EARNINGS:
No earnings announcements this coming week in underlyings with highly liquid options with ideal rank/implied metrics (>70% rank/>50% 30-day implied).
EXCHANGE-TRADED FUNDS:
SLV (86/30)
GDX (80/17)
TLT (63/16
GDX (63/33)
GDXJ (61/36)
XOP (44/41)
Like a broken record for the umpteenth week in a row: precious metals,, with GDXJ offering the best volatility metrics (>50% rank/>35% 30-day implied) .
BROAD MARKET:
IWM (24/19)
SPY (20/15)
QQQ (16/19)
EEM (12/17)
EFA (16/12)
Objectively, broad market premium selling isn't paying greatly here in <90 days 'til expiry duration: IWM November 155 short straddle, 8.84, 5.7% of the current stock price; December 155 short straddle, 11.66, 7.5%; January 155 short straddle, 13.09, 8.4%, with the first expiry paying greater than 10% in March (March 20th 155, 16.47) with the correspondent March 20th nearest the 16 delta short strangle 130/175 paying 3.19. This isn't horrid, but represents a long time to wait for your candy, although a less than 50% max take profit on such a setup might be compelling for some. (e.g., 25% max take profit of .80 ($80) as opposed to waiting for a full 50.
FUTURES:
/SI (86/29)
/GC (80/16)
/UB (63/5)
/ZB (63/11)
/6B (62/26)
/ZS (65/26)
/ZN (49/6)
/ZC (43/23)
/CL (37/42)
Although /CL rank isn't ideal here, keep in mind that we had that mid-September OVX pop, which will skew where the current 30-day lies in relation to the 52-week range. The November 15th 58.5 short straddle is paying 6.67, 11.4% of where WTI is currently trading; the December 16th 58.5, 8.20, 14%, with their corresponding 16 delta short strangles paying 1.44* and 1.77** respectively, both of which beat a poke in the eye with a sharp stick.
VIX/VIX DERIVATIVES:
VIX finished the week at 15.32 ... . Continue to hand sit on short volatility setups, waiting for VIX prints of >20.
* -- The November 15th 51/70.
** -- The December 16th 49/71.5.
No earnings announcements this coming week in underlyings with highly liquid options with ideal rank/implied metrics (>70% rank/>50% 30-day implied).
EXCHANGE-TRADED FUNDS:
SLV (86/30)
GDX (80/17)
TLT (63/16
GDX (63/33)
GDXJ (61/36)
XOP (44/41)
Like a broken record for the umpteenth week in a row: precious metals,, with GDXJ offering the best volatility metrics (>50% rank/>35% 30-day implied) .
BROAD MARKET:
IWM (24/19)
SPY (20/15)
QQQ (16/19)
EEM (12/17)
EFA (16/12)
Objectively, broad market premium selling isn't paying greatly here in <90 days 'til expiry duration: IWM November 155 short straddle, 8.84, 5.7% of the current stock price; December 155 short straddle, 11.66, 7.5%; January 155 short straddle, 13.09, 8.4%, with the first expiry paying greater than 10% in March (March 20th 155, 16.47) with the correspondent March 20th nearest the 16 delta short strangle 130/175 paying 3.19. This isn't horrid, but represents a long time to wait for your candy, although a less than 50% max take profit on such a setup might be compelling for some. (e.g., 25% max take profit of .80 ($80) as opposed to waiting for a full 50.
FUTURES:
/SI (86/29)
/GC (80/16)
/UB (63/5)
/ZB (63/11)
/6B (62/26)
/ZS (65/26)
/ZN (49/6)
/ZC (43/23)
/CL (37/42)
Although /CL rank isn't ideal here, keep in mind that we had that mid-September OVX pop, which will skew where the current 30-day lies in relation to the 52-week range. The November 15th 58.5 short straddle is paying 6.67, 11.4% of where WTI is currently trading; the December 16th 58.5, 8.20, 14%, with their corresponding 16 delta short strangles paying 1.44* and 1.77** respectively, both of which beat a poke in the eye with a sharp stick.
VIX/VIX DERIVATIVES:
VIX finished the week at 15.32 ... . Continue to hand sit on short volatility setups, waiting for VIX prints of >20.
* -- The November 15th 51/70.
** -- The December 16th 49/71.5.