THE WEEK AHEAD: GDXJ, /ZC, /ZS
EARNINGS:
No earnings announcements this coming week in underlyings with highly liquid options with ideal rank/implied metrics (>70% rank/>50% 30-day implied).
EXCHANGE-TRADED FUNDS:
SLV (82/29)
GDX (74/33)
TLT (71/15)
GDXJ (60/37)
GLD (59/15)
XOP (35/37)
Precious metals ... again, with GDXJ offering the best volatility metrics (>50% rank/>35% 30-day implied)
BROAD MARKET:
IWM (23/19)
SPY (13/13)
QQQ (11/18)
EEM (7/16)
EFA (15/11)
FUTURES:
/SI (82/28)
/UB (71/5)
/ZB (71/12)
/ZN (61/6)
/ZS (63/28)
/GC (59/15)
/ZC (52/28)
Pictured here is a corn short strangle in the October/40 days 'til expiry cycle with strikes camped out around the 1 standard deviation on the put side at 14 delta and the call side at the 13 delta strike, resulting in a delta neutral setup supposedly paying 4.00 at the mid price with break evens at 336 and 409. Naturally, that'll have to be priced out during regular market hours. There also may be some benefit in going out to November, where the implied volatility is at 25.3% versus October's 24.1% and where implied volatility contracts from there into winter and spring with February at 20.5% and April at 17.5%.
An alternative trade would be in October beans; the 830/990 short strangle paying 4.75 with the short put erected at the one standard deviation strike on the put side, the call at the equally delta'd strike on the call. For contrast: corn's implied volatility term structure: October -- 23.3%, November 17.8%, December 19.2%, February 16.6%, April 15.8%.
Naturally, either of these setups can be transformed into defined risk, iron condor trades by buying wings.
VIX/VIX DERIVATIVES:
Yowsa! VIX finished the week at sub-14 (13.74), so it's basically time to hand sit on what you put on in August volatility and wait for the next >20 pop to short.
No earnings announcements this coming week in underlyings with highly liquid options with ideal rank/implied metrics (>70% rank/>50% 30-day implied).
EXCHANGE-TRADED FUNDS:
SLV (82/29)
GDX (74/33)
TLT (71/15)
GDXJ (60/37)
GLD (59/15)
XOP (35/37)
Precious metals ... again, with GDXJ offering the best volatility metrics (>50% rank/>35% 30-day implied)
BROAD MARKET:
IWM (23/19)
SPY (13/13)
QQQ (11/18)
EEM (7/16)
EFA (15/11)
FUTURES:
/SI (82/28)
/UB (71/5)
/ZB (71/12)
/ZN (61/6)
/ZS (63/28)
/GC (59/15)
/ZC (52/28)
Pictured here is a corn short strangle in the October/40 days 'til expiry cycle with strikes camped out around the 1 standard deviation on the put side at 14 delta and the call side at the 13 delta strike, resulting in a delta neutral setup supposedly paying 4.00 at the mid price with break evens at 336 and 409. Naturally, that'll have to be priced out during regular market hours. There also may be some benefit in going out to November, where the implied volatility is at 25.3% versus October's 24.1% and where implied volatility contracts from there into winter and spring with February at 20.5% and April at 17.5%.
An alternative trade would be in October beans; the 830/990 short strangle paying 4.75 with the short put erected at the one standard deviation strike on the put side, the call at the equally delta'd strike on the call. For contrast: corn's implied volatility term structure: October -- 23.3%, November 17.8%, December 19.2%, February 16.6%, April 15.8%.
Naturally, either of these setups can be transformed into defined risk, iron condor trades by buying wings.
VIX/VIX DERIVATIVES:
Yowsa! VIX finished the week at sub-14 (13.74), so it's basically time to hand sit on what you put on in August volatility and wait for the next >20 pop to short.
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