With VIX continuing to rattle around at sub-11 levels (it finished Friday's session at 10.03), the place to sell premium remains in earnings, although even there the pickings are slim, as broad market low volatility bleeds through the entire market.
The decently liquid underlyings on tap for earnings next week: DIS, M, and NVDA, with DIS announcing Tuesday after market close, M on Thursday before market open, and NVDA, Thursday after market close. From a pure metrics standpoint, only NVDA is offering the kind of metrics I look for in these plays (>70 implied volatility rank/>50% implied volatility). I'll price out setups, both undefined and defined, as earnings get closer, as price is likely to jostle around between now and then.
With respect to sector and/or broad index exchange traded funds (where I look for >70 implied volatility rank/>35% implied volatility) in which to sell premium, there are a paucity of high implied volatility rank/high implied volatility plays to be had (what's new?), with XOP coming in at the top of the list with a rank of 35 and a background of 31, QQQ -- at 31/15. My general test for those (aside from the rank/background implied volatility metrics) is seeing whether a 45 DTE 20-delta three-wide iron condor will pay one-third the width of the widest wing (i.e., 1.00). They won't here, so putting on one of those plays is likely to be less than productive, since the limited volatility in these instruments doesn't have much to contract to.
Flipping the implied volatility screen to look for extremely low volatility underlyings where low volatility strategies (diagonals and calendars) might bear more fruit yields a fairly abundant list of underlyings, with TLT coming in at 10.3, DIA at 11.10, GLD at 11.15, and SPY at 11.17. I'm in a TLT long-dated put diagonal, so may consider putting something on in the DIAmonds or GLD (e.g., a Sept 15th/Dec 15th 118 put calendar; 1.51 db at the mid; theta .57; delta -7.54; back month at 40 delta; front at same strike as back).
The decently liquid underlyings on tap for earnings next week: DIS, M, and NVDA, with DIS announcing Tuesday after market close, M on Thursday before market open, and NVDA, Thursday after market close. From a pure metrics standpoint, only NVDA is offering the kind of metrics I look for in these plays (>70 implied volatility rank/>50% implied volatility). I'll price out setups, both undefined and defined, as earnings get closer, as price is likely to jostle around between now and then.
With respect to sector and/or broad index exchange traded funds (where I look for >70 implied volatility rank/>35% implied volatility) in which to sell premium, there are a paucity of high implied volatility rank/high implied volatility plays to be had (what's new?), with XOP coming in at the top of the list with a rank of 35 and a background of 31, QQQ -- at 31/15. My general test for those (aside from the rank/background implied volatility metrics) is seeing whether a 45 DTE 20-delta three-wide iron condor will pay one-third the width of the widest wing (i.e., 1.00). They won't here, so putting on one of those plays is likely to be less than productive, since the limited volatility in these instruments doesn't have much to contract to.
Flipping the implied volatility screen to look for extremely low volatility underlyings where low volatility strategies (diagonals and calendars) might bear more fruit yields a fairly abundant list of underlyings, with TLT coming in at 10.3, DIA at 11.10, GLD at 11.15, and SPY at 11.17. I'm in a TLT long-dated put diagonal, so may consider putting something on in the DIAmonds or GLD (e.g., a Sept 15th/Dec 15th 118 put calendar; 1.51 db at the mid; theta .57; delta -7.54; back month at 40 delta; front at same strike as back).