EARNINGS:
Bunch of options liquid underlyings announcing earnings this week:
IBM (27/36/<10%), Monday, After Market Close
SNAP (43/79/18.1%): Tuesday, After Market Close
MSFT (29/38/<10%): Wednesday, After Market Close
TWTR (44/69/15.8%): Thursday, Before Market Open
INTC (24/39/<10%): Thursday, After Market Close
AMZN (70/55/12.5%) (Thursday, After Market Close) and TSLA (48/109/25.4%) (Wednesday, After Market Close) also announce, but options aren't the most liquid here, even though it's tempting to play all that juice in TSLA, with 30-day at 109% and the August 21st at-the-money short straddle paying a 25.4% of the stock price (which has gone parabolic).
From a buck banging standpoint, SNAP and TWTR look to be the potentially most productive for pure volatility contraction plays. Pictured here is an August 21st 20/29 directionally neutral short strangle, which was paying 1.39 as of Friday close. For those of a defined risk bent, consider something akin to the 18/21/28/31, which was paying slightly greater than one-third the width of the wings at 1.10 or a similar setup.
The TWTR August 21st 31/41 was paying 2.06 with a one-third-the-wing-width setup preliminarily being something like the 29/32/40/43, paying 1.21.
Naturally, strikes may have to be adjusted, depending how the underlyings move running into earnings.
EXCHANGE TRADED FUNDS ORDERED BY RANK AND SCREENED FOR 30-DAY >35% AND AT-THE-MONEY SHORT STRADDLE PRICE >10% OF STOCK PRICE:
XLE (28/44/10.3%)
GDXJ (23/55/12.0%)
EWZ (17/44/10.3%)
XOP (15/56/10.2%)
Relative to the past few weeks, volatility has dried up here quite a bit. The August monthly has 33 days left in it, so part of the "not paying" part has to do with duration. My tendency here would be to hold off, waiting until September duration (61 days) comes into range; it's still a little bit lengthy if you want to stick to stuff in that 45 day give-or-take wheelhouse.
BROAD MARKET:
Only IWM (33/37/8.3%) currently has a 30-day in excess of 35%, and that ain't saying much, with the at-the-money short straddle paying less than 10% of the value of the underlying.
IRA SHOPPING LIST/DIVIDEND YIELDERS:
Only EWZ (17/44/10.3%) has a 30-day >35%, along with the August at-the-money short straddle paying >10% of the stock price metric. I've already got a small short put ladder stuck out there (See Post Below), but aren't very tempted to add with the implied being so low within the 52-week range -- in the 17% percentile.
Bunch of options liquid underlyings announcing earnings this week:
IBM (27/36/<10%), Monday, After Market Close
SNAP (43/79/18.1%): Tuesday, After Market Close
MSFT (29/38/<10%): Wednesday, After Market Close
TWTR (44/69/15.8%): Thursday, Before Market Open
INTC (24/39/<10%): Thursday, After Market Close
AMZN (70/55/12.5%) (Thursday, After Market Close) and TSLA (48/109/25.4%) (Wednesday, After Market Close) also announce, but options aren't the most liquid here, even though it's tempting to play all that juice in TSLA, with 30-day at 109% and the August 21st at-the-money short straddle paying a 25.4% of the stock price (which has gone parabolic).
From a buck banging standpoint, SNAP and TWTR look to be the potentially most productive for pure volatility contraction plays. Pictured here is an August 21st 20/29 directionally neutral short strangle, which was paying 1.39 as of Friday close. For those of a defined risk bent, consider something akin to the 18/21/28/31, which was paying slightly greater than one-third the width of the wings at 1.10 or a similar setup.
The TWTR August 21st 31/41 was paying 2.06 with a one-third-the-wing-width setup preliminarily being something like the 29/32/40/43, paying 1.21.
Naturally, strikes may have to be adjusted, depending how the underlyings move running into earnings.
EXCHANGE TRADED FUNDS ORDERED BY RANK AND SCREENED FOR 30-DAY >35% AND AT-THE-MONEY SHORT STRADDLE PRICE >10% OF STOCK PRICE:
XLE (28/44/10.3%)
GDXJ (23/55/12.0%)
EWZ (17/44/10.3%)
XOP (15/56/10.2%)
Relative to the past few weeks, volatility has dried up here quite a bit. The August monthly has 33 days left in it, so part of the "not paying" part has to do with duration. My tendency here would be to hold off, waiting until September duration (61 days) comes into range; it's still a little bit lengthy if you want to stick to stuff in that 45 day give-or-take wheelhouse.
BROAD MARKET:
Only IWM (33/37/8.3%) currently has a 30-day in excess of 35%, and that ain't saying much, with the at-the-money short straddle paying less than 10% of the value of the underlying.
IRA SHOPPING LIST/DIVIDEND YIELDERS:
Only EWZ (17/44/10.3%) has a 30-day >35%, along with the August at-the-money short straddle paying >10% of the stock price metric. I've already got a small short put ladder stuck out there (See Post Below), but aren't very tempted to add with the implied being so low within the 52-week range -- in the 17% percentile.
