THE WEEK AHEAD: X, FB, AMD, AAPL EARNINGS; CL1!, QQQ, VIX
Posting a day late here due to a weekend road trip that went a day longer than anticipated ... .
EARNINGS:
X (67/65) (Thursday, After Market)
FB (43/36) (Wednesday, After Market)
AMD (34/56) (Tuesday, After Market)
AAPL (31/28) (Wednesday, After Market)
Although X has the best metrics for a volatility contraction play, the only viable setup for such a small underlying is a short straddle, with the December 20th 12 short straddle paying 2.20/.55 at 25% max. The shorter duration November 15th 12 short straddle is only paying 1.48/.37 at 25% max, making it a less than compelling play unless you're willing to go multiples.
A FB November 15th 17 delta 175/207.5 short strangle is paying 3.11/1.56 at 50% max; the AMD November 15th 30/39 short strangle erected at the 18's just under a buck at .99/.49 at 50% max; and the AAPL November 15th 232.5/265 18 delta short strangle, 3.11/1.56 at 50% max.
EXCHANGE-TRADED FUNDS:
SLV (60/25)
GLD (49/13)
GDXJ (44/32)
GDX (42/28)
TLT (42/13)
USO (31/35)
XOP (27/35)
Precious metals have dropped out of warp and no longer have ideal premium selling metrics in durations under 45 days, which could militate in favor of going a smidge farther out in time to get paid. For example, the GDX January 17th (81 days)) 27 short straddle is paying 2.88 versus 27.06 spot (10.6%).
The XOP December 20th (53 days) 22 short straddle pays 2.41 versus 21.69 spot (11.1%).
BROAD MARKET:
Without boring you with the details, <45 days' duration setups aren't paying here, and the shortest duration major in which the at-the-money short straddle is paying >10% is in the QQQ's and out in (ugh) June with my traditional skew-accommodating 1 x 2 short strangle -- the QQQ June 19th 166/2 x 232 short strangle paying 4.99 (2.50 at 50% max; 1.25 at 25% max).
FUTURES:
As with the exchange-traded funds, premium lies in /GC1! and /CL1!, and where I favor oil over gold due to the shiny stuff's low background implied of 13% versus /CL's 35%. The at-the-money /CL short straddle in the December cycle is paying <10% of where the front month is currently trading, so this may be another case where going out another cycle to January and collecting some additional premium may be to one's advantage. The December 55.5 short straddle is paying 5.38 versus 55.59 (9.7%), while the January 55.5 is paying 6.60 (11.9%).
VIX/VIX DERIVATIVES:
Pictured here is a VIX "Term Structure" trade in the December monthly paying 1.20 with a break even at 17.20 versus where the corresponding /VX contract is trading at 17.00 even as of the writing of this post. Look to take profit at 50% max (.60/$60).
EARNINGS:
X (67/65) (Thursday, After Market)
FB (43/36) (Wednesday, After Market)
AMD (34/56) (Tuesday, After Market)
AAPL (31/28) (Wednesday, After Market)
Although X has the best metrics for a volatility contraction play, the only viable setup for such a small underlying is a short straddle, with the December 20th 12 short straddle paying 2.20/.55 at 25% max. The shorter duration November 15th 12 short straddle is only paying 1.48/.37 at 25% max, making it a less than compelling play unless you're willing to go multiples.
A FB November 15th 17 delta 175/207.5 short strangle is paying 3.11/1.56 at 50% max; the AMD November 15th 30/39 short strangle erected at the 18's just under a buck at .99/.49 at 50% max; and the AAPL November 15th 232.5/265 18 delta short strangle, 3.11/1.56 at 50% max.
EXCHANGE-TRADED FUNDS:
SLV (60/25)
GLD (49/13)
GDXJ (44/32)
GDX (42/28)
TLT (42/13)
USO (31/35)
XOP (27/35)
Precious metals have dropped out of warp and no longer have ideal premium selling metrics in durations under 45 days, which could militate in favor of going a smidge farther out in time to get paid. For example, the GDX January 17th (81 days)) 27 short straddle is paying 2.88 versus 27.06 spot (10.6%).
The XOP December 20th (53 days) 22 short straddle pays 2.41 versus 21.69 spot (11.1%).
BROAD MARKET:
Without boring you with the details, <45 days' duration setups aren't paying here, and the shortest duration major in which the at-the-money short straddle is paying >10% is in the QQQ's and out in (ugh) June with my traditional skew-accommodating 1 x 2 short strangle -- the QQQ June 19th 166/2 x 232 short strangle paying 4.99 (2.50 at 50% max; 1.25 at 25% max).
FUTURES:
As with the exchange-traded funds, premium lies in /GC1! and /CL1!, and where I favor oil over gold due to the shiny stuff's low background implied of 13% versus /CL's 35%. The at-the-money /CL short straddle in the December cycle is paying <10% of where the front month is currently trading, so this may be another case where going out another cycle to January and collecting some additional premium may be to one's advantage. The December 55.5 short straddle is paying 5.38 versus 55.59 (9.7%), while the January 55.5 is paying 6.60 (11.9%).
VIX/VIX DERIVATIVES:
Pictured here is a VIX "Term Structure" trade in the December monthly paying 1.20 with a break even at 17.20 versus where the corresponding /VX contract is trading at 17.00 even as of the writing of this post. Look to take profit at 50% max (.60/$60).