Rolling (IRA): IWM June 4th 205 Short Put to July 2nd 200... for a 1.42 credit.
Comments: With only 14 days to go and at >50% max, rolling this down and out to the 16 delta strike nearest 45 days until expiry. Total credits collected of 6.55 (See Post Below) + 1.42 = 7.97 relative to the July 2nd 200 current price of 2.04, so I've realized a gain of 5.93 so far.
Shortput
Rolling (IRA): QQQ June 18th 297 Short Put to June 30th 288... for an .11 credit.
Comments: Here, doing a little "window dressing" rolling ... . With the 297 at greater than 50% max (See Post Below), rolling it down and out in duration a little bit for a realized gain and a small credit. Here, I just want to take profit up to this point and reduce risk (since the 288 is farther away from current price than the 297, but also milk the remaining risk premium out of the play. Total credits collected of 2.99 + .11 = 3.10 versus the June 30th 288 current short put value of 1.46, so I've realized a profit of 3.10 - 1.46 or 1.64 ($164) so far.
Opening (IRA): IWM July 2nd 197.5 Short Put... for a 2.38 credit.
Comments: Weakened quite a bit into the close, so phone-app'd my weekly, 16 delta short put in the broad market exchange-traded fund with the highest 30-day in the contract nearest 45 days until expiry. Will look to take profit via roll or close on approaching worthless or, alternatively, take assignment of shares and sell call against if it comes to that.
Trade Idea: RIOT June 18th 17 or August 20th 15 Short PutRIOT announces earnings on Monday, so I'm not keen on stepping in front of what is likely to be a moving bus. However, I may consider something post-earnings and wanted to price things out here ahead of time to give me some idea as to where I might want to set up up my tent and what that might be paying. Unfortunately, the weeklies aren't that great for liquidity, and there's no July monthly at the moment, so would either have to trade June (33 days) or August (96 days). So, like, which one?
June implied is at a whopping 185.3% (no doubt due to earnings); August at 120.7%.
The June 18th 14 delta 17 strike is paying 1.23 at the mid, 7.8% ROC at max, 86.3% annualized; the August 20th 13 delta 15, 1.88, 14.3% at max, 54.4% annualized. I'm using the same approximate delta for both expiries to kind of compare "apples to apples."
Naturally, there are trade-off's. The shorter duration, similarly delta'd June 17 pays more on an annualized basis, but it's closer to at the money. Conversely, the August 20th 15 pays less on an annualized basis, but is farther away from current price, so gives you more room to be wrong, as well as more premium to potentially take off at 50% max -- 50% max of 1.23 is .61; 50% max of 1.88 is .94.
Additionally, the August setup has a smaller buying power effect versus the June: 13.12 versus June's 15.77 (cash secured). On margin, the difference will be smaller with a buying power effect for the 17 being around 3.40; the 15, 3.00 even.
For me, it boils down to answering the question: "Am I comfortable with acquiring it at 17 or more comfortable at acquiring it at 15?" To me, the answer is "lower," and so am mostly likely to go with the August setup. Naturally, this will all be moot if it takes off like a rocket post-earnings, in which case I won't put on a trade.
The Week Ahead: ARKG, ARKK, MJ, ARKQ, GDXJ, IWM/RUT PremiumHere's what's paying for premium sellers as of Friday's close ... .
For those of you not familiar with my general process, my general order of preference is to trade (a) broad market; (b) sector exchange-traded funds; and (c) single name, in that order. If broad market isn't paying, I look at exchange-traded funds, and -- if those aren't paying -- I look at single name. This week, I think that there are opportunities to sell premium in at least sector exchange-traded funds, so I don't feel the need to delve into what single name is paying and haven't bothered to screen single name here.
In any event, I first screen out exchange-traded funds* that do not have a 30-day implied volatility of at least 35%.
