Although both FDX and ORCL announce earnings tomorrow (Monday) after market close, the underlying with the implied volatility metrics I generally look for in a volatility contraction play are present in MU, which announces Thursday after market close.
With a rank of 82 and a 30-day of 60%, the 70% probability of profit 39/52.5 20-delta short strangle is paying 1.66 at the mid-price. Since it's been beaten down a bit recently, I could see skewing that setup a bit to the bullish side, and or capping off call side risk via a Jade Lizard (the October 19th 39/49/50 would do the trick -- it's paying 1.13 at the mid with no upside risk above 37.87).
As far as non-earnings are concerned, implied volatility is present where it's been for a bit -- in EWZ (rank 99/implied 55) (the Brazilian exchange-traded fund), PBR (88/72) (Brazilian petro), CRON (76/124) (cannabis), GDX (66/30) (gold miners), and USO (58/27) (oil). Naturally, there's also TSLA (69/54), but with earnings in 52, you might as well wait for the full-on, earnings related volatility expansion/contraction ... .
Comment
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Damn. I missed the MU earnings: AH, down to 42.90-ish, so within the expected move for Oct ... .
I like the MU idea. I got hammered last month on an EWZ IC as the IVR exploded. I'm not sure what the catalyst could be to crush that IV but seems like it can't stay there forever. Are you going to sell a strangle there this week?
NaughtyPines
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@FiberStage, I've got quite a bit of EWZ on, most of which is "troubled" (i.e., roll downs, a few inverted short strangles), so I'm probably going to wait for those to work out/resolve before doing anything else. Besides, the Brazilian binary event is in the October cycle (elections), so I don't want to get too heavy in it, but may add some if vol ramps up even more ... . I assume any contraction will occur after elections, but who knows ... .
FiberStage
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@NaughtyPines, Well said. Didn't know elections were looming for them like that. May be good to find large caps in the Brazilian sector and buy strangles that have yet to catch up to this iv expansion. Have a good week.
NaughtyPines
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@FiberStage, I've been "wheeling" that PBR for quite a bit (short put, acquire (if assigned), cover). It's got some IV in it both due to the Brazilian economy and petro, so you kind of get a "two-fer." I think some other Brazilian underlyings popped up on my screener, but didn't want to go crazy ... . Lol.