NaughtyPines

THE WEEK AHEAD: URBN (WHAT?! THAT'S IT?!)

TVC:VIX   Indeks Ketaktentuan S&P 500
Unfortunately, there isn't much next week earnings wise that renders itself to quality premium selling, with nothing appearing in screens where I'm looking for underlyings that are not only liquid from an options standpoint, but also whose implied volatility is at least in the 70th percentile over the past six months and background implied volatility is greater than 50%, as these make for the best volatility contraction plays post-earnings.

URBN EARNINGS

There is one stock that meets those criteria, however, and that is URBN , with an implied volatility rank of 95 (6-month) and a background implied volatility of 54. It announces earnings on Tuesday after market close, so look to put on a play on Tuesday before the end of the session.

Preliminary, here are the possible setups and what they're paying:

The March 17th 24.5/28 short strangle (30 delta) brings in 1.40 at the door; its defined risk counterpart (the 21.5/24.5/28/31) iron condor, brings in a 1.00. I would manage these both at 35% max given the "tightness" of the setup.

The 23.5/29 short strangle (20 delta) brings in .88 (shoot for 50% max). Going iron condor with the shorts at the 20-delta brings in less than 1/3rd the width of the wings, so I probably wouldn't go that route. The naked short strangle, I would look to manage at 50% max.

The March 17th 26/26 brings in 2.80 at the door; its defined risk counterpart (a 22/26/26/30.5 iron fly), 2.33. I'd look to manage these a 25% max.

The 23 delta short put at 23.5 brings in .45 at the mid.

These are off hours quotes, so the credit received may not be as sexy at NY open ... .

OTHER STUFF

I keep watching that VIX , either to get into as a stand alone trade or to wade into broad market instruments for premium. Things were looking up in the middle of the week, only to cave in Thursday's and Friday's sessions.

With my decaying theta pile thinning out somewhat here, I may throw in the towel, bend to the market's "animal spirits," and consider some low volatility environment setups (diagonals, probably) here ... .



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