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THE WEEK AHEAD: HAL, NFLX, AA, UAL EARNINGS; EWZ, XLE, SLV, IWMHIGHLY LIQUID OPTIONS SINGLE NAME EARNINGS (LISTED CHRONOLOGICALLY IN ORDER OF ANNOUNCEMENT AND SCREENED FOR >50% 30-DAY IMPLIED): HAL (13/61/13.9%),* Tuesday, before market open NFLX (25/50/11.3%), Tuesday, after market close AA (18/69/15.9%), Wednesday, after market close UAL (13/64/14.8%), Wednesday, after market close From a bang for your buck perspective: AA ranks first, UAL, second, followed by NFLX, and HAL. I already have a covered strangle on in UAL and don't anticipate putting on more single name risk in the IRA (which is my primary focus running into retirement), but will naturally post a play should I get into one. EXCHANGE-TRADED FUNDS WITH >35% 30-DAY AND RANKED BY THE PERCENTAGE THE FEBRUARY AT-THE-MONEY SHORT STRADDLE IS PAYING AS A FUNCTION OF STOCK PRICE: EWZ (18/45/10.3%) XLE (23/42/9.7%) SLV (25/42/9.4%) GDX (12/38/9.2%) XBI (18/37/8.7%) KRE (16/36/8.7%) EWW (15/36/7.5%) I'm already in everything here but for KRE and EWW (the lowest bangs for your buck on the list) and the February monthly is a bit short in duration here for me (34 days) and March a tad long (62 days), so I may not do much this week in these, although going out to March with another rung in my GDX, SLV, and XBI positions isn't out of the question. BROAD MARKET RANKED BY 30-DAY IMPLIED: IWM (24/32/6.8%) QQQ (22/30/6.4%) SPY (16/24/4.8%) DIA (13/23/4.6%) EFA (14/20/3.8%) In spite of the fact that IWM and/or RUT have the higher 30-day, I may look at adding a July (181 days) rung to the SPY short put ladder I have on in the IRA, targeting the strike paying at least 1% of the strike price in credit (which would currently be something like the 240), and do the kind of "opportunistic rolling" I've been doing with shorter duration rungs. (See Post Below). Although most frown upon going out this far in time, it's a way to deploy otherwise underutilized buying power that will earn something >0% while I work shorter duration setups or wait for a higher implied volatility environment and/or greater weakness. Additionally, my goals for the IRA are somewhat modest from a return on capital standpoint: I'm not looking to hit homers or be an incredibly attentive investor, opting for a once a week or even a once a month schedule of looking at things, making adjustments as appropriate, and/or taking off stuff approaching worthless that doesn't merit hanging onto due to the amount of time left in the contract. * -- The first metric is the implied volatility rank or percentile (i.e., where the 30-day is relative to where it's been over the last 52 weeks); the second, thirty day implied; and the third, the percentage the at-the-money short straddle in the February monthly is paying as a function of stock price.
