THE COMING WEEK (10/31): VIX>15; GILD, WFM, BABA EARNINGS
With VIX popping to >15 on Friday, my usual pattern is to rotate out of individual underlyings and into broad market instruments like SPY/SPX, IWM/RUT, etc. VIX ended the day at 16.2, and it could naturally settle back below 15, so I need to be prepp'd for either selling premium in broad index instruments if VIX sticks in there above 15 or playing a few higher volatility individuals around earnings if VIX friskiness fades.
I did hastily slap on an IWM, 3-wide iron condor in a December expiry on Friday, but wouldn't mind slapping on some more if this isn't the end of it for pre-election jitter volatility since I have virtually nothing on in broad-index plays.
For earnings alternatives, I'm looking for volatility contraction plays where the implied volatility is high in the range and high "in the background". Unfortunately, >70% 52-week high implied volatility rank and >50% implied volatility plays have been few and far between, so I've tweaked my screener to look for rank >70% over the preceding 6 months, as opposed to 52-weeks. Even then, only GILD, WFM, and BABA pop up as having a rank >60 (I'm being a little picky here, confining myself to the most liquid option plays), and those don't have a background implied volatility of >50%, so I'm unlikely to play any of those in the absence of a last minute pop in volatility.
Nevertheless, I will keep an eye on them "just in case" ... .
I did hastily slap on an IWM, 3-wide iron condor in a December expiry on Friday, but wouldn't mind slapping on some more if this isn't the end of it for pre-election jitter volatility since I have virtually nothing on in broad-index plays.
For earnings alternatives, I'm looking for volatility contraction plays where the implied volatility is high in the range and high "in the background". Unfortunately, >70% 52-week high implied volatility rank and >50% implied volatility plays have been few and far between, so I've tweaked my screener to look for rank >70% over the preceding 6 months, as opposed to 52-weeks. Even then, only GILD, WFM, and BABA pop up as having a rank >60 (I'm being a little picky here, confining myself to the most liquid option plays), and those don't have a background implied volatility of >50%, so I'm unlikely to play any of those in the absence of a last minute pop in volatility.
Nevertheless, I will keep an eye on them "just in case" ... .