There are four options highly liquid underlyings that pop up on my screener for next week with 30-day implied of >50%: UAL (23/88/22.6%)* (on Wednesday after market close); DAL (13/74/19.1%) (Tuesday before market open); SLV (18/59/16.4%) (Friday, before market open), and WBA (43/54/12.2%) (Thursday, before market open).
Pictured here is a directionally neutral 29/50 short strangle in the November monthly with the options camped out at the 16 delta, yielding a 2 x expected move break even on the put side and > 2 x expected move on the call. Delta/theta -.41/6.00; paying 1.87 at the mid price as of Friday close (.94 at 50% max).
The DAL November 20th, 16 delta 27/42 short strangle was paying 1.83 at the mid price as of Friday close; delta/theta 1.48/4.39.
SLB is small enough to short straddle, but would go "skinny," as the November only has 2.5 wides to play with. The November 20th 15/17.5 was paying 1.48 as of Friday close, but treating it as a short straddle and taking profit at 25% max (.37) isn't particularly compelling, so would probably pass on the play and deploy buying power elsewhere.
WBA suffers from a similar affliction (2.5 wides out in November), but the 32.5/ 40 is paying 1.54 there, albeit with break evens greater than the expected move, but not quite 2 x.
EXCHANGE-TRADED FUNDS RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%:
GDX (15/ 40 /10.7%)
BROAD MARKET RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING:
DIVIDEND PAYERS RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%:
I already have a UAL covered call on, so am unlikely to partake in that underlying further here. Moreover, in the IRA/retirement account, I'm already deployed in everything at the top of the heap from an implied standpoint, although I may carry on with my standard weekly 16-delta short put in the broad market instrument with the highest implied , which would be QQQ . Alternatively, I'll do a QQQ 10-percenter (See Post Below) instead, as NDX isn't fantastically liquid, and a November 27th (currently, 48 days until expiry) will be available. To emulate a 50-wide, however, in NDX, I'll have to go 10-wide with 5 contracts or 5 wide with 10, etc. For example, the November 27th 240/245 is paying .50, and I'd have to sell 10 of those to emulate the NDX November 27th 9925/9975, paying 5.04. I would naturally prefer just selling one NDX spread, since it means fewer fees, but if the bid/ask is grotesque, I'll just have to go with QQQ or a RUT 50 wide. (The RUT November 27th 1385/1435 was paying 5.04 at the mid as of Friday close).
* -- The first metric is the implied rank (where implied is currently relative to where it's been over the last 52 weeks); the second, 30-day implied ; and the third, what the November at-the-money short straddle is paying as a percentage of stock price.