NYSE:HAL
by NaughtyPines
OPENING (IRA): INTC FEBRUARY 19TH 42.5 SHORT PUT... for a .70/contract credit. Notes: As with my BA trade (See Post Below), targeting some options highly liquid single name for premium selling. Here, it's the beaten-down Intel, with the short put lining up nicely below support. 30-day at 44.8%, expiry-specific at 41.6%. I generally like to sell premium in single name at >50% implied, but occasionally settle for less when there's nothing better "at the top of the board," so to speak. One of my New Year's resolutions is to not be so lazy with these plays, so compared monied covered call setups with delta metrics similar to those of going naked short put, the advantages and/or disadvantages of going with a particular expiry over just defaulting to the monthly, and whether something like a long call vertical or long call diagonal would make any sense here. I used to do these comparison and contrasts much more often, but it takes some additional time, but thought I'd set out the basic process of deciding what setup to go with here, even though I'm probably not going to do that with each and every trade I take. COVERED CALL VERSUS NAKED SHORT The February 19th 42.5 covered call would have a max profit of .60 currently with a break even of 41.90; the 45 monied, 1.14, with a break even of 43.84. For contrast, the 42.5 naked has a 41.80 break even, so you get a smidge (.10) more out of going naked versus going with the 42.5 monied. The 45 monied, with a 2.6% ROC at max, has a better return, but a break even that is nearly $2 higher than both the 42.5 monied and the 42.5 short put, so the trade-off there is less room to be wrong and therefore a higher return on capital. Both of these types of plays, however, have high buying power requirements, particularly in a cash secured environment, with the cash secured naked short put costing 41.80 to put on, with its primary advantage being ease of trade of management. CHOICE OF EXPIRY The other thing I've tended to be lazy with is choice of expiry. Here, there may be an advantage to "shopping" for the highest implied expiry, which -- in this case -- isn't the February 19th monthly; it's the expiry nearest Intel's earnings announcement, which is the January 22nd weekly with an expiry-specific implied of 47.1%. To get any short put to line up nicely with that support around 44, you're going to have to sell something like the 17 delta 44, which is paying around .52 right now for 23 days' of "work." On an annualized basis, you're probably going to get more bang for your buck out of going with the January 22nd versus going with the February monthly, which is more than twice as long in duration. The January 22nd 44's ROC%-age is 1.12% at max; 17.8% annualized while the February 19th 42.5 is 1.67% ROC at max, 12.0% annualized. Again, however, the trade-off is less room to be wrong versus getting in and out of these plays rather quickly to maximize annualized return on capital. LONG CALL VERTICAL/LONG CALL DIAGONAL When working with smaller accounts, long call diagonals have been one of my favorite plays to go with when I can't or don't want to afford a covered call or a naked short put, but want to do something synthetically that mimics a covered call. Given where Intel is at currently, I think it would set up nicely for either a one-off long call vertical or diagonal. Here's a couple plays with similar delta metrics to going with a naked short put with a delta value of between 16 (2 x the expected move) and something more aggressive, like a 30 delta. The first example is the February 19th 37.5/45 long call vertical with a delta metric of around 20. A 7 1/2 wide, it would cost around 6.55 to put on, with a max profit metric of .95 and a 44.05 break even with a 14.50% ROC at max -- a whopping 103.8% annualized. What's not to like? The primary disadvantage is that one generally doesn't "manage" one-off debit spreads -- they either work fantastically or you take them off for a loss (e.g., 2 x max profit). Naturally, you can go with something far less aggressive than a monied, but one of your goals here should be taking profits relatively quickly, churning in and out of plays to maximize return on capital, rather than sitting out endlessly in an underlying without locking realized gains in on a regular basis. The second, a diagonal, where you buy a high delta, longer-dated back month call and sell a shorter duration call, working it like a covered call. My general preference is to go at least "skip month" in duration for the back month, so I'd probably buy the April 16th 37.5 (90 delta) and sell the February 19th 74 delta 45, yielding a net delta metric of around 18. As with the static long call vertical, it's a 7.5 wide, but going longer duration with the back month costs a little more. Here, the whole setup costs 6.78 to put on, with max profit being the difference between the width of the diagonal (7.5) and what it cost to put on (6.78) or .72, an ROC%-age of 10.6% at max, 75.9% annualized. The advantage here is that you have opportunities to roll the short call to reduce cost basis further and therefore increase your ROC, but have a timer of sorts when you will have to exit the play, win or lose, at April expiry. Here, I'm taking the "ease of trade management" route,* but will consider doing more monied short call verticals and/or diagonals going forward, particularly in some of the smaller accounts I'm working. * -- To be completely honest, I hit click and send and got a fill before doing this post, but may do a separate play in one of the smaller accounts I'm working.
NASDAQ:INTC
by NaughtyPines
OPENING (IRA): KRE MARCH 19TH 42 SHORT PUT... for a 1.08/contract credit. Notes: I already have some January on, and there is no February currently, so going out to March with 30-day still >35% at 36.5% and expiry specific at 38.4%. As with my other IRA short put trades, I'm fine with getting assigned, selling call against, particularly since it has a small dividend to pay you while you wait to exit any covered call profitably. ROC: 2.64% at max as a function of notional risk; 9.6% annualized at max.
