NaughtyPines

THE WEEK AHEAD: DAL, CCL EARNINGS; GDXJ/GDX, SLV, KRE

NYSE:DAL   DELTA AIR LINES INC
EARNINGS:

CCL (28/88/25.9%) and DAL (18/77/22.1%)* announce earnings on Thursday.

The DAL November 20th 21 delta, 2 x expected move 26/41 short strangle is paying 2.41 or 7.6% as a function of stock price (1.20 at 50% max; 3.8% as a function of stock price). I've pictured a short put here as the simplest play to get in on a sector that has been hammered by the pandemic, assuming you don't mind potentially being assigned at that price to work a longer-term play (i.e., covered calls).

CCL is small enough to play via short straddle, with the November 20th 15 short straddle paying 3.92 or 25.9% as a function of stock price (.98 at 25% max; 6.5% as a function of stock price). Alternatively, the > 2 x expected move 10/20 short strangle is paying .93 (.46 at 50% max; 3.0% as a function of stock price).


EXCHANGE-TRADED FUNDS WITH >35% 30-DAY IMPLIED RANKED BY PERCENTAGE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AS A FUNCTION OF STOCK PRICE:

TQQQ (41/103/30.2%)
XOP (19/60/17.3%)
USO (10/55/146%)
GDXJ (20/50/15.1%)
SLV (39/48/13.5%)
EWZ (21/46/14.1%)
XLE (30/44/131%)
XBI (36/45/13.0%)
GDX (19/42/12.7%)
SMH (27/47/11.2%)
QQQ (35/35/10.5%)


BROAD MARKET:

QQQ (35/35/10.5%)
IWM (32/34/9.8%)
EFA (25/22/9.0%)
SPY (21/26/8.0%)


IRA DIVIDEND EARNERS/PREMIUM SELLING:

KRE (28/47/13.6%) (Current Yield: 3.83%)
SLV (39/48/13.5%) (No Yield; Precious Metals Position)
EWZ (21/46/14.1%) (Current Yield: 3.80%)
XLE (30/44/13.1%) (Current Yield: 7.52%)
XBI (36/45/13.0%) (Current Yield: .35%; Premium Selling Play)
SMH (27/47/11.2%) (Current Yield: 0.00%; Premium Selling Play)
QQQ (35/35/10.5%) (0.60% Yield; Premium Selling Play)


MUSINGS:

With the general elections now 29 days away, I'm not doing much here in terms of adding new positions. With the margin account in particular, I'm looking at going completely flat at or near October opex and then watching the show from the sidelines.

On the IRA/retirement account front, I'm already in most of the underlyings at the top of the implied volatility ladder, so don't anticipate doing much here anyway. I will naturally look at delta on a portfolio-wide basis to see whether I need additional delta one way or the other to make myself less directional running into the elections. We could, after all, conceivably see one of a variety of things depending on how things play out (i.e., relief rally, sell-off, "sideways nothing burger").

With Friday's sell-off, however, I'm tempted to add a smidge more of QQQ in the November cycle for my weekly 16 delta, 45 days 'til expiry broad market short put (the November 20th 16 delta 237 short put was paying 3.73 at the mid as of Friday close; 1.60% ROC as a function of notional risk).

* -- The first metric is where 30-day 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 the November at-the-money short straddle is paying as a function of stock price.

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