Then, I price out what the 45 day at-the-money short straddle is paying as a function of strike price with the notion being that if the short straddle is paying, then most other premium selling setups I undertake will also be paying, whether it be short puts, short strangles, iron condors/flies, or short verticals/credit spreads. Here, my cut-off is generally a risk premium (credit received)/short straddle ratio of greater than 10%.
In light of this, I probably wouldn't bother playing FXI here, even though it has a 30-day implied of 36% and one that is relatively high in the range (at the 63rd percentile) because it just isn't paying enough -- 6.18% as a function of strike price. In comparison, it looks like "The Ark Complex" is paying, even though some expiry availability/liquidity makes the exchange-traded funds in this grouping less than ideal to trade.
Exchange-Traded Funds Screened for Options Liquidity and 30-Day Implied >35%:
ARKG (Genomics) (60 rank/61 30-Day): June 18th (33 Days)** 77 short straddle, 9.20 at the mid price, 11.95% as a function of strike price, 132.2% annualized.
ARKK (Innovation) (52/54): July 2nd (47 Days) 104.5 short straddle, 14.45 at the mid, 13.83% as a function of strike price, 107.4% annualized.
MJ (Cannabis) (<1/42): July 2nd (47 Days) 19.5 short straddle, 2.60 at the mid, 13.33% as a function of strike price, 103.5% annualized.
ARKQ (Robotics) (51/39): June 18th (33 Days)*** 79.34 short straddle, 6.75 at the mid, 8.51% as a function of strike price, 94.1% annualized.
GDXJ (Junior Gold Miners) (7/37): July 2nd (47 Days) 51 short straddle, 5.58 at the mid, 10.94% as a function of strike price, 85.0% annualized.
XME (Metals and Mining) (34/37): July 2nd (47 Days) 45 short straddle, 5.95 at the mid, 13.22% as a function of strike price, 102.7% annualized.
EWZ (Brazil) (14/37): July 2nd (47 Days) 37 short straddle, 3.50 at the mid, 9.56% as a function of strike price, 74.2% annualized.
FXI (China) (63/36): July 2nd (47 Days) 44 short straddle, 2.72 at the mid, 6.18% as a function of strike price, 48.0% annualized.
GDX (Gold Miners) (30/35): July 2nd (47 Days) 38 short straddle, 3.53 at the mid, 9.29% as a function of strike price, 72.1% annualized.
Broad Market Exchange-Traded Funds with 30-Day >20%:
IWM (Russell 2000) (16/27): July 2nd (47 Days) 221 short straddle, 15.68 at the mid, 7.10% as a function of strike price, 55.1% annualized.
QQQ (Nasdaq) (14/24): July 2nd (47 Days) 326 short straddle, 21.18 at the mid, 6.50% as a function of strike price, 50.5% annualized.
* -- For single name, the cut-off is 50% implied or greater; for broad market, 20% or greater. Broad market just tends to be less volatile than sector, which -- in turn -- tends to be less volatile than single name.
** -- There is currently no weekly contract near 45 days' duration, so using the monthly here.
*** -- As with ARKG, there is currently no weekly contract near 45 days, so using the June monthly here.
Opening (IRA): IWM June 30th 194 Short Put... for a 2.32 credit.
Notes: Selling the 16 delta strike nearest 45 days until expiry in the broad market exchange-traded fund having the highest 30-day implied volatility. Will take profit on approaching worthless/take on shares, sell call against if in-the-money at expiry. 1.21% ROC at max as a function of notional risk.
Rolling (IRA): IWM May 28th 200 Short Put to June 30th 200... for a 1.64 credit.
Notes: With only .48 or so of extrinsic left in it, rolling out the May 28th 200 (See Post Below) to the June 30th 200 (51 days, 16 delta) for a 1.65 credit and a realized gain on this little bit of weakness here. Total credits collected of 3.79 versus a current contract value for the June 30th 200 of 2.16, so I've realized profits of 3.79 minus 2.16 or 1.63 ($163) in this puppy so far. It also happens to be the last May contract I had on, so it doubles as a little bit of a "housekeeping" trade.
