With this quarter's earnings pretty much in the rear view mirror, there isn't much single name to play here, particularly since we start right back up again with earnings around the July monthly. Consequently, if you're going to play single name, you may get caught in a volatility expansion running into earnings, so if you absolutely can't resist the urge to pay single name, pay attention to when the next earnings announcements are for the underlying you're playing and take profit aggressively to avoid being "expanded" running into the announcement.
All that being said, there isn't much volatility in single name underlyings at the moment anyway: ORCL (earnings in 17 days), XOM, DIS, CAT, and MSFT round out the top five, but all have background implied volatility at or below 25% and lie in the lower half of their respective 52-week ranges.
As far as exchange-traded funds are concerned, there's no surprise there: energy and/or petro is where the volatility lies at the moment, with USO, XLE, and XOP in the top 5 (the others are FXE and XLU), with their ranks/background coming in at 63/30, 39/21, and 36/34, respectively.
Pictured here is an XLE July 20th 70/80 short strangle that is slightly skewed to the downside, since I think that is where the risk lies. Here are the metrics:
Probability of Profit: 70%
Max Profit: $113/contract
Max Loss/Buying Power Effect: Undefined/$1175/contract
Break Evens: 68.87/81.13
Delta: -9.81
Theta: 3.00
As a potential defined risk alternative, consider an iron fly in the smaller XOP: the July 20th 34/41/41/48 has risk one to make one metrics, is worth a 3.51 credit, and will pay better than the XLE short strangle at 50% max, assuming that price stays within your break evens of 37.49 and 44.51 long enough for you to extract 25% max (.88 profit) out of the trade.
All that being said, there isn't much volatility in single name underlyings at the moment anyway: ORCL (earnings in 17 days), XOM, DIS, CAT, and MSFT round out the top five, but all have background implied volatility at or below 25% and lie in the lower half of their respective 52-week ranges.
As far as exchange-traded funds are concerned, there's no surprise there: energy and/or petro is where the volatility lies at the moment, with USO, XLE, and XOP in the top 5 (the others are FXE and XLU), with their ranks/background coming in at 63/30, 39/21, and 36/34, respectively.
Pictured here is an XLE July 20th 70/80 short strangle that is slightly skewed to the downside, since I think that is where the risk lies. Here are the metrics:
Probability of Profit: 70%
Max Profit: $113/contract
Max Loss/Buying Power Effect: Undefined/$1175/contract
Break Evens: 68.87/81.13
Delta: -9.81
Theta: 3.00
As a potential defined risk alternative, consider an iron fly in the smaller XOP: the July 20th 34/41/41/48 has risk one to make one metrics, is worth a 3.51 credit, and will pay better than the XLE short strangle at 50% max, assuming that price stays within your break evens of 37.49 and 44.51 long enough for you to extract 25% max (.88 profit) out of the trade.