AMEX:KRE
by NaughtyPines
4
OPENING (IRA): IWM JANUARY 22ND 170 SHORT PUT... for a 2.10 credit. Notes: Opening a short put nearest the 16 delta in the broad market instrument having the highest 30-day implied on the board. Here, it's IWM with 30-day at 27.5% and expiry-specific at 29.5%. ROC: 1.25% as a function of notional risk at max; 10.14% annualized at max. For smaller accounts, consider going spread with the short leg camped out at the 16 delta, the long out from there to generate at least 10% of the width of the spread in credit or a similar spread in RUT (e.g., January 22nd 1645/1695, paying 5.20 as of the writing of this post).
AMEX:IWM
by NaughtyPines
ROLLING (IRA): TLT JAN 15TH 165 COVERED CALLS TO FEB 19TH 163... for a 1.00/contract credit. Notes: A continuation of my TLT covered calls. (See Post Below). Rolling out at >50% max to the strike paying around 1% of the strike price, which is the 163 in February, currently valued at 1.66. I'm fine with being called away, since my last acquisition was around 110, and I think the buying power could be better utilized in something with higher implied volatility (30 day is currently 14.9% here). By the same token, that 1.66 for the 163 short call is 7.67 annualized or 4.9% as a function of stock price. That isn't hugely sexy, but when you add that to TLT's current yield of 1.56%, I could think of worse places to park my money for a little bit while I ramp up other positions in the new year.
NASDAQ:TLT
by NaughtyPines
OPENING (IRA): SPX JANUARY 29TH 3290/3340 SHORT PUT VERTICAL... for a 5.10 credit. Metrics: Max Profit: $510 Max Loss: $4490 Break Even: 3334.90 Delta/Theta: 2.6/6.75 ROC: 11.4% at max; 5.7 at 50% max; 83.22% annualized at max; 41.61 at 50% max. Probability of Profit: 87% Notes: A 10%-er in the expiry nearest 45 days in duration, opened late in the session. For smaller accounts, consider selling a short put vertical in SPY where the credit received is at least 10% of the width of the spread.
SP:SPX
by NaughtyPines
THE WEEK AHEAD: SLV, GDX, XLE, IWM/RUTWith two shortened market weeks in a row for Christmas and New Year's, I probably won't be doing a ton here, but figured I'd do a post for how exchange-traded funds are looking in the waning weeks of 2020 ... . EXCHANGE-TRADED FUNDS ORDERED BY PERCENTAGE THE AT-THE-MONEY SHORT STRADDLE NEAREST 45 DAYS IS PAYING AS A FUNCTION OF STOCK PRICE: SLV (32/46/11.9%) GDX (18/43/11.0%) XLE (25/42/10.7%) EWZ (14/40/10.0%) XBI (21/36/9.1%) KRE (18/36/9.3%) I'm currently in small XLE, EWZ, KRE, and GLD positions, but will consider adding on weakness if any comes my way and the implied volatility sticks in there. One thing I don't want to do is to constantly follow high implied volatility, only to find myself grossly overweighted in energy, Brazil, and regional banks, however, so don't want to go too crazy adding in sectors that have been high in the list week in and week out over the past several months. BROAD MARKET: IWM (22/29/6.9%) QQQ (19/26/6.5%) SPY (13/22/4.9%) Pictured here is an SPX 50 wide set up to pay at least 10% of the width of the spread, or around 5.00/contract in the expiry nearest 45 days, which would be the February 5th weekly (currently 47 days until expiry). I would ordinarily opt for a higher implied volatility RUT setup, but there currently isn't a February 5th expiry available. You can certainly go with the January 29th (40 days) or the February 19th (59 days), with the preference being to put these on in a down day or days. Smaller account should consider going with SPY or QQQ spreads* with the appropriate combination of of contracts and spread widths commensurate with your account size. BOND FUNDS: TLT (1/15/3.5%) (1.609% Yield) EMB (11/8/2.6%) (4.024% Yield) HYG (7/10/2.1%) (4.917% Yield) AGG (29/9/1.9%) (2.252% Yield) In the IRA, I've been selling HYG short put here of 30 days' duration or so for a credit that is around the monthly dividend. With the December 18th short put having expired worthless, I'll look at adding some in the January 22nd cycle, where the 85 is paying .41 at the mid. As I've pointed out before, the premium in bond funds generally stinks, but I've been using this strategy as a way to deploy buying power that would otherwise be sitting there earning virtually nothing while I await down days or a higher volatility environment. * -- Unfortunately, NDX isn't as liquid as either SPX or RUT, so I virtually never trade NDX spreads, opting instead for equivalent sizing in the QQQ's (e.g., 5 10-wides).
