THE WEEK AHEAD: ROKU, WYNN, SQ EARNINGS; XOP, USO, GDXJ, EWZ
EARNINGS ANNOUNCEMENT VOLATILITY CONTRACTION PLAYS:
... Screened for options liquidity and 30-day implied greater than 50% and ranked by "bang for your buck":
ROKU (38/31/16.4%),* announcing Thursday after market close.
WYNN (27/76/14.7%), announcing Wednesday (no time specified).
SQ (43/74/14.3%), announcing Thursday after market close.
PYPL (56/60/11.6%), announcing Monday after market close.
GM (20/59/11.4%), announcing Thursday after market close.
QCOM (45/54/10.9%), announcing Wednesday after market close.
BABA (65/55/10.5%), announcing Thursday after market close.
Pictured here are two 2 x expected move setups in ROKU, one in November (19 days 'til expiry), and one in December (47 days 'til expiry).
The November setup was paying 8.55 at the mid price as of Friday close, with delta/theta of -.89/51.22; the December: 10.13 at the mid price as of Friday close, with delta/theta of -.95/27.88. I could see doing either, with the primary benefit of the shorter duration being that the volatility contraction tends to be more rapid, and with the primary benefit of the longer duration one being that you've got a little bit more room to be wrong.
If you're of a more defined risk bent, look for an iron condor setup paying at least one-third the width of the wings in credit, such as the November 20th 160/165/265/270, paying 1.63.
Look to put this on in Thursday's session prior to market close, adjusting strikes as necessary to accommodate movement between now and then.
With the exception of GM, the remainder of the underlyings can be short strangled or iron condored, but would go short straddle or iron fly in GM due it's size (34.53 as of Friday close).
EXCHANGE-TRADED FUNDS RANKED BY PERCENTAGE OF STOCK PRICE THE DECEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%:
XOP (23/69/18.7%)
USO (14/71/17.5%)
GDXJ (22/56/15.7%)
EWZ (29/56/15.5%)
XLE (38/57/14.9%)
GDX (23/46/13.3%)
SLV (28/48/13.0%)
XBI (36/44/12.1%)
EWW (35/49/11.6%)
IWM (42/42/10.8%)
SMH (28/42/10.9%)
QQQ (43/40/10.8%)
BROAD MARKET:
IWM (42/42/10.8%)
QQQ (43/40/10.8%)
SPY (38/38/9.6%)
EFA (33/30/8.4%)
IRA DIVIDEND-EARNERS RANKED BY PERCENTAGE OF STOCK PRICE THE DECEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%:
EWZ (29/56/15.5%)
XLE (38/57/14.9%)
KRE (32/50/14.1%)
SLV (38/48/13.0%)**
XBI (37/44/12.1%)
* -- The first metric is the implied volatility rank or percentile (where 30-day implied is relative to where it's been over the past 52 weeks); the second, 30-day implied volatility; and the third, the percentage of stock price the November at-the-money short straddle is paying.
** -- SLV does not pay a dividend.
... Screened for options liquidity and 30-day implied greater than 50% and ranked by "bang for your buck":
ROKU (38/31/16.4%),* announcing Thursday after market close.
WYNN (27/76/14.7%), announcing Wednesday (no time specified).
SQ (43/74/14.3%), announcing Thursday after market close.
PYPL (56/60/11.6%), announcing Monday after market close.
GM (20/59/11.4%), announcing Thursday after market close.
QCOM (45/54/10.9%), announcing Wednesday after market close.
BABA (65/55/10.5%), announcing Thursday after market close.
Pictured here are two 2 x expected move setups in ROKU, one in November (19 days 'til expiry), and one in December (47 days 'til expiry).
The November setup was paying 8.55 at the mid price as of Friday close, with delta/theta of -.89/51.22; the December: 10.13 at the mid price as of Friday close, with delta/theta of -.95/27.88. I could see doing either, with the primary benefit of the shorter duration being that the volatility contraction tends to be more rapid, and with the primary benefit of the longer duration one being that you've got a little bit more room to be wrong.
If you're of a more defined risk bent, look for an iron condor setup paying at least one-third the width of the wings in credit, such as the November 20th 160/165/265/270, paying 1.63.
Look to put this on in Thursday's session prior to market close, adjusting strikes as necessary to accommodate movement between now and then.
With the exception of GM, the remainder of the underlyings can be short strangled or iron condored, but would go short straddle or iron fly in GM due it's size (34.53 as of Friday close).
EXCHANGE-TRADED FUNDS RANKED BY PERCENTAGE OF STOCK PRICE THE DECEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%:
XOP (23/69/18.7%)
USO (14/71/17.5%)
GDXJ (22/56/15.7%)
EWZ (29/56/15.5%)
XLE (38/57/14.9%)
GDX (23/46/13.3%)
SLV (28/48/13.0%)
XBI (36/44/12.1%)
EWW (35/49/11.6%)
IWM (42/42/10.8%)
SMH (28/42/10.9%)
QQQ (43/40/10.8%)
BROAD MARKET:
IWM (42/42/10.8%)
QQQ (43/40/10.8%)
SPY (38/38/9.6%)
EFA (33/30/8.4%)
IRA DIVIDEND-EARNERS RANKED BY PERCENTAGE OF STOCK PRICE THE DECEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%:
EWZ (29/56/15.5%)
XLE (38/57/14.9%)
KRE (32/50/14.1%)
SLV (38/48/13.0%)**
XBI (37/44/12.1%)
* -- The first metric is the implied volatility rank or percentile (where 30-day implied is relative to where it's been over the past 52 weeks); the second, 30-day implied volatility; and the third, the percentage of stock price the November at-the-money short straddle is paying.
** -- SLV does not pay a dividend.
Bình luận:
The setups posted aren't "live trades," by the way. I'm basically pricing out what potential setups are paying over the weekend, and then will look at putting them on shortly before the earnings announcement. Because prices are likely to move between now and, for example, Thursday's session (after which ROKU announces), the actual live trade setup is likely to be slightly different. Live trades I take are set out separately as standalone posts.