EARNINGS:
Pictured here is a delta neutral TWTR (42/54) short strangle in the November monthly camped out at the 17 delta paying 1.08, > 1 standard deviation break evens at 32.92/55.08, and delta theta metrics of .70/5.06. Earnings are scheduled to be announced on Thursday, the 24th before market open, so look to put on something on the 23rd before the close to take advantage of any volatility crush, adjusting strikes as necessary.
TSLA (26/57) rolls out earnings on the Wednesday, the 23rd after market close. The November 15th 220/300 camped out around the 15 delta is paying 5.94 at the mid with greater than 1 standard deviation break evens at 214.06/305.94 and delta/theta metrics of 1.78/30.78. The correspondent defined risk 210/220/300/310 iron condor pays 2.23 and delta/theta metrics of .34/7.27.
Although neither of these have ideal rank/implied metrics for volatility contraction plays, they are probably the best of the bunch that announce next week, although BA (53/38) (Wednesday before market open) might also prove interesting, particularly if volatility ramps up on Monday and Tuesday.
EXCHANGE-TRADED FUNDS
GLD (59/15)
SLV (55/25)
TLT (48/14)
GDXJ (46/34)
GDX (45/24)
USO (32/37)
XOP (25/36)
At some point, we'll move onto a different tune, but the market continues to play "Silver and Gold" (and Oil).
BROAD MARKET
EFA (23/13)
SPY (14/14)
IWM (13/18)
DIA (12/14)
QQQ (10/18)
EEM (6/16)
Neither rank nor implied is great here, so would probably hand sit, keep powder dry for an uptick in volatility.
First Expiry In Which At-The-Money Short Straddle Pays >10%:
IWM: May -- 16.52 versus 152.61 spot (10.8%)
SPY: June -- 31.15 versus 297.97 spot(10.5%)
QQQ: June -- 24.11 versus 191.69 spot (12.6%)
DIA: June -- 27.53 versus 267.64 spot (10.3%)
EFA: Sept -- 7.15 versus 66.27 spot (10.8%)
The shortest duration setup is in May (208 days), where expiry-specific implied is at 20.2% (versus November's 17.6%). There, the IWM 130/2 x 177 ratio'd short strangle with the put leg at the 16, the calls doubled up at the 9 pays 3.63 with break evens wide of the 1 standard deviation lines at 126.37/178.82, and delta/theta metrics of -1.13/2.71, where a pull out at 25% max gets you .91 if you don't want to wait for the 1.82 at 50. Personally, I don't know whether I'm that desperate for theta yet ... .
FUTURES (Excluding the Treasury Complex)
/6B (80/24)
/GC (59/14)
/SI (55/24)
/ZW (37/31)
/NG (35/56)
/6E (34/6)
/ZC (32/32)
/CL (32/37)
Cable continues to continue to feel the volatility love on the back of a supposed Brexit deal, with natty getting frisky in the cooler days of the North American early fall. Ordinarily, this would imply that premium should be sold in /NG, but am sticking with my bullish assumption seasonality play put on in winter expiries at summer lows and pretty much leaving it at that. That being said, I could see selling some January 28th 2 put (which lines up nicely with multi-year lows), but need to wait until active futures to price those out ... .
VIX/VIX DERIVATIVES
Wait for another pop to VIX >20 to add bearish assumption in VXX/UVXY or 2019 lows to add VIX bullish assumption spreads.
Alternatively, look to add bearish assumption VIX term structure* (See Post Below) trades in front months, with the VIX December 17/20 paying .85 with a 17.85 break even versus the December /VX contract trading at 17.52; the January 18/21 paying .85 with an 18.85 break even versus 18.42; and the February 18/21 paying .90 with an 18.90 break even versus 18.77.
Pictured here is a delta neutral TWTR (42/54) short strangle in the November monthly camped out at the 17 delta paying 1.08, > 1 standard deviation break evens at 32.92/55.08, and delta theta metrics of .70/5.06. Earnings are scheduled to be announced on Thursday, the 24th before market open, so look to put on something on the 23rd before the close to take advantage of any volatility crush, adjusting strikes as necessary.
TSLA (26/57) rolls out earnings on the Wednesday, the 23rd after market close. The November 15th 220/300 camped out around the 15 delta is paying 5.94 at the mid with greater than 1 standard deviation break evens at 214.06/305.94 and delta/theta metrics of 1.78/30.78. The correspondent defined risk 210/220/300/310 iron condor pays 2.23 and delta/theta metrics of .34/7.27.
Although neither of these have ideal rank/implied metrics for volatility contraction plays, they are probably the best of the bunch that announce next week, although BA (53/38) (Wednesday before market open) might also prove interesting, particularly if volatility ramps up on Monday and Tuesday.
EXCHANGE-TRADED FUNDS
GLD (59/15)
SLV (55/25)
TLT (48/14)
GDXJ (46/34)
GDX (45/24)
USO (32/37)
XOP (25/36)
At some point, we'll move onto a different tune, but the market continues to play "Silver and Gold" (and Oil).
BROAD MARKET
EFA (23/13)
SPY (14/14)
IWM (13/18)
DIA (12/14)
QQQ (10/18)
EEM (6/16)
Neither rank nor implied is great here, so would probably hand sit, keep powder dry for an uptick in volatility.
First Expiry In Which At-The-Money Short Straddle Pays >10%:
IWM: May -- 16.52 versus 152.61 spot (10.8%)
SPY: June -- 31.15 versus 297.97 spot(10.5%)
QQQ: June -- 24.11 versus 191.69 spot (12.6%)
DIA: June -- 27.53 versus 267.64 spot (10.3%)
EFA: Sept -- 7.15 versus 66.27 spot (10.8%)
The shortest duration setup is in May (208 days), where expiry-specific implied is at 20.2% (versus November's 17.6%). There, the IWM 130/2 x 177 ratio'd short strangle with the put leg at the 16, the calls doubled up at the 9 pays 3.63 with break evens wide of the 1 standard deviation lines at 126.37/178.82, and delta/theta metrics of -1.13/2.71, where a pull out at 25% max gets you .91 if you don't want to wait for the 1.82 at 50. Personally, I don't know whether I'm that desperate for theta yet ... .
FUTURES (Excluding the Treasury Complex)
/6B (80/24)
/GC (59/14)
/SI (55/24)
/ZW (37/31)
/NG (35/56)
/6E (34/6)
/ZC (32/32)
/CL (32/37)
Cable continues to continue to feel the volatility love on the back of a supposed Brexit deal, with natty getting frisky in the cooler days of the North American early fall. Ordinarily, this would imply that premium should be sold in /NG, but am sticking with my bullish assumption seasonality play put on in winter expiries at summer lows and pretty much leaving it at that. That being said, I could see selling some January 28th 2 put (which lines up nicely with multi-year lows), but need to wait until active futures to price those out ... .
VIX/VIX DERIVATIVES
Wait for another pop to VIX >20 to add bearish assumption in VXX/UVXY or 2019 lows to add VIX bullish assumption spreads.
Alternatively, look to add bearish assumption VIX term structure* (See Post Below) trades in front months, with the VIX December 17/20 paying .85 with a 17.85 break even versus the December /VX contract trading at 17.52; the January 18/21 paying .85 with an 18.85 break even versus 18.42; and the February 18/21 paying .90 with an 18.90 break even versus 18.77.
