THE WEEK AHEAD: SLIM PICKINGS FOR THE PREMIUM SELLER
With VIX at sub-12 levels, broad market implied volatility is low here, and a basic screen run for high implied volatility rank/high implied volatility yields few high quality results. Here's what I'm looking at ... .
SPY et al (Broad Market)
The first expiry with greater than 15% implied volatility for SPY is in the June expiry. The most I like to go out with these is around 90 DTE, so no play there unless you like to watch paint dry. (The theta decay of a June setup would be painful to watch).
Earnings
The only earnings play next week with >70 implied vol rank/>50 implied vol is $NFLX, which announces on 1/18 after market close. I'll probably play that with my standard volatility contraction setup, which will either be an iron condor or short strangle, although I could also see just playing it with a 20-delta short put (bullish assumption).
Non-Earnings
The only playable individual underlying without earnings on the horizon appears to be P, but the only worthwhile setup due to the price of the underlying would be an ATM short straddle, 45 DTE. It looks like that would pay 2.00 or so at the door; shooting for 25% max profit would yield about $50 per contract.
Exchange Traded Funds
There are literally no sector exchange traded funds out there that meet my criteria for a premium selling play (>70% implied vol rank; >35% implied volatility), unless you count $GDXJ (junior gold miners) and $UNG (the natty gas proxy).
With $GDXJ, I'm contemplating the simplest play out there -- a naked short put (bullish assumption). Unfortunately, however, I missed the "meat of the dip," so am hesitant to pull the trigger here against a backdrop of Fed tightening and therefore Greenback strength going forward.
I'll post the $NFLX, $P, and $GDXJ plays if I decide to play ... .
VIX/VIX Derivatives
I continue to keep an eye on VIX "front month" futures. The Feb expiry is currently trading at 14.20-ish; the March, at 15.70. The Feb is a bit low for my tastes on which to base a VIX term structure trade; I already have a March setup on; and VIX is too low for a "Contango Drift" trade in one of the derivatives.
My original intention with UVXY was just to slap on an ATM short call vert post split, but the options chains have been somewhat slow to populate for the standard contracts. You will see the chain with both 20's (the nonstandard contract for options that were on when the split occurred) and 100s (the standard contract). Some care needs to be taken not to accidentally enter a trade in a non-standard or a combo of a standard and a non-standard ... .
SPY et al (Broad Market)
The first expiry with greater than 15% implied volatility for SPY is in the June expiry. The most I like to go out with these is around 90 DTE, so no play there unless you like to watch paint dry. (The theta decay of a June setup would be painful to watch).
Earnings
The only earnings play next week with >70 implied vol rank/>50 implied vol is $NFLX, which announces on 1/18 after market close. I'll probably play that with my standard volatility contraction setup, which will either be an iron condor or short strangle, although I could also see just playing it with a 20-delta short put (bullish assumption).
Non-Earnings
The only playable individual underlying without earnings on the horizon appears to be P, but the only worthwhile setup due to the price of the underlying would be an ATM short straddle, 45 DTE. It looks like that would pay 2.00 or so at the door; shooting for 25% max profit would yield about $50 per contract.
Exchange Traded Funds
There are literally no sector exchange traded funds out there that meet my criteria for a premium selling play (>70% implied vol rank; >35% implied volatility), unless you count $GDXJ (junior gold miners) and $UNG (the natty gas proxy).
With $GDXJ, I'm contemplating the simplest play out there -- a naked short put (bullish assumption). Unfortunately, however, I missed the "meat of the dip," so am hesitant to pull the trigger here against a backdrop of Fed tightening and therefore Greenback strength going forward.
I'll post the $NFLX, $P, and $GDXJ plays if I decide to play ... .
VIX/VIX Derivatives
I continue to keep an eye on VIX "front month" futures. The Feb expiry is currently trading at 14.20-ish; the March, at 15.70. The Feb is a bit low for my tastes on which to base a VIX term structure trade; I already have a March setup on; and VIX is too low for a "Contango Drift" trade in one of the derivatives.
My original intention with UVXY was just to slap on an ATM short call vert post split, but the options chains have been somewhat slow to populate for the standard contracts. You will see the chain with both 20's (the nonstandard contract for options that were on when the split occurred) and 100s (the standard contract). Some care needs to be taken not to accidentally enter a trade in a non-standard or a combo of a standard and a non-standard ... .