THE WEEK AHEAD: TGT EARNINGS; XLE, XOP, EEM PREMIUM SELLING
EARNINGS:
TGT (93/52) and COST (91/44) announce earnings next week, with a directionally neutral TGT short strangle shown here paying 3.87 at the mid price, delta/theta 1.01/9.64.
EXCHANGE-TRADED FUNDS ORDERED BY RANK AND SHOWING THE FIRST EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
XLE (99/55), April
XOP (97/79), April
XMH (95/54), April
FXI (95/40), May
GDXJ (95/50), April
EWW (95/43), April
USO (91/48), April
EWZ (90/48), April
GDX (89/46), April
XLU (88/26), June
BROAD MARKET ORDERED BY RANK AND SHOWING THE FIRST EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
EFA (100/38), June
EEM (95/44), April
IWM (88/42), April
QQQ (83/47), April
SPY (80/42), May
FUTURES ORDERED BY RANK:
/GC (100/20)
/ES (113/40)
/CL (100/51)
/ZC (68/18)
/SI (68/28)
/NG (67/49)
/ZW (11/28)
VIX/VIX DERIVATES:
VIX finished the week at a whopping 40.11 with the /VX term structure in backwardation, so it's an opportunity to add short call verticals or long put verticals in VXX and UVXY if you haven't already done so. For existing spreads (I've got a few), I'll be looking to play the elevator up/down game, rolling the long call aspect of my VXX credit spreads up to lock in profit on that side of the trade and improve my break even. In all likelihood, these will eventually require rolling out for duration come April opex due to the location of the short leg, but I'm fine with that. Pops can happen while you have these on, and you just need to be patient and make the best of them ... .
GENERAL MUSINGS:
For people who are into selling premium and who had large amounts of cash sitting on the sidelines, this is your "kid in a candy store" moment. Non-single name premium selling has finally become productive in that 45 day wheel house, even in broad market, where we were looking at going grotesquely long in duration last week to get paid. For those who had longer-dated premium selling setups on before this volatility expansion (points at self), well, I feel your pain. Be patient and mechanical, and some of that pain will inevitably give way to a volatility contraction going forward.
TGT (93/52) and COST (91/44) announce earnings next week, with a directionally neutral TGT short strangle shown here paying 3.87 at the mid price, delta/theta 1.01/9.64.
EXCHANGE-TRADED FUNDS ORDERED BY RANK AND SHOWING THE FIRST EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
XLE (99/55), April
XOP (97/79), April
XMH (95/54), April
FXI (95/40), May
GDXJ (95/50), April
EWW (95/43), April
USO (91/48), April
EWZ (90/48), April
GDX (89/46), April
XLU (88/26), June
BROAD MARKET ORDERED BY RANK AND SHOWING THE FIRST EXPIRY IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
EFA (100/38), June
EEM (95/44), April
IWM (88/42), April
QQQ (83/47), April
SPY (80/42), May
FUTURES ORDERED BY RANK:
/GC (100/20)
/ES (113/40)
/CL (100/51)
/ZC (68/18)
/SI (68/28)
/NG (67/49)
/ZW (11/28)
VIX/VIX DERIVATES:
VIX finished the week at a whopping 40.11 with the /VX term structure in backwardation, so it's an opportunity to add short call verticals or long put verticals in VXX and UVXY if you haven't already done so. For existing spreads (I've got a few), I'll be looking to play the elevator up/down game, rolling the long call aspect of my VXX credit spreads up to lock in profit on that side of the trade and improve my break even. In all likelihood, these will eventually require rolling out for duration come April opex due to the location of the short leg, but I'm fine with that. Pops can happen while you have these on, and you just need to be patient and make the best of them ... .
GENERAL MUSINGS:
For people who are into selling premium and who had large amounts of cash sitting on the sidelines, this is your "kid in a candy store" moment. Non-single name premium selling has finally become productive in that 45 day wheel house, even in broad market, where we were looking at going grotesquely long in duration last week to get paid. For those who had longer-dated premium selling setups on before this volatility expansion (points at self), well, I feel your pain. Be patient and mechanical, and some of that pain will inevitably give way to a volatility contraction going forward.