As of Friday close, NVDA and AMAT appear to have the volatility metrics I'm looking for in earnings-related volatility contraction play (>70 rank/>50 implied).
NVDA (70/67) announces on Thursday after market close. The iron condor pictured here pays 1.73 credit with break evens wide of the expected move.
AMAT (68/48) announces on Thursday after market close, with the Dec 21st 31/37 short strangle paying 1.64 (50% take profit of .82) and the 34 short straddle paying 3.89 (25% take profit of .97).
On the exchange-traded front: USO (100/35), SLV (99/22), EEM (85/26), XOP (76/38), and OIH (75/36) round out the top symbols by rank, with USO, XOP, and OIH being no surprise given the beating oil has take over the past several weeks. Although I am mostly selling premium in XOP here, I could see also taking a bullish directional shot in OIH, which has broken through long-term horizontal support; XOP and XLE have yet to close in on the bottom of their long-term ranges. Alternatively, I could see doing a similar, bullish assumption play in one of the higher volatility petro underlyings that have earnings in the rear view mirror: OXY (75/30), COP (74/33), or BP (70/36), for example.
ASHR (74/33) is worth a passing mention here, but if I'm going to play China, it's going to be via the more liquid FXI (65/28).
MJ (--/64)* is also worth an honorable mention, with the more recognizable cannabis underlyings -- CRON, CGC, and TLRY -- all announcing earnings this week. The currently unfortunate thing about MJ is that it's not getting decent volume yet, so options liquidity isn't the best for those who'd rather not be on the single name roller coaster.
As far as the majors are concerned, some volatility came out of the broad market post-mid-term elections: SPY 30-day's now at 15.3%; QQQ at 24.6%; and IWM at 22.8%, so if I'm going to add broad market short premium here, it's going to be in the Q's and/or RUT/IWM.
Lastly: UNG. Last week marked a kind of WTF, weather forecast-related spike in natty, with UNG printing a new 52-week high. I was previously looking at 27.5 as an area of interest for short with 31-ish being the next stop, but thought November was too early in the natural gas seasonality cycle to be putting on a short play (usually, a downward put diagonal (See Post Below)* with the back month in April or later). Now that it's whipped through 31 in three seconds flat, I'm going to be patient here and see if it grinds higher throughout December, even though forecasts are generally calling for a "meh" winter temperature-wise.
* -- It doesn't currently have a 52-week rank, since it hasn't been around that long. ** -- Naturally, that setup's no longer good. I'll post a revised setup here shortly.
Comment
⋅
UNG: I had a second look at UNG this week for a downward put diagonal, but can't get into a satisfactory setup at the moment, largely due to call side skew (it's ghastly) and the availability of strikes above 36 in the back month for a seasonality play. Rank/IV is high here (80/59), so I could see doing something nondirectional, but skewed to accommodate that pesky call side.
So I'm curious ia that IC on NVDA more of a earnings decay or u want it to blow past your high and low strikes?? Love ur stuff sir
NaughtyPines
⋅
@beinhaur, You basically want it to stay "within the expected move," so you want it to generally stay between the short option strikes through expiry (or at least until the premium decays out sufficiently to take it off profitably).
NaughtyPines
⋅
@NaughtyPines, If you're looking to play it directionally or have a good directional assumption, I'd go with a different setup.