SP:SPX
by NaughtyPines
THE WEEK AHEAD: GDXJ/GDX, XLE, KRE, SLV, IWM/RUTEARNINGS: No options liquid underlyings announcing earnings this week that meet my criteria for a volatility contraction play, although ORCL (24/31) and WORK (2/33) both announce and could be played in some other way. EXCHANGE-TRADED FUNDS RANKED BY THE PERCENTAGE THE JANUARY AT-THE-MONEY SHORT STRADDLE IS PAYING AS A FUNCTION OF STOCK PRICE: GDXJ (14/41/12.1%) XLE (25/41/10.4%) KRE (23/40/10.6%) SLV (28/41/10.2%) GDX (15/38/10.2%) EWZ (15/39/10.0%) BROAD MARKET EXCHANGE-TRADED FUNDS RANKED BY THE PERCENTAGE THE JANUARY AT-THE-MONEY SHORT STRADDLE IS PAYING AS A FUNCTION OF STOCK PRICE: IWM (23/28/7.1%) QQQ (20/27/6.3%) DIA (15/21/5.2%) SPY (12/20/4.8%) EFA (17/24/4.4%) Pictured here is a RUT January 22nd 1655/1705 short put vertical with the short option leg camped out at the 16 delta. Markets are showing wide in the off hours, but look to get at least 10% of the width of the spread out of any play, with the preference being to put something on in a down day with the accompanying rise in volatility and expansion of the "probability cone." A smaller alternative would naturally be in IWM, where I'd look to get at least .50 out of January 22nd 162.5/167.5 5-wide. For those who like to swim naked, the IWM January 22nd 162.5 (15 delta) and was paying 1.91 as of Friday close (1.15% ROC at max as a function of notional risk; 8.93% annualized). * * * On the IRA/retirement account front, I'll be looking to programmatically deploy buying power in broad market over medium to long-term time frames over the next several weeks and then turn to focusing on shorter term plays, so you're likely to see some apparently oddball things in my ideas feed that won't make a ton of sense looked at in isolation and won't be for everybody not only due to buying power effect, but due to duration. I'm using SPY here, but one can certainly do something similar in another of the cheaper (a relative term) exchange-traded funds with high liquidity that will allow you to ladder out in time without giving up too much to lack of liquidity in longer duration. Essentially, it will look like a short put ladder, but with the rungs put on over time in increasing duration in similarly delta'd strikes or in strikes which pay a certain ROC %-age relative to the strike price (e.g., the SPY February 19th 321 short put, paying 3.27; the March 19th 300 short put, paying 3.02; the April 16th 283, paying 2.87, etc.), after which the individual rungs will be separately managed. Although this isn't particularly buying power efficient relative to defined risk spreads, I'm shooting for a setup that is relatively set and forget running into retirement where I don't necessarily have to pop my portfolio open on a daily (or even weekly) basis to manage trades, but can go for fairly lengthy periods of time without having to touch or manage rungs and with modest expectations as to ROC %-age. As a "quasi-cash" option, I'll also continue to deploy idle buying power in things like HYG puts (See Post Below) just that I'm not earning 0% of 0 and where I'm comfortable taking on shares and selling call against. Point in fact, that is probably not a bad stand-alone setup for an extremely conservative investor who isn't keen on taking broad market bullish assumption positions at all-time-highs where a number of people are calling "bubble" week after week. That being said, even this type of setup isn't riskless, as we saw in the March "sell everything" dip. At some point, you will potentially have to take on shares ... .
