THE WEEK AHEAD: CHWY, LULU, PVH EARNINGS; GDXJ, XOP; VIX
EARNINGS:
CHWY (71/85/17.34%)* announces Tuesday after the close.
The June 19th 41.5/60 17-delta short strangle pictured here pays 2.55 with break evens wide of the expected move. The similarly delta'd July 17th 39/65 gives you more room to be wrong, but doesn't pay that much more for the wait -- 2.48 at the mid.
LULU (36/57/10.01) and PVH (57/85/14.8) announce Thursday after market close, but have less than ideal volatility contraction play metrics.
SECTOR EXCHANGE-TRADED FUNDS SCREENED FOR >35% 30-DAY WITH JULY SHORT STRADDLE PRICE AS A FUNCTION OF SHARE PRICE:
EWW (37/38), <10%
GDXJ (36/53), 13.74%
GDX (33/43), 11.12%
TQQQ (30/77), 17.7%
XLE (30/39), <10%
EWZ (29/48), 11.75%
XOP (17/49), 12.4%
GDXJ looks to be the most productive from the premium selling standpoint, although we're getting on the short side of duration for July (40 days until expiration).
BROAD MARKET EXCHANGE-TRADED FUNDS WITH JULY SHORT STRADDLE PRICE AS A FUNCTION OF SHARE PRICE:
IWM (39/35), 8.66%
EFA (28/25), 5.50%
QQQ (22/25), 5.93%
SPY (21/24), 5.43%
IRA DIVIDEND EARNING EXCHANGE-TRADED FUNDS SCREENED FOR 30-DAY >35%:
EWZ (29/48)
VIX/VIX DERIVATIVES:
The /VX July contract finished the week at 27.21, with the VIX July 22nd 27/29 short call vertical paying .75 at the mid and the 27/30, nearly a buck at .95. Going out farther in time to take advantage of contangoized term structure here doesn't net you much additional juice, unfortunately. /VX August finished the week at 27.25 -- only .04 above August. September traded at 27.70, but the 27/29 pays only .65, probably due to the fact that the VIX of the VIX (i.e., VIX implied), slopes away, with nearer term implied being higher than those of longer duration.
In "derivative land," the VXX July 29/30 is paying .38, the 29/31, .71, and the 29/32, .99. UVXY is probably also paying 1/3rd the width for similar setups, although options pricing is showing wide in the off hours ... .
* -- The first metric is implied rank; the second, 30-day implied, and the third, the percentage of share price that the nearest monthly at-the-money short straddle is paying (i.e., the LULU June short straddle is paying 10.01% of share price, the PVH June short straddle, 14.8%).
CHWY (71/85/17.34%)* announces Tuesday after the close.
The June 19th 41.5/60 17-delta short strangle pictured here pays 2.55 with break evens wide of the expected move. The similarly delta'd July 17th 39/65 gives you more room to be wrong, but doesn't pay that much more for the wait -- 2.48 at the mid.
LULU (36/57/10.01) and PVH (57/85/14.8) announce Thursday after market close, but have less than ideal volatility contraction play metrics.
SECTOR EXCHANGE-TRADED FUNDS SCREENED FOR >35% 30-DAY WITH JULY SHORT STRADDLE PRICE AS A FUNCTION OF SHARE PRICE:
EWW (37/38), <10%
GDXJ (36/53), 13.74%
GDX (33/43), 11.12%
TQQQ (30/77), 17.7%
XLE (30/39), <10%
EWZ (29/48), 11.75%
XOP (17/49), 12.4%
GDXJ looks to be the most productive from the premium selling standpoint, although we're getting on the short side of duration for July (40 days until expiration).
BROAD MARKET EXCHANGE-TRADED FUNDS WITH JULY SHORT STRADDLE PRICE AS A FUNCTION OF SHARE PRICE:
IWM (39/35), 8.66%
EFA (28/25), 5.50%
QQQ (22/25), 5.93%
SPY (21/24), 5.43%
IRA DIVIDEND EARNING EXCHANGE-TRADED FUNDS SCREENED FOR 30-DAY >35%:
EWZ (29/48)
VIX/VIX DERIVATIVES:
The /VX July contract finished the week at 27.21, with the VIX July 22nd 27/29 short call vertical paying .75 at the mid and the 27/30, nearly a buck at .95. Going out farther in time to take advantage of contangoized term structure here doesn't net you much additional juice, unfortunately. /VX August finished the week at 27.25 -- only .04 above August. September traded at 27.70, but the 27/29 pays only .65, probably due to the fact that the VIX of the VIX (i.e., VIX implied), slopes away, with nearer term implied being higher than those of longer duration.
In "derivative land," the VXX July 29/30 is paying .38, the 29/31, .71, and the 29/32, .99. UVXY is probably also paying 1/3rd the width for similar setups, although options pricing is showing wide in the off hours ... .
* -- The first metric is implied rank; the second, 30-day implied, and the third, the percentage of share price that the nearest monthly at-the-money short straddle is paying (i.e., the LULU June short straddle is paying 10.01% of share price, the PVH June short straddle, 14.8%).
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