With a six-month implied volatility percentile of 76 and a background implied volatility of 37, throwing a touch of "Brazilian" on here ... .
Metrics:
Max Profit: $247/contract
Max Loss: $253/contract
Break Evens: 34.53/39.47
Theta: 1.77
Delta: -.29
Notes: Will look to manage this at 25% max ... .
EWZ and the Emerging Markets ETF EEM have a strong correlation (Since EEM have 7.7% of brazil stocks). The correlation for the last year have been .92, and the last 30 days have drop to .40.
Today we got a strong move on EWZ of -3.18% at the time of the trade and -.64% on EEM. By trading one to the upside and the other to the downside I will look to reduce...
With the beginning of the next earnings season two weeks out (at least before we see something decent), I'm looking to put on some basic exchange-traded fund premium selling plays to bide my time until then. Even there, however, the premium selling opportunities aren't fantastic:
KRE (Regional Banks): I haven't played this one before, but its background implied...
Correlation Analysis showing Positive ( green boxes) negative (red Boxes) and Mixed ( yellow and orange Boxes) prediction for 2017. Expecting to See some sharp fall in prices in July, Based on Gann Cycles.
Go where the volatility takes you, I say. Layering on a bit more EWZ fly here, this time in the Jan 13th expiry.
Metrics:
Probability of Profit: 42%
Max Profit: $214/contract
Max Loss: $136/contract
Break Evens: 30.36/34.64
Notes: You know the drill ... . Will look to take this off at 25% max profit.
And right back into "the Brazilian," as there isn't much high implied volatility rank/high implied volatility stuff to play out there at the moment ... .
Metrics:
Probability of Profit: 45%
Max Profit: $223/contract
Max Loss: $177/contract
Break Evens: 29.77/34.23
Notes: Will look to manage at 25% max profit.
With the VIX still hovering in sub-15 territory and an examination of broad index exchange-traded funds therefore yielding less premium than I would like,* I'm turning my attention to sector exchange traded funds for possible premium selling plays.
Naturally, VIX levels could change in light of the outcome of the Italian referendum (as of the writing of this, Dec...
EWZ is still in a corrective structure - in its B-leg up. This can be rode down.
The C leg down have the potential of being brutal. Target 29 or upper 26-zone. I suspect we will have a quick trip to 26.7 zone but I suspect we won't reach that far.
Going short duration here because I can't find liquidity in the weeklies for the setup and don't really want to go out to Jan.
Metrics:
Probability of Profit: 45%
Max Profit: $187/contract
Max Loss: $163/contract
Break Evens: 31.63/35.37
Notes: As with a short straddle, I'll look to manage this at 25% of max profit.
Super China bear here looking at a lovely technical setup. The rally has gotten way too far ahead of itself. The 50month MA and a decade long trendline as well as the .50 fib level from the 2014-2016 move all acting as resistance.