TVC:RUT
by NaughtyPines
2
THE WEEK AHEAD: AAL, TSLA, SNAP, NFLX EARNINGS; XOP, GDXJ, SLVEARNINGS: Got a bunch of potentially worthwhile, earnings announcement volatility contraction plays on tap this coming week. Here there are, ordered by "bang for your buck": AAL (29/99/19.7%), announcing Thursday before market open: Due to its size, I would probably go short straddle or iron fly, with the November 20th 12 short straddle paying 2.46 (19.7% as a function of stock price), and the November 20th 8/12/12/16 four-wide iron fly, paying 2.00 even. TSLA (29/79/19.1%), announcing on Wednesday after market close. Pictured here is a 10-wide iron condor, with the short option legs set up at the 20 delta. Markets are showing wide in the after hours, but would adjust strikes as necessary to get at least one-third the width of your wings in credit (i.e., 3.33 for a 10 wide, 1.67 for a five, etc.). SNAP (35/97/17.2%), announcing Tuesday after market close. The November 20th 19 delta 24/35 short strangle was paying 1.35 at the mid price, with the defined risk 22/25/33/36 iron condor paying 1.11. NFLX (43/62/14.3%), announcing on Tuesday after market close. The November 20th 455/465/635/645 was paying 3.91 at the mid price as of Friday close. As with the TSLA defined risk play, look to adjust strikes as necessary to get at least one-third the width of your wings in credit. EXCHANGE-TRADED FUNDS, RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING GREATER THAN 10%: XOP (14/55/13.1%) GDXJ (18/49/12.6%) SLV (39/50/11.2%) XLE (26/45/10.2%) EWZ (15/42/10.0%) BROAD MARKET: QQQ (33/35/8.0%) IWM (29/33/7.2%) SPY (23/27/5.8%) EFA (18/22/4.6%) IRA DIVIDEND EARNERS, RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING GREATER THAN 10%: SLV (39/40/11.2%)* XLE (26/45/10.2%) KRE (24/43/10.1%) EWZ (15/42/10.1%) MUSINGS: 16 days left until the general election. Out of an abundance of caution, I'm not adding anything here, but may do some "window dressing" rolls of my IWM and QQQ shorts puts I have on in the November 20th expiry just to lock in realized profit, and I'll do an educational post as to what that would entail. Handsitting, thumb twiddling while the markets do their thing is the hardest part ... . * -- Neither SLV nor GLD pay a dividend.
NASDAQ:TSLA
by NaughtyPines
5
THE WEEK AHEAD: UAL, DAL, SLB, WBA EARNINGS; XOP, SLV, QQQEARNINGS: There are four options highly liquid underlyings that pop up on my screener for next week with 30-day implied of >50%: UAL (23/88/22.6%)* (on Wednesday after market close); DAL (13/74/19.1%) (Tuesday before market open); SLV (18/59/16.4%) (Friday, before market open), and WBA (43/54/12.2%) (Thursday, before market open). Pictured here is a directionally neutral 29/50 short strangle in the November monthly with the options camped out at the 16 delta, yielding a 2 x expected move break even on the put side and > 2 x expected move on the call. Delta/theta -.41/6.00; paying 1.87 at the mid price as of Friday close (.94 at 50% max). The DAL November 20th, 16 delta 27/42 short strangle was paying 1.83 at the mid price as of Friday close; delta/theta 1.48/4.39. SLB is small enough to short straddle, but would go "skinny," as the November only has 2.5 wides to play with. The November 20th 15/17.5 was paying 1.48 as of Friday close, but treating it as a short straddle and taking profit at 25% max (.37) isn't particularly compelling, so would probably pass on the play and deploy buying power elsewhere. WBA suffers from a similar affliction (2.5 wides out in November), but the 32.5/40 is paying 1.54 there, albeit with break evens greater than the expected move, but not quite 2 x. EXCHANGE-TRADED FUNDS RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%: XOP (15/56/14.5%) SLV (45/51/13.1%) GDXJ (15/49/12.9%) EWA (15/42/11.6%) XLE (27/43/11.2%) GDX (15/40/10.7%) XBI (29/43/10.3%) USO (4/43/10.1%) BROAD MARKET RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING: QQQ (28/33/8.2%) IWM (25/32/7.6%) SPY (19/25/5.9%) EFA (13/20/4.8%) DIVIDEND PAYERS RANKED BY PERCENTAGE OF STOCK PRICE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AND SCREENED FOR THOSE PAYING >10%: KRE (25/44/11.7%) EWZ (15/42/11.6%) XLE (27/43/11.2%) GENERAL MUSINGS: I already have a UAL covered call on, so am unlikely to partake in that