NaughtyPines

THE WEEK AHEAD: COST, GDXJ/GDX, XOP, SLV, EWZ

AMEX:GDXJ   VANECK VECTORS ETF TRUST
A late "Week Ahead" post after a short road trip ... .

EARNINGS:

There aren't many options liquid underlying volatility contraction plays on tap this week. COST (35/38/6.8% (October)-10.1% (November) announces on Thursday after market close, but the volatility metrics aren't the greatest for a contraction play with 30-day at 38, the October monthly at expiry-specific 37.8%, and the November monthly at 34.8%. My general cut-off to pull the trigger on something is a 30-day greater than 50%, so I'm likely to pass on this one.


EXCHANGE-TRADED FUNDS WITH 30-DAY GREATER THAN 35% AND RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING:

TQQQ (42/103/33.7%)
GDXJ (23/58/18.3%)
XOP (17/55/17.8%)
GDX (24/49/15.0%)
SLV (45/48/15.2%)
EWZ (20/48/15.1%)
XLE (27/44/14.0%)
SMH (25/ 40 /12.2%)
QQQ (36/37/11.6%)
IWM (33/35/11.0%)

Pictured here is a GDXJ November 20th 45/65 short strangle with the short options camped out at around the 20 delta that's paying 2.95 at the mid price. Although it's a little early for the November cycle (58 days until expiry) if like to keep things in that 45 day wheelhouse, this is the best bang for your buck as a function of stock price on the board, followed by XOP , GDX , and XLV .


BROAD MARKET:

QQQ (36/37/11.6%)
IWM (33/35/11.0%)
SPY (23/29/9.0%)
EFA (23/24/7.5%)

I've been engaging in programmatic 45 days until expiry, 16-delta short put selling in broad market in the highest 30-day implied instrument on the board. Here, it would be QQQ . However, there are only an October 30th (37 days) or a November 20th (58 days) expiry available, where the 16 delta strikes are paying 3.27 (the October 30th 235) and 4.22 (the November 20th 226). I've already got an October 30th short put hanging out there, so may just wait until next week when an early November weekly becomes available.


IRA DIVIDEND-GENERATORS WITH 30-DAY GREATER THAN 35% AND RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING:

SLV (45/48/15.2%)
EWZ (20/48/15.1%)
KRE (26/44/14.5%)

Comments

Very interesting post!
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NaughtyPines PolarHusk
@PolarHusk, Thanks! It's largely for premium sellers, so it's probably not a great deal of use to fundy/TA traders, although some traders couple high implied volatility with TA-type trades. :-)
Reply
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