EARNINGS ANNOUNCEMENT VOLATILITY CONTRACTION PLAYS:
MU (27/57/10.8%)*, announces Tuesday after market close.
BBBY (32/105/20.2%), announcement Thursday before market open.
Pictured here is an MU October 16th 44/55 short strangle, paying 1.52 as of Friday's close (.76 at 50% max).
For those of a defined risk bent: the MU October 16th 40/45/52.5/57.5 iron condor...
A late "Week Ahead" post after a short road trip ... .
There aren't many options liquid underlying volatility contraction plays on tap this week. COST (35/38/6.8% (October)-10.1% (November) announces on Thursday after market close, but the volatility metrics aren't the greatest for a contraction play with 30-day at 38, the October monthly at...
EWZ just broke out of a downward channel at ~$30 on Friday. $EWZ is an ETF of the Brazilian market with stocks like VALE SID NTCO GOL AZUL ITUB BBD in the index. EWZ has previously moved with the domestic "value" trade.
EWZ broke out of a downward channel after forming a double bottom.
First Target $32, Second Target $33, then looking for relative highs above...
Para los amantes de los patrones gráficos, acá hay un caso muy concreto de una figura cuya resolución no fue la esperada.
Recodar que los componentes de $EWZ son casi todas empresas de la "vieja economía" y super cíclicas (PBR, VALE, ITUB, BBD, etc)
A bunch of earnings next week, particularly in the financials sector:
C (40/58/14.1%): Tuesday before market open.
DAL (50/95/23.0%): Tuesday before market open.
JPM (38/49/12.1%): Tuesday before market open.
WFC (58/63/15.4%): Tuesday before market open.
GS (31/48/11.7%): Wednesday before market open.
EBAY (71/56/13.4%): Wednesday before market...
... for a total of 1.73 credit, with the 24 paying .80 and the 23, .93.
Notes: One of the dividend yielders on my shopping list (yield currently at 3.58%). I've been going three rung with these, but there is currently no October to take advantage of.
MU (36/64/11.7%) announces earnings on Monday after the close. Pictured here is a 19 delta short strangle in the July expiry, paying 1.55.
FDX (46/59/11.4%) announces Tuesday after the close, with the 20 delta July 17th 115/147 paying 4.56.
EXCHANGE-TRADED FUNDS ORDERED BY RANK AND SCREENED FOR 30-DAY >35%:
$EWZ $EWZS $BRZU $BZQ I'm expecting more pain ahead for EWZ, Brazil market etf. No rule that says it's going to drop from here but I will be much more interested in going long if it drops to that lower trend. I'll be patient on this. Blue line is USOIL.
... with June monthly at-the-money short straddle price as a function of stock price shown:
HPQ (38/62), 14.3%: Announces Wednesday before market open.
CRM (54/46), 8.7%: Announces Thursday before market open.
COST (35/32), 6.5%: Announces Thursday before market open.
Notes: Ordinarily, I screen potential earnings announcement volatility contraction...
Ever seen a "Brazilian Zebra"?
Pictured here is an ITUB (35/76) Zero Extrinsic Back Ratio Spread (hence the colorful acronym, "ZEBRA") in the Brazilian financial, ITUB. Since Zebras are high delta directional plays, they're seen as synthetic stock substitutes and can be deployed both on the call side (long), as well as on the put side (short), with the general...
... for a 1.44 credit.
It's not much of a ladder with only two rungs, but there's no July currently (there will be one after May opex, after which I'll consider adding a third rung).
An acquisitional play in high rank/implied (53/66) to potentially grab this divvy yielder (5.15%) at a discount.
... for an 8.40/contract debit.
Max Loss: $840/contract
Max Profit: $260/contract
Debit Paid/Spread Width Ratio: 76.4%
Break Even: 23.40 vs. 23.30 spot
Notes: A neutral to bullish assumption, IRA-friendly play in the weakened EWZ. I naturally could have gone short put (the June 19th 19 shortie is paying .63), but wanted the opportunity to make...
There are a ton of earnings coming out next week, with the most options liquid plays to be had in AMD (44/71), TWTR (77/80), and FB (59/50).
Pictured here is a delta neutral short strangle in AMD in the June cycle (54 days). Camped out around the 20 delta strikes, it paid 3.12 as of Friday close (5.6% as a function of share price) with break evens at...