underlying further here. Moreover, in the IRA/retirement account, I'm already deployed in everything at the top of the heap from an implied volatility standpoint, although I may carry on with my standard weekly 16-delta short put in the broad market instrument with the highest implied volatility, which would be QQQ. Alternatively, I'll do a QQQ 10-percenter (See Post Below) instead, as NDX isn't fantastically liquid, and a November 27th (currently, 48 days until expiry) will be available. To emulate a 50-wide, however, in NDX, I'll have to go 10-wide with 5 contracts or 5 wide with 10, etc. For example, the November 27th 240/245 is paying .50, and I'd have to sell 10 of those to emulate the NDX November 27th 9925/9975, paying 5.04. I would naturally prefer just selling one NDX spread, since it means fewer fees, but if the bid/ask is grotesque, I'll just have to go with QQQ or a RUT 50 wide. (The RUT November 27th 1385/1435 was paying 5.04 at the mid as of Friday close). * -- The first metric is the implied volatility rank (where implied volatility is currently relative to where it's been over the last 52 weeks); the second, 30-day implied volatility; and the third, what the November at-the-money short straddle is paying as a percentage of stock price.
NASDAQ:UAL
by NaughtyPines
THE WEEK AHEAD: DAL, CCL EARNINGS; GDXJ/GDX, SLV, KREEARNINGS: CCL (28/88/25.9%) and DAL (18/77/22.1%)* announce earnings on Thursday. The DAL November 20th 21 delta, 2 x expected move 26/41 short strangle is paying 2.41 or 7.6% as a function of stock price (1.20 at 50% max; 3.8% as a function of stock price). I've pictured a short put here as the simplest play to get in on a sector that has been hammered by the pandemic, assuming you don't mind potentially being assigned at that price to work a longer-term play (i.e., covered calls). CCL is small enough to play via short straddle, with the November 20th 15 short straddle paying 3.92 or 25.9% as a function of stock price (.98 at 25% max; 6.5% as a function of stock price). Alternatively, the > 2 x expected move 10/20 short strangle is paying .93 (.46 at 50% max; 3.0% as a function of stock price). EXCHANGE-TRADED FUNDS WITH >35% 30-DAY IMPLIED RANKED BY PERCENTAGE THE NOVEMBER AT-THE-MONEY SHORT STRADDLE IS PAYING AS A FUNCTION OF STOCK PRICE: TQQQ (41/103/30.2%) XOP (19/60/17.3%) USO (10/55/146%) GDXJ (20/50/15.1%) SLV (39/48/13.5%) EWZ (21/46/14.1%) XLE (30/44/131%) XBI (36/45/13.0%) GDX (19/42/12.7%) SMH (27/47/11.2%) QQQ (35/35/10.5%) BROAD MARKET: QQQ (35/35/10.5%) IWM (32/34/9.8%) EFA (25/22/9.0%) SPY (21/26/8.0%) IRA DIVIDEND EARNERS/PREMIUM SELLING: KRE (28/47/13.6%) (Current Yield: 3.83%) SLV (39/48/13.5%) (No Yield; Precious Metals Position) EWZ (21/46/14.1%) (Current Yield: 3.80%) XLE (30/44/13.1%) (Current Yield: 7.52%) XBI (36/45/13.0%) (Current Yield: .35%; Premium Selling Play) SMH (27/47/11.2%) (Current Yield: 0.00%; Premium Selling Play) QQQ (35/35/10.5%) (0.60% Yield; Premium Selling Play) MUSINGS: With the general elections now 29 days away, I'm not doing much here in terms of adding new positions. With the margin account in particular, I'm looking at going completely flat at or near October opex and then watching the show from the sidelines. On the IRA/retirement account front, I'm already in most of the underlyings at the top of the implied volatility ladder, so don't anticipate doing much here anyway. I will naturally look at delta on a portfolio-wide basis to see whether I need additional delta one way or the other to make myself less directional running into the elections. We could, after all, conceivably see one of a variety of things depending on how things play out (i.e., relief rally, sell-off, "sideways nothing burger"). With Friday's sell-off, however, I'm tempted to add a smidge more of QQQ in the November cycle for my weekly 16 delta, 45 days 'til expiry broad market short put (the November 20th 16 delta 237 short put was paying 3.73 at the mid as of Friday close; 1.60% ROC as a function of notional risk). * -- The first metric is where 30-day implied volatility is relative to where it's been over the past 52 weeks; the second, 30-day implied volatility; and the third, the percentage the November at-the-money short straddle is paying as a function of stock price.
