P announces earnings on 2/21 after market close; HLF on 2/22 after market. Any vol contraction plays you choose to pull the trigger on should be put on shortly before the close before which earnings are announced, when the background implied volatility is likely to be at its highest.
With background implied volatility over 100%, the obvious play in P is a post-earnings vol contraction play. Preliminarily, the March 16th 5 short straddle is paying 1.22/contract at the mid with break evens at 3.78 and 6.22, theta 2.14, delta -20. That being said, it's so low to the deck that I could also see going at the money short put, with the March 16th 5 shortie paying .49, giving you a break even of 4.51, which would be your cost basis in assigned shares, assuming it's in the money at expiry, and you don't roll out to reduce cost basis further.
The HLF March 2nd 77.5/91 delta neutral short strangle pays 2.97 at the mid with break evens at 74.53 and 93.97, a theta of 16.23. The comparable defined risk iron condor -- the March 2nd 73.5/77.5/91/95 pays 1.46 at the door with a max loss of 2.54, break evens at 74.53 and 93.97, and theta of 6.24.
As far as non-earnings/non-single name risk plays are concerned, the volatility appears to be highest in the petro sector at the moment -- in XOP, OIH, and XLE. Of these, the background implied in XOP is the highest, and the April 20th 31/37 delta neutral short strangle is paying 1.22 at the mid with break evens at 29.78 and 38.22, theta of 2.13. The corresponding defined risk play (the 28/31/37/40 iron condor) doesn't pay one-third the width of the wings, so isn't worthwhile. Naturally, you can consider the iron fly route, where the metrics are pretty good for the play: the April 16th 29/34/34/39 pays 2.73 with a max loss of 2.27, theta of 1.12, delta of -3.41.
In the volatility product arena, the /VX term structure remains "goofy" with a flat aspect front to back with the highest priced trading in March trading at 17.78, the lowest in June at 17.23 relative to a VIX print at 19.46, and we're still technically in backwardation with the front month (March) trading above April. That's a fairly narrow range for eight months worth of expiries* to trade in with little to no meaningful contango to take advantage of at the moment. That'll naturally work itself out at some point ... .
With background implied volatility over 100%, the obvious play in P is a post-earnings vol contraction play. Preliminarily, the March 16th 5 short straddle is paying 1.22/contract at the mid with break evens at 3.78 and 6.22, theta 2.14, delta -20. That being said, it's so low to the deck that I could also see going at the money short put, with the March 16th 5 shortie paying .49, giving you a break even of 4.51, which would be your cost basis in assigned shares, assuming it's in the money at expiry, and you don't roll out to reduce cost basis further.
The HLF March 2nd 77.5/91 delta neutral short strangle pays 2.97 at the mid with break evens at 74.53 and 93.97, a theta of 16.23. The comparable defined risk iron condor -- the March 2nd 73.5/77.5/91/95 pays 1.46 at the door with a max loss of 2.54, break evens at 74.53 and 93.97, and theta of 6.24.
As far as non-earnings/non-single name risk plays are concerned, the volatility appears to be highest in the petro sector at the moment -- in XOP, OIH, and XLE. Of these, the background implied in XOP is the highest, and the April 20th 31/37 delta neutral short strangle is paying 1.22 at the mid with break evens at 29.78 and 38.22, theta of 2.13. The corresponding defined risk play (the 28/31/37/40 iron condor) doesn't pay one-third the width of the wings, so isn't worthwhile. Naturally, you can consider the iron fly route, where the metrics are pretty good for the play: the April 16th 29/34/34/39 pays 2.73 with a max loss of 2.27, theta of 1.12, delta of -3.41.
In the volatility product arena, the /VX term structure remains "goofy" with a flat aspect front to back with the highest priced trading in March trading at 17.78, the lowest in June at 17.23 relative to a VIX print at 19.46, and we're still technically in backwardation with the front month (March) trading above April. That's a fairly narrow range for eight months worth of expiries* to trade in with little to no meaningful contango to take advantage of at the moment. That'll naturally work itself out at some point ... .