With another earnings season upon us and with quality volatility contraction earnings plays a scant ten days to two weeks out, I'm hand sitting here.
After all, with things like NFLX (earnings in 8), AMD (11), and X (16) dangling out there, slightly out of reach for an ideal contraction play, putting on stuff with less than ideal metrics 45 days until expiration doesn't necessarily make a lot of sense unless you have absolutely nothing on here or want to keep a modest pile of longer-term theta on and burning in core index exchange-traded fund positions like SPY, IWM, and QQQ.
SPY isn't quite offering 1.00 for a 20 delta three-wide in the expiration nearest 45 days (the May 26th 223/226/241.5/244.5), offering .90/contract at the mid. A similar setup in IWM yields .85 -- the May 26th 125/128/142/145.* These aren't spot-on ideal, but they beat a poke in the eye with a sharp stick, which is pretty much what premium sellers in these instruments have been experiencing the last several weeks.
VIX: It's up a bit, but the front month VIX future term structure remains awfully shallow here, with the November expiry settling sub-17, making <90 days until expiration short call verticals where I like them unproductive.
* -- Naturally, going full-on short straddle will be more productive in these from a pure dollar and cents standpoint.
After all, with things like NFLX (earnings in 8), AMD (11), and X (16) dangling out there, slightly out of reach for an ideal contraction play, putting on stuff with less than ideal metrics 45 days until expiration doesn't necessarily make a lot of sense unless you have absolutely nothing on here or want to keep a modest pile of longer-term theta on and burning in core index exchange-traded fund positions like SPY, IWM, and QQQ.
SPY isn't quite offering 1.00 for a 20 delta three-wide in the expiration nearest 45 days (the May 26th 223/226/241.5/244.5), offering .90/contract at the mid. A similar setup in IWM yields .85 -- the May 26th 125/128/142/145.* These aren't spot-on ideal, but they beat a poke in the eye with a sharp stick, which is pretty much what premium sellers in these instruments have been experiencing the last several weeks.
VIX: It's up a bit, but the front month VIX future term structure remains awfully shallow here, with the November expiry settling sub-17, making <90 days until expiration short call verticals where I like them unproductive.
* -- Naturally, going full-on short straddle will be more productive in these from a pure dollar and cents standpoint.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.