Pictured here is the only earnings announcement-related volatility contraction play with the metrics I'm looking for: greater than 70% rank and greater than 50% 30-day (it was 68/55 as of Friday close). Setup Metrics: 3.40 credit, break evens at 20.60/27.40, -8.20 delta, 3.1 theta.
Obvious alternatives would be the April 18th 21/27 short strangle paying 1.21 with break evens at 19.79/28.21, a delta of -4.5, and theta of 2.43 and -- for those with a defined risk bent -- the 19/22/26/29 iron condor in the same expiry, paying 1.23 with 20.77/27.23 break evens, a -2.64 delta, and a theta of 1.15.
On the exchange-traded fund front, the highest volatility remains in petro, with OIH, XOP, and USO taking the top three spots for 30-day implied at 31, 30, and 29, respectively, followed by EWZ at 29, and GDXJ at 26. With the exception of GDXJ, however, all of these are in the lower one quarter of their 52-week range (GDXJ's in the 31st percentile). As with last week, I'll continue to sell premium in XOP, albeit smaller than usual, reserving buying power for a richer volatility environment.
Single names with earnings in the rear view ranked by 30-day: TSLA (12/49), FCX (24/43), X (18/43), TWTR (8/38), and BIDU (24/35). I'm in a FCX slightly bullish short straddle at 14 as a kind of quasi-bullish copper play, and have gone with a "not a penny more" short put in X (See Posts Below).
As alternative plays, the X April 18th 24 short straddle is paying 2.83 (.71 at 25% max) with the 21/27 short strangle paying .84 (.42 at 50% max)
The TWTR April 18th 32 short straddle is paying 3.61 at the mid (.90 at 25% max) with the 28/35 short strangle paying 1.19 (.60 at 50% max) in the same expiry.
Spreads in both TSLA and BIDU are unattractively wide.
Obvious alternatives would be the April 18th 21/27 short strangle paying 1.21 with break evens at 19.79/28.21, a delta of -4.5, and theta of 2.43 and -- for those with a defined risk bent -- the 19/22/26/29 iron condor in the same expiry, paying 1.23 with 20.77/27.23 break evens, a -2.64 delta, and a theta of 1.15.
On the exchange-traded fund front, the highest volatility remains in petro, with OIH, XOP, and USO taking the top three spots for 30-day implied at 31, 30, and 29, respectively, followed by EWZ at 29, and GDXJ at 26. With the exception of GDXJ, however, all of these are in the lower one quarter of their 52-week range (GDXJ's in the 31st percentile). As with last week, I'll continue to sell premium in XOP, albeit smaller than usual, reserving buying power for a richer volatility environment.
Single names with earnings in the rear view ranked by 30-day: TSLA (12/49), FCX (24/43), X (18/43), TWTR (8/38), and BIDU (24/35). I'm in a FCX slightly bullish short straddle at 14 as a kind of quasi-bullish copper play, and have gone with a "not a penny more" short put in X (See Posts Below).
As alternative plays, the X April 18th 24 short straddle is paying 2.83 (.71 at 25% max) with the 21/27 short strangle paying .84 (.42 at 50% max)
The TWTR April 18th 32 short straddle is paying 3.61 at the mid (.90 at 25% max) with the 28/35 short strangle paying 1.19 (.60 at 50% max) in the same expiry.
Spreads in both TSLA and BIDU are unattractively wide.