Opening (IRA): ARKK June 18th 87.96 Short Put... for a 1.94/contract credit.
Notes: 30-day implied at 56% and weak. I don't what the particular reason for the oddball strikes is, but rolling with it. 2.26% ROC at max as a function of notional risk. Generally, will take profit on approaching worthless or take assignment, sell call against if that happens.
Rolling (IRA): IWM May 21st 204 Short Put to June 25th 202.5... for a 1.89 credit.
Notes: With a mere .35 left in the 204 and only 11 days to go, rolling down and out to the June 25th 202.5 (17 delta) for a realized gain (See Post Below). Total credits collected of 4.12 versus a current short put value of 2.21, so I've realized a gain of 1.91 on this one so far.
Opening (IRA): QQQ June 18th 297 Short Put... for a 2.99 credit.
Notes: Selling some 16 delta risk premium in the QQQ's on this weakness. 1.0% ROC as a function of notional risk. I'm fine with getting assigned, selling call against, but will start to look to take profit or otherwise manage the trade at 50% max.
Rolling (IRA) (Late Post): SPY October 15th 270 Short Put... to the November 19th 290 for a 1.28 credit.
Notes: The last batch of some pre-vacation housekeeping/profit-taking. This isn't quite at 50% max yet, but is around 1.10 in profit after a mere 33 days (See Post Below), so rolled to the November short put paying at least 1% in credit relative to the strike price. Total credits collected: 4.05.
Closing (IRA): GLD May 21st 163 Short Puts... for a .48/contract debit.
Notes: Decided to take profit here on this little up move, rather than hang out in the trade another 18 days, particularly since I collected a total of 3.97 in credits and rolled down and out on strike test. (See Post Below). 3.97 - .48 = 3.49 ($349) profit/contract. Will consider re-upping on a dip back to the 157 level (March 8th, March 30th lows).
Rolling (IRA): SPY September 275 Short Put to October 307... for a 1.70 credit.
Notes: Some more pre-vacation profit-taking/housekeeping. With the September 275 converging on 50% max, rolling it up and out to the October 307 (paying 3.08) for a 1.70 credit. Total credits collected of 4.12 + 1.70 = 5.82 versus a 3.08 value for the October 307 = a realized gain so far of 2.74 ($274).
Rolling (IRA): IWM May 14th 205 Short Put to June 18th 203... for a 1.89 credit.
Notes: With only .30 left in the May 14th* 205 (14 days), rolling this out to June 18th (49 days) 203 (16 delta) for a realized gain and a credit, rather than adding more units (i.e., I'd leave this one open to allow the remaining .30 in extrinsic to piss out and just sell a new contract in June). Total credits collected of 6.32 versus a current value in the June 203 contract of 2.18, so I've realized gains of 6.32 - 2.18 or 4.19 ($419) so far.
I would note that "rolling" is the functional equivalent of separately closing and then opening a new contract. It's perfectly fine to do things that way, but doing the "two-step" in a single transaction is just a little cleaner from a tracking standpoint because you will have a single entry/trade for a credit, rather than two trades (one for a debit, one for a credit).
* -- The previous post indicated it was a roll to the May 17th expiry, but should have read the May 14th, as there is no May 17th contract.
Opening (IRA): IWM June 11th 207.5 Short Put... for a 2.43 credit.
Notes: Even though I'm going on vacation here shortly, going ahead and doing my weekly short put in the broad market exchange-traded fund having the highest 30-day implied, which is IWM. Decided to go with the slightly more aggressive 18 delta here, since it was either that or the 205 due to lack of strike-to-strike granularity in the expiry at the moment.
Closing (IRA): GLD May 21st 155 Short Put... for a .17/contract debit.
Notes: Pre-vacation profit-taking/cleanup. In for 1.62/contract (See Post Below), out for .17 here; 1.45 ($145) profit/contract. Will re-up if we get weakness back to 155 or below. Still have May 163's, June 149's, and July 145's.