Got a bunch of potentially worthwhile, earnings announcement volatility contraction plays on tap this coming week. Here there are, ordered by "bang for your buck":
AAL (29/99/19.7%), announcing Thursday before market open: Due to its size, I would probably go short straddle or iron fly, with the November 20th 12 short straddle paying 2.46 (19.7% as a...
Pictured here is a QQQ November 239 short put I filled for a 3.90 credit. (See Post Below). It's got 33 days to go, and was valued at 1.32 as of Friday close (i.e., it's in profit by 2.58 ($258)).
I would like to lock in that profit here, but stay in the play a little longer to bleed the last bit of extrinsic (1.32) out of it. Rolling out in time is one way to...
... for a 2.13/contract credit.
Notes: My weekly 16 delta, expiry nearest 45 days until expiry short put in the broad market exchange-traded fund having the highest background implied. Here, it's IWM, with a 35.8% 30-day and an expiry-specific 37.7%.
Break even: 119.87.
... ladder for a total of 2.17 in credit.
Notes: 30-day implied at 39.47% with expiry-specific implied at 43.4%, 42.9%, and 43.4% for November, December, and January, respectively. Current yield of 6.71%, so am fine with taking on shares and covering or just keeping the premium.
There are four options highly liquid underlyings that pop up on my screener for next week with 30-day implied of >50%: UAL (23/88/22.6%)* (on Wednesday after market close); DAL (13/74/19.1%) (Tuesday before market open); SLV (18/59/16.4%) (Friday, before market open), and WBA (43/54/12.2%) (Thursday, before market open).
Pictured here is a...
... for a 5.91 credit in total.
Notes: Going where the volatility is ... . 30-day greater than 35% (39.8%) with the November at-the-money short straddle paying 13.1% of where the stock is currently trading.
This isn't usually an IRA play I go for, since you won't get paid to wait if you get assigned shares (the yield is absolutely paltry at .10%). However,...
... for a 3.90/contract credit.
Notes: My weekly 2 x expected move/16 delta short put in the broad market exchange-traded fund with the highest 30-day, which is QQQ here at 33.6%. There isn't a weekly expiry available right around 45 days, so going with the monthly.
235.10 break even with a 1.66% ROC at max. Will run to approaching worthless and/or roll out...
... for a 1.49 credit.
Notes: With its current yield of 3.66%, looking to pick up some shares lower or just keep the premium. Background implied at 44.9% with an ROC of 2.50% at max as a function of notional risk, 9.71% annualized.
... for a 2.30 credit.
Notes: My 45 days 'til expiry weekly 16 delta short put in the broad market exchange-traded fund with the highest 30-day implied. Here, it's QQQ, with 30-day at 34.70% and expiry-specific implied at 35.0%. Break even at 241.70 with return on capital of .952% at max, 7.72% annualized at max.
... for a 5.10 credit.
Notes: Putzing with a "10%-er." It's a 10%-er due to the fact that the credit received is 10% of the width of the spread. Here, I'm receiving 5.10 on a buying power effect of 44.90, which would be 11.36% ROC at max as a function of buying power effect (5.68% at 50% max) or 92.14% annualized at max, 46.07% at 50% max.
A comparable SPY...
... for a 3.70 credit.
Notes: My weekly 16 delta, 2 x expected move short put in the broad market exchange-traded fund with the highest 30-day implied, which is QQQ at 35.5%. Take off at approaching worthless and, if assigned, sell call against. Break even at 240.30. 1.54% ROC at max; 12.51% annualized.
CCL (28/88/25.9%) and DAL (18/77/22.1%)* announce earnings on Thursday.
The DAL November 20th 21 delta, 2 x expected move 26/41 short strangle is paying 2.41 or 7.6% as a function of stock price (1.20 at 50% max; 3.8% as a function of stock price). I've pictured a short put here as the simplest play to get in on a sector that has been hammered by the...
... for a 2.64/contract credit.
Notes: A bet that TLT doesn't move much with no upside risk (the credit received exceeds the max risk of the two-wide short call vertical) and a downside break even of 157.36 (the short put strike minus the credit received). Additionally, even if it blows through the long call strike at 172, the credit received exceeds the max...
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...
I'm probably sticking this out there in too lengthy of a duration relative to the binary event I'm looking to play, but wanted to post it in the event I space the play out.
Pictured here is a double 4 x 2 broken wing butterfly. Due to its being an 8-leg position, I legged into the put side for a .35 credit and then into the call side for a .34 credit, for a...
... for a .37/contract credit.
Notes: Now that I look at it, the weeklies are super liquid. With 30-day at 47.8%, selling the strike nearest the 16 delta/45 days until expiry. That .37 ($37) doesn't seem like much, but as a function of notional risk, it's 1.99% ROC at max/17.3% annualized as a function of notional risk.
Full position is the November 6th...
... for a .66/contract credit.
Notes: A starter position in "junk" at the 17 delta in the November cycle. The implied volatility here is quite low -- 15.7% for the 30-day, but I'm looking to eventually swap out my TLT position for something that pays more on a percentage basis. HYG's yield is currently 5.02% with a monthly dividend payment of .341, with the...
... for a .46/contract credit.
Notes: 30-day at 52% with expiry-specific implied at 55.4%. Adding to my SLV (See Post Below) to establish a precious metals position in my IRA that is more scalable than GLD. I'd ordinarily ladder out here, but there's no December monthly.
Break even: 17.54.