NYSE:DAL
by NaughtyPines
EDUCATION: THE OPTIONS HIGHLY LIQUID SINGLE NAME LISTAnd now, for the current single name list: AAL (American Airlines) AAPL (Apple) ABBV (AbbVie) ACB (Aurora Cannabis) AEO (American Eagle Outfitters) AGNC (AGNC Investment) AMC (AMC Entertainment) AMD (Advanced Micro Devices) AXP (American Express) AZN (AstraZeneca) BA (Boeing) BABA (Alibaba Group Holdings) BAC (Bank of America) BB (Blackberry) BBBY (Bed Bath and Beyond) BMY (Bristol-Myers Squibb) BP (British Petroleum) BYND (Beyond Meat) C (Citigroup) CCL (Carnival Group) CGC (Canopy Growth) CHWY (Chewy) CLDR (Cloudera) CMCSA (Comcast) CNX (CNX Resources) COST (Costco) CRM (Salesforce.com) CRON (Cronos Group) CRWD (Crowdstrike Holdings) CSCO (Cisco Systems) CVS (CVS Health) CVX (Chevron) DAL (Delta Airlines) DDOG (Datadog) DELL (Dell Technologies) DIS (Walt Disney) DKNG (DraftKings) DOCU (Docusign) EBAY (EBay ET (Energy Transfer) F (Ford) FB (Facebook) FCX (Freeport-McMoran) FDX (FedEx) FISV (Fiserv) FLIR (Flir Systems) GE (General Electric) GILD (Gilead Sciences) GM (General Motors) GOLD (Barrick Gold) GPS (Gap) GS (Goldman Sachs Group) HAL (Haliburton) HD (Home Depot) IBM (International Business Machines) INTC (Intel) IQ (Iquiyi) JD (JD.com) JNJ (Johnson & Johnson) JPM (JP Morgan Chase) KO (Coca-Cola) KR (Kroger) LUV (Southwest Airlines) LVS (Las Vegas Sands) LYFT (Lyft) MDT (Medtronic) MGM (MGM Resorts) MPC (Marathon Petroleum) MRK (Merck) MRNA (Moderna) MRO (Marathon Oil) MS (Morgan Stanley) MSFT (Microsoft) MU (Micron Technologies) NCLH (Norwegian Cruise Lines) NFLX (Netflix) NIO (Nio) NKE (Nike) NKLA (Nikola) NVDA (Nvidia) ORCL (Oracle) OXY (Occidental Petroleum) PBR (Petrobras) PDD (Pinduoduo) PENN (Penn National Gaming) PFE (Pfizer) PINS (Pinterest) PLAY (Dave & Buster's Entertainment) PLUG (Plug Power) PTON (Peloton) PYPL (Paypal) QCOM (Qualcomm) RAD (Rite Aid) RCL (Royal Caribbean Group) ROKU (Roku) RTX (Raytheon Technologies) SAVE (Spirit Airlines) SBUX (Starbucks) SLB (Schlumberger) SNAP (Snap) SONO (Sonos) SPCE (Virgin Galactic) SPG (Simon Property Group) SQ (Square) T (AT&T) TGT (Target) TMUS (T-Mobile U.S.) TRIP (Tripadvisor) TSLA (Tesla) TWTR (Twitter) UAL (United Airlines) UBER (Uber) UPS (United Parcel Service) V (Visa) VALE (Vale) VIAC (Viacom CBS) VZ (Verizon Communications) WFC (Wells Fargo) WKHS (Workhorse Group) WMT (Walmart) WORK (Slack Technologies) WYNN (Wynn Resorts) XOM (Exxon Mobil)
AMEX:SPYEducation
by NaughtyPines
