EARNINGS:
TWTR (66/54) announces earnings on Thursday before market open, so look to put on a play in the waning hours of Wednesday's New York session to take advantage of post-announcement volatility crush.
Pictured here is a 16 delta short strangle in the March cycle with -2.88/2.95 delta/theta metrics and break evens wide of the expected move paying 1.10.
There are naturally a number of other earnings announcing next week (i.e., DIS, SNAP), but TWTR has the best implied volatility rank/30-day implied metrics to set up for a volatility contraction play.
EXCHANGE-TRADED FUNDS ORDERED BY IMPLIED VOLATILITY RANK WITH FIRST MONTH IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
FXI (86/30), June
USO (72/41), March
XLE (72/33), May
SMH (68/29), May
XOP (56/38), March
IBB (56/25), June
EWZ (50/30), April
GDX (30/31), May
GDX (27/27), May
BROAD MARKET FUNDS ORDERED BY IMPLIED VOLATILITY RANK WITH THE FIRST MONTH IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
EEM (62/23), September
EFA (60/15), December
IWM (54/20), August
QQQ (51/22), September
SPY (50/18), October
FUTURES (EXCLUDING CURRENCIES AND TREASURIES) ORDERED BY IMPLIED VOLATILITY RANK:
/CL (64/42)
/GC (47/13)
/SI (38/21)
/ZC (32/20)
/NG (29/40)
/ZS (18/18)
/ZW (7/24)
VIX/VIX DERIVATIVES:
VIX finished the week at 18.84 with months 1-3 in backwardation; February finished at 18.30, March at 17.80, and April at 17.83. Here, I would add short volatility spreads in either VXX or UVXY, looking to collect one-third the width of the spread in credit (for short call verticals) or not pay more than one-third the width of the spread in debit (for long put verticals) (e.g., the VXX March 20th 16/17 short call vertical, paying .34).
TWTR (66/54) announces earnings on Thursday before market open, so look to put on a play in the waning hours of Wednesday's New York session to take advantage of post-announcement volatility crush.
Pictured here is a 16 delta short strangle in the March cycle with -2.88/2.95 delta/theta metrics and break evens wide of the expected move paying 1.10.
There are naturally a number of other earnings announcing next week (i.e., DIS, SNAP), but TWTR has the best implied volatility rank/30-day implied metrics to set up for a volatility contraction play.
EXCHANGE-TRADED FUNDS ORDERED BY IMPLIED VOLATILITY RANK WITH FIRST MONTH IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
FXI (86/30), June
USO (72/41), March
XLE (72/33), May
SMH (68/29), May
XOP (56/38), March
IBB (56/25), June
EWZ (50/30), April
GDX (30/31), May
GDX (27/27), May
BROAD MARKET FUNDS ORDERED BY IMPLIED VOLATILITY RANK WITH THE FIRST MONTH IN WHICH THE AT-THE-MONEY SHORT STRADDLE PAYS GREATER THAN 10% OF THE STOCK PRICE:
EEM (62/23), September
EFA (60/15), December
IWM (54/20), August
QQQ (51/22), September
SPY (50/18), October
FUTURES (EXCLUDING CURRENCIES AND TREASURIES) ORDERED BY IMPLIED VOLATILITY RANK:
/CL (64/42)
/GC (47/13)
/SI (38/21)
/ZC (32/20)
/NG (29/40)
/ZS (18/18)
/ZW (7/24)
VIX/VIX DERIVATIVES:
VIX finished the week at 18.84 with months 1-3 in backwardation; February finished at 18.30, March at 17.80, and April at 17.83. Here, I would add short volatility spreads in either VXX or UVXY, looking to collect one-third the width of the spread in credit (for short call verticals) or not pay more than one-third the width of the spread in debit (for long put verticals) (e.g., the VXX March 20th 16/17 short call vertical, paying .34).