EARNINGS:
GPS (37/82/17.0%) is really the only earnings announcement that interests me from a volatility contraction perspective. Pictured here is a September 18th skinny short strangle, which was paying 2.03 as of Friday close.
EXCHANGE-TRADED FUNDS SCREENED FOR IMPLIED >35% AND WHERE THE OCTOBER AT-THE-MONEY SHORT STRADDLE IS PAYING >10% OF STOCK PRICE:
SLV (50/61/17.4%)
GDX (22/47/14.1%)
XLE (21/37/11.6%)
GDXJ (19/55/16.7%)
EWZ (18/45/13.2%)
XOP (14/49/14.0%)
Juice as a function of stock price resides in SLV (17.4%), followed by GDXJ (16.7%), GDX (14.1%), and XOP (14.0%).
BROAD MARKET:
QQQ (23/28/8.2%)
IWM (23/29/8.4%)
EFA (17/21/5.6%)
SPY (16/22/5.8%)
IWM/RUT is where the premium is, relatively speaking, followed by the QQQ's.
DIVIDEND YIELDERS:
XLU (18/22/6.8%)
EWA (18/22/7.8%)
EWZ (18/45/13.2%)
IYR (17/22/6.9%)
EFA (16/22/5.6%)
SPY (16/22/5.8%)
HYG (15/13/3.3%)
TLT (14/16/4.6%)
EMB (11/10/2.8%)
Brazil ... again?!
GPS (37/82/17.0%) is really the only earnings announcement that interests me from a volatility contraction perspective. Pictured here is a September 18th skinny short strangle, which was paying 2.03 as of Friday close.
EXCHANGE-TRADED FUNDS SCREENED FOR IMPLIED >35% AND WHERE THE OCTOBER AT-THE-MONEY SHORT STRADDLE IS PAYING >10% OF STOCK PRICE:
SLV (50/61/17.4%)
GDX (22/47/14.1%)
XLE (21/37/11.6%)
GDXJ (19/55/16.7%)
EWZ (18/45/13.2%)
XOP (14/49/14.0%)
Juice as a function of stock price resides in SLV (17.4%), followed by GDXJ (16.7%), GDX (14.1%), and XOP (14.0%).
BROAD MARKET:
QQQ (23/28/8.2%)
IWM (23/29/8.4%)
EFA (17/21/5.6%)
SPY (16/22/5.8%)
IWM/RUT is where the premium is, relatively speaking, followed by the QQQ's.
DIVIDEND YIELDERS:
XLU (18/22/6.8%)
EWA (18/22/7.8%)
EWZ (18/45/13.2%)
IYR (17/22/6.9%)
EFA (16/22/5.6%)
SPY (16/22/5.8%)
HYG (15/13/3.3%)
TLT (14/16/4.6%)
EMB (11/10/2.8%)
Brazil ... again?!