EDUCATION: THE OPTIONS LIQUID EXCHANGE-TRADED-FUND LISTLiquidity. Liquidity. Liquidity. Whether you're short strangling, iron condoring, laddering out short puts, or doing covered calls, having excellent options liquidity is the cornerstone of any options trade, and the universe of highly liquid options instruments is actually quite small relative to the smorgasbord of underlyings out there. I've posted my list of highly liquid exchange-traded-funds at various times in chat rooms, but thought I'd set it out here for easy reference. Here they are, in alphabetical order, along with a brief description of what they are: BKLN (Leveraged Loan Index) DIA (Dow Jones) EEM (Emerging Market Equities) EFA (MSCI ex. Canada/U.S.) EMB (Emerging Market Bonds) EWA (Australian Equities) EWW (Mexican Equities) EWZ (Brazilian Equities) FEZ (Euro Stoxx 50) FXI (Chinese Equities) GDX (Gold Miners) GDXJ (Junior Gold Miners) GLD (Gold) HYG (High Yield Corporate Bonds) IWM (Russell 2000) IYR (REIT) KRE (Regional Banks) LQD (Investment Grade Corporate Bonds) MUB (Municipal Bonds) QQQ (Nasdaq 100) SLV (Silver) SMH (Semiconductor) SPXL (3 x Leveraged Bullish S&P 500) SPY (S&P 500) TLT (20-Year + Average Maturity Treasuries) TQQQ (3 x Leveraged Bullish QQQ) UNG (Natural Gas) USO (Crude) UVXY (1.5 x Leveraged Volatility) VIX (Volatility) VXX (Volatility) XBI (Biotech) XLE (Energy) XLF (Financials) XLI (Industrials) XLP (Consumer Staples) XLRE (REIT) XLU (Utilities) XME (Metals and Mining) XOP (Oil and Gas Exploration and Production) XRT (Retail) UUP (Dollar Index) And sorted by type: BROAD MARKET EQUITY: DIA (Dow Jones) EEM (Emerging Market) EFA (MSCI ex. U.S./Canada) EWA (Australia) EWZ (Brazil) EWW (Mexico) FEZ (Euro Stoxx 50) FXI (China) IWM (Russell 2000) QQQ (Nasdaq 100) SPXL (3 x Leveraged Bullish S&P 500) SPY (S&P 500) TQQQ (3 x Leveraged Bullish QQQ) BONDS/FINANCIAL INSTRUMENTS: BKLN (Leveraged Loan Index) EMB (Emerging Market Bonds) HYG (High Yield Corporate Bonds) LQD (Investment Grade Corporate Bonds) MUB (Muncipal Bonds) TLT (20-Year + Average Maturity Treasuries) SECTORS: GDX (Gold Miners) GDXJ (Junior Gold Miners) KRE (Regional Banks) SMH (Semiconductors) XBI (Biotech) XLE (Energy) XLF (Financials) XLI (Industrials) XLP (Consumer Staples) XLRE (REIT) XLU (Utilities) XME (Metals and Mining) XOP (Oil and Gas Exploration and Production) XRT (Retail) REITs: IYR XLRE COMMODITIES/CURRENCY: GLD (Gold) SLV (Silver) UNG (Natural Gas) USO (WTI Crude Oil) UUP (Dollar Index) VOLATILITY: VIX VXX UVXY
AMEX:SPYEducation
by NaughtyPines