38/21)
QQQ (36/23)
IWM (36/22)
SPY (37/19)
EFA (29/17)
The EEM July 19th 37/41/41/45 iron fly is paying just shy of 25% of the width of the longs (8-wide) at 1.99 and break evens of 39.01/42.99. Look to take profit at 25% max, as you would with a short straddle.
QQQ is paying slightly more than one-third the width of the wings for the short option strikes nearest the 20's -- the 158/161/185/188: 1.01 credit, break evens at 159.99/186.01, delta/theta metrics of -2.66/1.49. Manage intratrade by rolling in untested on approaching worthless toward current price; 50% max take profit.
The IWM iron condor nearest the 20 delta is the July 19th 133/136/154/157, with break evens of 135.01/164.99, delta/theta metrics of -3.27/1.43. 50% max take profit. Manage intratrade by rolling in untested on approaching worthless toward current price; 50% max take profit.
SECTOR EXCHANGE-TRADED FUNDS
Top 5 By Rank: TLT (65/13); USO (58/48); TBT (58/27); OIH (54/42); GDXJ (51/29).
The volatility in oil isn't a particular surprise. /CL (21/46) has been crushed from a late April high of 66.44 to a Friday session low of 53.05, leading to an OVX pop from the mid-20's to a Friday session high of 47.49, so it's an opportunity to sell premium in /CL, USO, or one of the closely correlated proxies like XOP (43/39).
TBT is at a 52-week low; TLT, a similar high with the yield on the 10-year T note yield cratering to finish last week at 2.142, so I could envision putting on a bullish assumption play in TBT either on the notion that we get some risk on post-May sell-off or that yield has bottomed in this vicinity (between 2.00-2.25).
A bullish assumption TBT short put in the July cycle at the 28 strike isn't paying a ton -- .43 at the mid, with a 27.57 break even and delta/theta metrics of 25.35/.85, but the more aggressive 29 pays .73 with a 28.27 break even and delta/theta metrics of 38.97/.96.
SINGLE NAME WITH EARNINGS IN THE REAR VIEW
X (66/61): The July 19th 12 straddle is paying 2.00, 10.00/14.00 break evens, and a delta/theta metric of -2.66/1.99.
AAPL (51/33): The July 19th nearest the 20 delta iron condor, the 155/160/190/195 is paying 1.67 with 158.33/191.67 break evens, and a delta/theta metric of -1.88/2.05.
TSLA (51/73): Some of the volatility leaked out last week, but the nearest the 20 -- the 140/145/215/220 appears to be paying 1.92 at the mid, assuming you can get filled there, with markets showing wide ... .