THE WEEK AHEAD: RIG, CRON, IQ, CZR EARNINGS; OIH/XOP
EARNINGS:
RIG (30/54) announces on Monday after market close; CRON (18/98), Tuesday before market open; and CZR (45/58) and IQ (22/64) on Thursday after market close.
RIG Setups:
Given its size (8.93/share as of Friday close), only a short straddle makes sense for a nondirectional play. Unfortunately, the March 9 only pays .96, making a 25% max take profit a marginal trade. The April 9 pays more (1.44) with a 25% max of .36, which doesn't exactly rock my socks.
CRON Setups:
Pictured here is a 16 delta short strangle in the April expiry which is preliminarily paying 1.87 at the mid (.93 at 50% max) with a delta of .55 and a theta of 3.68. The March 16 delta at the 17/28 was paying .93 (.46 at 50%) with a delta of .84 and a theta of 4.74.
For those of a defined risk bent, I'd probably go out to April for more room to be wrong: the April 18th 14/17/30/33 brings in 1.10 preliminarily (.55 at 50%), delta 4.26, theta 1.05.
CZR Setups:
Like RIG, CZR is on the small side (9.15 as of Friday close). The March 9 short straddle is paying 1.12; the April, 1.52 (another non-sock rocker).
IQ Setups:
In spite of its sexy background volatility, single strikes aren't available in either the March or April monthlies, making this underlying particularly pesky to work a nondirectional like a short strangle or iron condor with "surgical precision." Consequently, I could see taking a bullish assumption shot either via short put -- the April 20 (30 delta) is paying 1.13 with a downside break even of 18.87 (a 13.4% discount over current price), or the April 25 short straddle that pays 6.38 with a 39 long delta metric and break evens of 18.62/31.38. A May 25 short straddle may be available next week post-February opex, which would present a flatter delta metric for the 25 short strad than the April setup.
EXCHANGE-TRADED FUNDS
The top five ranked by implied: UNG (51/57), OIH (22/31), XOP (17/30), EWZ (13/30), and USO (15/30). Although ranks are generally at the low end of their 52 week-ranges given the volatility spike we experienced in December, I'll continue to sell nondirectional premium (short straddles, generally) in my petro go-to, XOP, albeit using a smaller numbers of contracts than when background volatility was higher.
RIG (30/54) announces on Monday after market close; CRON (18/98), Tuesday before market open; and CZR (45/58) and IQ (22/64) on Thursday after market close.
RIG Setups:
Given its size (8.93/share as of Friday close), only a short straddle makes sense for a nondirectional play. Unfortunately, the March 9 only pays .96, making a 25% max take profit a marginal trade. The April 9 pays more (1.44) with a 25% max of .36, which doesn't exactly rock my socks.
CRON Setups:
Pictured here is a 16 delta short strangle in the April expiry which is preliminarily paying 1.87 at the mid (.93 at 50% max) with a delta of .55 and a theta of 3.68. The March 16 delta at the 17/28 was paying .93 (.46 at 50%) with a delta of .84 and a theta of 4.74.
For those of a defined risk bent, I'd probably go out to April for more room to be wrong: the April 18th 14/17/30/33 brings in 1.10 preliminarily (.55 at 50%), delta 4.26, theta 1.05.
CZR Setups:
Like RIG, CZR is on the small side (9.15 as of Friday close). The March 9 short straddle is paying 1.12; the April, 1.52 (another non-sock rocker).
IQ Setups:
In spite of its sexy background volatility, single strikes aren't available in either the March or April monthlies, making this underlying particularly pesky to work a nondirectional like a short strangle or iron condor with "surgical precision." Consequently, I could see taking a bullish assumption shot either via short put -- the April 20 (30 delta) is paying 1.13 with a downside break even of 18.87 (a 13.4% discount over current price), or the April 25 short straddle that pays 6.38 with a 39 long delta metric and break evens of 18.62/31.38. A May 25 short straddle may be available next week post-February opex, which would present a flatter delta metric for the 25 short strad than the April setup.
EXCHANGE-TRADED FUNDS
The top five ranked by implied: UNG (51/57), OIH (22/31), XOP (17/30), EWZ (13/30), and USO (15/30). Although ranks are generally at the low end of their 52 week-ranges given the volatility spike we experienced in December, I'll continue to sell nondirectional premium (short straddles, generally) in my petro go-to, XOP, albeit using a smaller numbers of contracts than when background volatility was higher.
Comment:
The XOP March 15th (24 DTE) 31 short straddle was paying 1.99 as of Friday close, .50 at 25% max, -3.2 delta, 3.6 theta; the April 18th (58 DTE) 31 short straddle -- 3.14, .78 at 25% max, -5.05 delta, 2.54 theta.