THE WEEK AHEAD: TWTR, TEVA, UA, UBER, ZNGA EARNINGS; MJ, SLV
A little late to the game this week, but don't think I missed much.
EARNINGS ANNOUNCEMENTS IN UNDERLYINGS WITH HIGHLY LIQUID OPTIONS:
TWTR (53/84),* announcing Tuesday after market close.
TEVA (16/63), announcing Wednesday before market open.
UA (42/68), announcing Wednesday before market open.
UBER (11/59), announcing Wednesday after market close.
ZNGA (11/63), announcing Wednesday after market close.
Pictured here is a plain Jane 16-delta short put in TWTR in the March monthly, paying 1.48 at the mid price as of today's close with a 46.52 break even/cost basis if assigned, 3.18% ROC at max as a function of notional risk. If you're of a nondirectional bent, consider the March 19th 49/70 short strangle paying 3.00 or the 44/49/70/75 iron condor, paying 1.30.
Due to the obvious skew here, I'd also consider a double double, but it would require going ten wide on the call side due to only 5 wides being available on the call side in March at the deltas I'd want to camp out, so it's less than ideal: 2 x 42/2 x 47/70/80, paying 2.42, delta/theta 1.41/4.55.
EXCHANGE-TRADED FUNDS RANKED BY 30-DAY IMPLIED VOLATILITY:
MJ (74/89)
SLV (34/50)
ICLN (7/45)
JETS (7/43)
XRT (21/41)
EWZ (14/40)
XLE (18/38)
GDX (12/38)
BROAD MARKET RANKED BY 30-DAY IMPLIED VOLATILITY:
IWM (24/31)
QQQ (14/26)
SPY (10/21)
DIA (7/19)
EFA (13/18)
* -- The first metric is where 30-day lies relative to where it's been over the past 52 weeks; the second, 30-day implied.
EARNINGS ANNOUNCEMENTS IN UNDERLYINGS WITH HIGHLY LIQUID OPTIONS:
TWTR (53/84),* announcing Tuesday after market close.
TEVA (16/63), announcing Wednesday before market open.
UA (42/68), announcing Wednesday before market open.
UBER (11/59), announcing Wednesday after market close.
ZNGA (11/63), announcing Wednesday after market close.
Pictured here is a plain Jane 16-delta short put in TWTR in the March monthly, paying 1.48 at the mid price as of today's close with a 46.52 break even/cost basis if assigned, 3.18% ROC at max as a function of notional risk. If you're of a nondirectional bent, consider the March 19th 49/70 short strangle paying 3.00 or the 44/49/70/75 iron condor, paying 1.30.
Due to the obvious skew here, I'd also consider a double double, but it would require going ten wide on the call side due to only 5 wides being available on the call side in March at the deltas I'd want to camp out, so it's less than ideal: 2 x 42/2 x 47/70/80, paying 2.42, delta/theta 1.41/4.55.
EXCHANGE-TRADED FUNDS RANKED BY 30-DAY IMPLIED VOLATILITY:
MJ (74/89)
SLV (34/50)
ICLN (7/45)
JETS (7/43)
XRT (21/41)
EWZ (14/40)
XLE (18/38)
GDX (12/38)
BROAD MARKET RANKED BY 30-DAY IMPLIED VOLATILITY:
IWM (24/31)
QQQ (14/26)
SPY (10/21)
DIA (7/19)
EFA (13/18)
* -- The first metric is where 30-day lies relative to where it's been over the past 52 weeks; the second, 30-day implied.
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