SQ (77/59) announces Wednesday after market close and has the volatility metrics I'm looking for out an earnings-related volatility contraction play -- implied in the 70th percentile or greater over the past 52-weeks and 30-day at or greater than 50%.
Pictured here is an SQ April 17th 72.5/100 short strangle camped out around the 20 delta paying 3.55...
... for a .48 credit and selling the June 19th 23 call against for .32. Scratch at 9.20; delta/theta 146.51/.93.
Notes: Was hoping to get a bounce such that the 21P was out of the money, but am going to roll out here and then continue to reduce net delta/cost basis over time ... .
... for a 2.27 credit.
Notes: Earnings announcement today after market close with rank/implied at 64/58. Had to do something a little funky here to accommodate call side skew and call side strike availability in both February and March. Delta/theta .21/6.33 with greater than 1 standard deviation break evens to both sides.
The earnings that are best metrically for earnings-related volatility contraction plays are DISH (87/59), TECK (87/52), and DBX (82/57). Unfortunately, strike availability in DISH is limited to two-and-a-half wides, making it an unattractive play given its stock price (39.97 as of Friday close).
Pictured here is a DBX (82/57) skinny short strangle in...
... for a 6.21 credit.
Max Profit: $621
Max Loss/Buying Power Effect: Undefined/14.17
Credit Received/Buying Power Effect: 43.8%
Notes: Earnings in 2 with high implied volatility rank/implied volatility at 76/88. There is call side skew here, which you may want to accommodate via ratio'd strangle or double double if you go...
... for a 3.66 credit.
Max Profit: $366
Max Loss: Undefined
Buying Power Effect: 14.95
Credit Received/BPE: 24.5%
Notes: Going out to the first expiry in which the at-the-money short straddle is paying greater than 10% of the stock price. Doing the basic delta under hedge drill on this one: delta under hedging at intervals to...
... for a 1.19/contract credit.
Notes: Adding a little to my existing position (same strikes) on this pop. Although it now looks unlikely that we will clear the short call strike at 12 by March expiry given current price and average decay rates, we'll see how it goes. 1.09/contract collected on the first tranche; 1.19 collected on this one. In this particular...
... for a 1.26 credit.
Max Profit: $126
Max Loss/Buying Power Effect: Undefined/$440
Credit Received/Buying Power Effect Ratio: 28.6%
Notes: Selling a directionally neutral short strangle in the first expiry in which the at-the-money short straddle pays greater than 10% of the stock price with the intention to delta under hedge...
ROKU (64/83) announces earnings on the 13th (Thursday) after market close and looks to be the best play out of earnings announcements occurring next week from a volatility contraction standpoint.
Pictured here is a fairly straightforward short strangle camped out around the 17 delta in the March cycle, paying 5.62 on buying power effect of around 12.50...
... for an 8.02 credit.
Notes: Re-upping my SPY core position in the first expiry in which the at-the-money short straddle pays at least 10% of where the stock is trading and selling the 16 delta puts and twice the number of 8 delta calls to accommodate skew. This is actually in November, but December offers some greater strike granularity where I want to set up...
... for 100.68 versus 102.50 scratch, a 1.82/$182 winner.
Notes: A lot of shenanigans and buying power to get out for 1.82. However, this started out as a troubled short straddle that was more than 5.00 underwater and that I fiddled with way too long, so I'll take it and redeploy anew with the same basic strategy: start out delta neutral, delta under hedge to...
... for a total .08 debit and opening the April 18th 11 short call for a .30 credit.
Notes: Now that earnings are in the rear view, continuing to chip away at cost basis. Scratch at 7.65. Unfortunately, the short call is currently below my cost basis if assigned on the 22 shortie (22 -7.65 = 14.35/share) ... .
... for a .20 debit; 1.40 ($140) profit.
Notes: Pulling off approaching worthless call side in the March cycle. Scratch at 15.80. Hoping for a bounce running into expiry so that I don't have to extend duration on the put side ... .