With four weeks or so until the next batch of earnings, I'm briefly turning my attention to exchange-traded funds to see if there's anything I can play to bridge the gap between earnings seasons.
As with the previous several weeks, there isn't much; only three are near or above the 70th percentile for implied volatility over the past six months: FEZ, with an implied volatility rank of 86, and a background implied volatility of 20; XLV (68/17) (no surprise there; some friskiness associated with the failed Repeal and Replace measure); and XRT (67/22). I will look to work XLV and XRT with iron flies, possibly, but I may go directional on FEZ, since it's meant to replicate the performance of the Euro Stoxx 50.
The other possibility is SNAP. It hasn't been on the block long enough for it to have a "6 month" metric of anything, but its background implied volatility is at 59%, and that's somewhat high for this market. Because of its potential for rippage, I think the best play in that is directional or where there is no directional risk on one side or the other (put diagonal, Jade Lizard, Big Liz).
I'll putz with possible SNAP setups here and post separately if something looks particularly attractive ... .
As with the previous several weeks, there isn't much; only three are near or above the 70th percentile for implied volatility over the past six months: FEZ, with an implied volatility rank of 86, and a background implied volatility of 20; XLV (68/17) (no surprise there; some friskiness associated with the failed Repeal and Replace measure); and XRT (67/22). I will look to work XLV and XRT with iron flies, possibly, but I may go directional on FEZ, since it's meant to replicate the performance of the Euro Stoxx 50.
The other possibility is SNAP. It hasn't been on the block long enough for it to have a "6 month" metric of anything, but its background implied volatility is at 59%, and that's somewhat high for this market. Because of its potential for rippage, I think the best play in that is directional or where there is no directional risk on one side or the other (put diagonal, Jade Lizard, Big Liz).
I'll putz with possible SNAP setups here and post separately if something looks particularly attractive ... .
Comment:
Oy. Off hours wide bid/asks for XLV, XRT, FEZ setups, so will have to recheck during regular market hours ... .