THE WEEK AHEAD: UBER, BIDU, ROKU EARNINGS; USO, XOP, /CL, VIX
HIGH RANK/IMPLIED EARNINGS:
UBER (--/74):* Monday, After Market Close.
BIDU (59/42): Wednesday, After Market Close.
ROKU (72/85): Wednesday, After Market Close.
The Plain Jane ROKU December 20th 120/190 short strangle camped out at the 20 delta pays 8.55, but there is some call side skew there that you may want to accommodate in some fashion, for example, via ratio (the December 20th 2 x 105/185, 8.79 credit, -1.64/26.15 delta theta) or by going half as wide on the call side as on the put with a defined risk iron condor (e.g., the December 20th 110/120/185/190 pays 2.09).
The BIDU December 20th 90/120 short strangle pays 2.33 and the UBER December 20th 25/39 pays 1.45.
Naturally, you'll probably want to adjust strikes a smidge running into earnings, depending on how much these move between now and their respective announcements.
EXCHANGE-TRADED FUNDS:
SLV (51/24)
GDXJ (40/31)
GLD (40/12)
GDX (38/27)
TLT (34/11)
USO (29/35)
XOP (24/34)
First Expiries In Which At-the-Money Short Straddle Pays >10% of Stock Price:
SLV: April (165 Days), 2.10 versus 16.92 spot (12.4%)
GDXJ: January (75 Days), 4.75 versus 39.40 spot (12.1%)
GLD: January '21 (439 Days), 17.48 versus 142.56 (12.3%)
GDX: January (75 Days), 2.91 versus 28.01 (10.4%)
TLT: January '21 (439 Days), 15.43 versus 140.56 (11.0%)
USO: January (75 Days), 1.38 versus 11.69 (11.8%)
XOP: December (47 Days), 2.25 versus 21.85 (10.3%)
I'm naturally not going to go out 439 days in either TLT or GLD to sell premium, but set them out there to show where the best "buck bang" is. If anywhere, it's shorter duration in GDXJ, GDX, USO, or XOP.
BROAD MARKET:
As with last week, <45 Day duration broad market (SPY, QQQ, IWM) isn't paying here. The shortest duration in which the at the money short straddle pays greater than 10% of where the underlying is trading is out in June (228 Days) in either IWM or QQQ. I reluctantly put on some QQQ last week (see Post Below), with the intent to manage these longer-dated setups far more aggressively than I would a shorter-dated one, taking profit at 25% max as opposed to waiting for a full 50 or more.
Pictured here is an IWM June 19th 135/2 x 185 ratio'd short strangle with the short put around the 16 delta, the short calls doubled up at the 8's to accommodate skew. It pays 3.77 with break evens at 131.23/186.89 and delta/theta of 2.55/.73.
FUTURES:
The premium selling picture is basically the same as last week and mirrors that in the exchange-traded funds, with /CL paying in shorter duration, but not much else.
VIX/VIX DERIVATIVES:
There are viable term structure trades in VIX in the December, January, and February expiries where the correspondent /VX contracts are trading at 16.16, 17.37, and 18.02 as of Friday close. It is otherwise one of those rare moments where it might be worthwhile to consider a bullish assumption play in VXX or UVXY with VIX approaching 2019 lows around 12 (See Post Below).
* -- UBER hasn't been around for 52 weeks yet, so there is no percentile/rank for where the 30-day lies.
UBER (--/74):* Monday, After Market Close.
BIDU (59/42): Wednesday, After Market Close.
ROKU (72/85): Wednesday, After Market Close.
The Plain Jane ROKU December 20th 120/190 short strangle camped out at the 20 delta pays 8.55, but there is some call side skew there that you may want to accommodate in some fashion, for example, via ratio (the December 20th 2 x 105/185, 8.79 credit, -1.64/26.15 delta theta) or by going half as wide on the call side as on the put with a defined risk iron condor (e.g., the December 20th 110/120/185/190 pays 2.09).
The BIDU December 20th 90/120 short strangle pays 2.33 and the UBER December 20th 25/39 pays 1.45.
Naturally, you'll probably want to adjust strikes a smidge running into earnings, depending on how much these move between now and their respective announcements.
EXCHANGE-TRADED FUNDS:
SLV (51/24)
GDXJ (40/31)
GLD (40/12)
GDX (38/27)
TLT (34/11)
USO (29/35)
XOP (24/34)
First Expiries In Which At-the-Money Short Straddle Pays >10% of Stock Price:
SLV: April (165 Days), 2.10 versus 16.92 spot (12.4%)
GDXJ: January (75 Days), 4.75 versus 39.40 spot (12.1%)
GLD: January '21 (439 Days), 17.48 versus 142.56 (12.3%)
GDX: January (75 Days), 2.91 versus 28.01 (10.4%)
TLT: January '21 (439 Days), 15.43 versus 140.56 (11.0%)
USO: January (75 Days), 1.38 versus 11.69 (11.8%)
XOP: December (47 Days), 2.25 versus 21.85 (10.3%)
I'm naturally not going to go out 439 days in either TLT or GLD to sell premium, but set them out there to show where the best "buck bang" is. If anywhere, it's shorter duration in GDXJ, GDX, USO, or XOP.
BROAD MARKET:
As with last week, <45 Day duration broad market (SPY, QQQ, IWM) isn't paying here. The shortest duration in which the at the money short straddle pays greater than 10% of where the underlying is trading is out in June (228 Days) in either IWM or QQQ. I reluctantly put on some QQQ last week (see Post Below), with the intent to manage these longer-dated setups far more aggressively than I would a shorter-dated one, taking profit at 25% max as opposed to waiting for a full 50 or more.
Pictured here is an IWM June 19th 135/2 x 185 ratio'd short strangle with the short put around the 16 delta, the short calls doubled up at the 8's to accommodate skew. It pays 3.77 with break evens at 131.23/186.89 and delta/theta of 2.55/.73.
FUTURES:
The premium selling picture is basically the same as last week and mirrors that in the exchange-traded funds, with /CL paying in shorter duration, but not much else.
VIX/VIX DERIVATIVES:
There are viable term structure trades in VIX in the December, January, and February expiries where the correspondent /VX contracts are trading at 16.16, 17.37, and 18.02 as of Friday close. It is otherwise one of those rare moments where it might be worthwhile to consider a bullish assumption play in VXX or UVXY with VIX approaching 2019 lows around 12 (See Post Below).
* -- UBER hasn't been around for 52 weeks yet, so there is no percentile/rank for where the 30-day lies.
