EARNINGS WITH FAVORABLE METRICS FOR A VOLATILITY CONTRACTION PLAY
BABA (86 rank/41% 30-day) announces on 8/23 (Thursday) before market open.
Sept 21st 155/195 short strangle (16 delta), 3.68 credit. Sept 21st 150/155/195/200 iron condor, 1.32 credit.
Notes: With the defined risk, you'll need to bring the wings in a touch more or use the same shorties to get the one-third the width of the wings in credit I ordinarily look for out of these.
GPS (58 rank/46% 30-day) announces on 8/23 (Thursday) after market close.
Sept 21st 31 short straddle, 3.26 credit. Sept 21st 28/35 short strangle, .91 credit. Sept 21st 26/31/31/36 iron fly: 2.78 credit.
Notes: The flies can be pesky to manage if they go awry, so I generally opt for the naked short straddle over that if it's an underlying under $50.
Notes: Very nearly one-third the width of the wings out of this 20 delta.
EXCHANGE TRADED FUNDS
GDX (76/31), GDXJ (56/33), USO (54/27), and EWZ (52/40) round out the top funds with ranks greater than 50.
Notes: GDX and GDXJ may be amenable to bullish assumption directionals (short puts, short put verticals, upward call diagonals) while EWZ continues to have just Plain Jane premium that can you can skew directionally if you're so inclined (since it pretty much remains on its butt). USO has never been my favorite /CL proxy with XOP (18/28) being my go-to.
MAJOR FOOD GROUPS
QQQ has the highest 30-day (17), followed by IWM (15), SPY (14),and EFA (13). /VX term structure remains in contango with VIX at 13.10 as of Friday close versus the August /VX contract at 13.15, September at 14.40.
The QQQ Oct 19th 168/172/2x188/2x190 "double double" (see Post Below) is paying 1.48 at the mid, although it's a little early for me to pull the trigger on an October setup (61 days 'til).
Where is your "rank" coming from? Are you sorting a list of underlying according to their 30 days volatility or something?
Thanks.
NaughtyPines
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@algoview, "Implied volatility rank" or "percentile" (it depends on your broker) is where the 30-day implied volatility is relative to where it's been over the past 52-weeks. So, if the rank is 70, the 30-day implied is in the 70th percentile of where it's been the past year. I generally sort by rank and then look at 30-day in that sort ... .
algoview
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Thanks @NaughtyPines It's not something available with IB, I suppose you can get this on TOS.
NaughtyPines
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@algoview, Right. ToS has it. There may be other, non-broker sites, too.
LDAMATO
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Hello good day.
About baba , you think now its good moment to do a short position ?
Thank you.
NaughtyPines
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@LDAMATO, I think the time to short was on strength (~$200). Here, it's near horizontal support, so would consider a long at $165 or less if I was playing the underlying that way.
LDAMATO
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@NaughtyPines, ok right now it’s better the long one , what target you think we can have for baba after earning report ?
NaughtyPines
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@LDAMATO, I would probably shoot for the top of the range -- 200-210 ... .
LDAMATO
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@NaughtyPines, perfect i have an average price of my stocks from baba at $181 right now I should wait for the earning call?
Thank you
NaughtyPines
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@LDAMATO, It kind of depends on what you're doing with the play. If it's a long-term play (e.g., a covered call), I'd probably just ride it through earnings. If it's just a trade where you want to take profit quickly, it may be to your advantage to set an after hours order to take it off in profit, since these things can swing widely during earnings, all of which occurs after hours ... .
Where is your "rank" coming from? Are you sorting a list of underlying according to their 30 days volatility or something?
Thanks.