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...
... for a 2.90/contract credit. Notes: Expiry specific implied is 23.2%, which isn't fantastic, but still above where I will continue to sell (>20%). In the vast majority of cases, I'll run these until expiry or until they approach worthless and, if assigned shares, sell call against at the strike nearest break even (which here is 305.10) and go from there.
... for an 11.65 credit. Notes: Post-split and expiry-specific implied at 101.4%, so back to my "doesn't lose" 50% of its value over the next 90 days (or so) play. Potential 5.01% ROC at max as a function of notional risk, 2.51% at 50% max. Unfortunately, liquidity hasn't improved a great deal after the split, so you may have to do some price discovery to get...
... 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...
Last update/refresh of existing positions before I move on to new trades ... . Here, an "about as simple as it gets" covered call setup in my IRA in 20 year maturity + treasuries with a current yield of 1.64% and paid .19014/share in June (around $19 per one lot) versus a 30-days 'til expiry, one standard deviation short call premium of .78 (currently 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.
... for a 2.15/contract credit. Notes: High 30-day implied with expiry specific implied at 61.3%. Will look to take profit at 50% max/adjust sides on approaching worthless or side test.
A late "Week Ahead" post after a short road trip ... . EARNINGS: 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...
... for a 2.34/contract credit. Notes: A bet that this doesn't move a ton in the next 45 days. Break evens at 153.66/171.34; delta/theta .31/5.80.
... ladder for a total of a 2.34 credit. Notes: The highest 30-day on the exchange-traded fund board. Will run to approaching worthless/if assigned -- cover. Current yield of 3.38%.
... for a .43/contract credit. Notes: The highest background implied on the board in my options liquid exchange-traded funds at the moment, with 30-day at 51.93%. I'm viewing this as a starter position to replace my GLD for exposure to precious metals, since the implied is generally higher, so you get more bang for your buck. There is no December currently, so...
... for a 3.00 credit. Notes: My weekly 16 delta short put in SPY. Expiry-specific implied at 23% ... .
EARNINGS ANNOUNCEMENT VOLATILITY CONTRACTION PLAYS: Currently, no options highly liquid underlyings announcing earnings next week with high rank/implied. EXCHANGE-TRADED FUNDS SCREENED FOR 30-DAY IMPLIED > 35%: GDXJ (16/54/12.0%)* XOP (16/51/12.1%) SLV (34/47/10.7%) EWZ (17/45/10.7%) GDX (18/43/10.2%) BROAD MARKET: QQQ (32/35/8.2%) IWM (27/32/7.3%) SPY...
EARNINGS: Some decent earnings on tap in terms of options liquidity and implied volatility metrics this coming week. Here they are, ranked by how much the at-the-money short straddle is paying as a function of stock price: PLAY (33/136/35.5%):* Thursday after market close. ACB (30/205/32.5%): Wednesday (time not specified). PTON (66/125/32.4%): Thursday after...
... for a 4.02 credit. Notes: As with the WORK play, selling the 16's. High 30-day at 118.7%. Will look to take profit at 50% max/adjust sides on approaching worthless or side test.
... for a 1.59 credit. Notes: Earnings announcement volatility contraction play with high 30-day implied at 111.5%. Selling the 16 delta's here. Will take profit at 50% max and/or adjust sides on approaching worthless or side test.
Metrics: Max Loss: $250 Max Profit: $250 Break Even: 3555 Notes: In a fit of boredom, putting on a small risk one to make one long put vertical here with max profit realized on a finish below 3550. This seems counterintuitive, since the short put is monied, and you generally don't get a risk one/make one spread without straddling the strikes across the money. ...
... for a 3.05/contract credit. Notes: Mechanical selling of SPY short puts in the expiry nearest 45 days until expiry ... at least while expiry-specific implied is above 20; here, it's 26.5%. Will run until expiry where it will expire worthless and/or I'll be assigned shares, at which point I'll sell calls against at the break even strike, which here is 293.95.