THE WEEK AHEAD: CRON, TLRY, CGC EARNINGS; EWZ; VIX
HIGH RANK/IMPLIED EARNINGS:
CRON (32/82) (Tuesday Before Open)
TLRY (50/97) (Tuesday After Close)
CSCO (44/27) (Tuesday After Close)
WMT (48/23) (Thursday Before Open)
NVDA (24/43) (Thursday After Close)
AMAT (17/34) (Thursday After Close)
CGC (95/87) (Thursday Before Open)
JC (30/43) (Friday Before Open)
Notes: Looks like it's the "Week of Weed" with CRON, TLRY, CGC announcing and all in states of high implied/high rank ... . If you're hesitant to go into single name here, MJ (47/51) has decent rank/implied metrics, although it's less liquid than I would like.
EXCHANGE-TRADED FUNDS:
TLT (56/12)
EWZ (47/28)
SLV (44/22)
GDXJ (37/31)
GLD (34/11)
EEM (33/16)
First Expiries In Which At-the-Money Short Straddle Pays >10% of Stock Price:
TLT: January of '21
EWZ: March: 5.64 verus 43.02 (13.11%)
SLV: April: 1.72 versus 15.70 (11.0%)
GDXJ: January: 3.99 versus 36.33 (11.0%)
GLD: January of '21
EEM: June: 4.97 versus 43.68 (11.4%)
Notes: Pictured here is an EWZ delta-neutral short strangle camped out at the 20 delta in the first expiry in which the at-the-money short straddle pays greater than 10% of the value of the underlying. Paying 1.61, it has break evens of 35.39/50.61 with delta/theta metrics of -.36/1.49; .40 at 25% maximum; .80 at 50%.
BROAD MARKET:
Broad market premium selling simply isn't paying here in short duration (an understatement).
FUTURES:
/6B (72/9)
/NG (74/60)
/SI (44/21)
/GC (34/12)
/ZS (32/20)
Notes: Natty is frisking up, which should be no surprise. Having put on a bullish assumption seasonality play in UNG way back in August at lows, I'm just waiting for things to top out in January or February before doing something in the other direction.
VIX/VIX DERIVATIVES:
Term structure trades* in VIX remain viable for the December, January, and February expiries with the correspondent futures contracts trading at 16.05, 17.33, and 18.07 respectively.
On the other end of the stick, continue to consider a VXX Super Bull or similar setup to potentially catch a modest volatility expansion running into the end of the year without sticking your entire pickle in the grinder, particularly if VIX continues to trundle along at 2019 lows: the December 20th 16P/-18P/18C/-20C pays a small credit (.17), has a 17.83 break even versus spot of 18.64, and max profit/max loss metrics of 2.17/1.87, with max being realized on a finish above 20, which does not exactly require a massive pop from here.
* -- Generally short call verticals with break even near where the correspondent /VX futures contract is trading (e.g., the December 20th 15/18, paying .90, with a 15.90 break even versus the December /VX contract trading at 16.05; the January 22nd 16/19, 1.00, with a 17.00 break even versus 17.33; February 19th 17/20, with an 18.00 break even versus 18.07).
CRON (32/82) (Tuesday Before Open)
TLRY (50/97) (Tuesday After Close)
CSCO (44/27) (Tuesday After Close)
WMT (48/23) (Thursday Before Open)
NVDA (24/43) (Thursday After Close)
AMAT (17/34) (Thursday After Close)
CGC (95/87) (Thursday Before Open)
JC (30/43) (Friday Before Open)
Notes: Looks like it's the "Week of Weed" with CRON, TLRY, CGC announcing and all in states of high implied/high rank ... . If you're hesitant to go into single name here, MJ (47/51) has decent rank/implied metrics, although it's less liquid than I would like.
EXCHANGE-TRADED FUNDS:
TLT (56/12)
EWZ (47/28)
SLV (44/22)
GDXJ (37/31)
GLD (34/11)
EEM (33/16)
First Expiries In Which At-the-Money Short Straddle Pays >10% of Stock Price:
TLT: January of '21
EWZ: March: 5.64 verus 43.02 (13.11%)
SLV: April: 1.72 versus 15.70 (11.0%)
GDXJ: January: 3.99 versus 36.33 (11.0%)
GLD: January of '21
EEM: June: 4.97 versus 43.68 (11.4%)
Notes: Pictured here is an EWZ delta-neutral short strangle camped out at the 20 delta in the first expiry in which the at-the-money short straddle pays greater than 10% of the value of the underlying. Paying 1.61, it has break evens of 35.39/50.61 with delta/theta metrics of -.36/1.49; .40 at 25% maximum; .80 at 50%.
BROAD MARKET:
Broad market premium selling simply isn't paying here in short duration (an understatement).
FUTURES:
/6B (72/9)
/NG (74/60)
/SI (44/21)
/GC (34/12)
/ZS (32/20)
Notes: Natty is frisking up, which should be no surprise. Having put on a bullish assumption seasonality play in UNG way back in August at lows, I'm just waiting for things to top out in January or February before doing something in the other direction.
VIX/VIX DERIVATIVES:
Term structure trades* in VIX remain viable for the December, January, and February expiries with the correspondent futures contracts trading at 16.05, 17.33, and 18.07 respectively.
On the other end of the stick, continue to consider a VXX Super Bull or similar setup to potentially catch a modest volatility expansion running into the end of the year without sticking your entire pickle in the grinder, particularly if VIX continues to trundle along at 2019 lows: the December 20th 16P/-18P/18C/-20C pays a small credit (.17), has a 17.83 break even versus spot of 18.64, and max profit/max loss metrics of 2.17/1.87, with max being realized on a finish above 20, which does not exactly require a massive pop from here.
* -- Generally short call verticals with break even near where the correspondent /VX futures contract is trading (e.g., the December 20th 15/18, paying .90, with a 15.90 break even versus the December /VX contract trading at 16.05; the January 22nd 16/19, 1.00, with a 17.00 break even versus 17.33; February 19th 17/20, with an 18.00 break even versus 18.07).