THE WEEK AHEAD: SEAS, CTL, SQ, M EARNINGS; TEVA (NON)
SEAS announces earnings on 11/7 before market open, with an implied volatility of 71%, which is at the upper end of its range over the previous 52 week period. The November 17th 11 short straddle is paying 1.37 at the mid with a comparable iron fly probably not paying enough to make it worthwhile (less than 1/4 the width of the longs).
CTL (implied volatility of 62%; at the top of its 52 week range) announces on 11/8 after market close. The quasi-short straddle or tight short strangle 16/17 in the November 17th expiry pays 1.27 with break evens slightly wide of expected move. As with SEAS, the iron fly doesn't pay enough to be worthwhile ... .
SQ also announces on 11/8 after market close. With an implied volatility of 55, it's in the top quarter of its annual range. The November 17th 33/42 short strangle camped out at around the 20 delta strikes yields 1.03 in credit, implying that a defined risk play like an iron condor won't pay one-third the width of the wings, although it may be worth pricing it out closer to earnings.
M announces on 11/9 before market open (implied volatility 55, top quarter of range). The November 17th 18/19 tight short strangle/near short straddle pays 1.43 at the mid, with break evens wide of the expected. The November 17th 14/18/19/23 comparable defined risk iron condor/fly play pays 1.86, which is close to 1/4 of the width of the longs, so worth a check shortly before the announcement.
TEVA's earnings are in the rear view mirror, but its implied volatility remains elevated here at 65 -- at the upper end of its 52 week range. The December 15th 30 delta strike at 10 pays .30 as a potential short put/acquire/cover play with a cost basis of 9.70 in any acquired shares. For the patient and/or fearful of the possibility that this company's another VRX, going monied covered call out of the box with a share purchase here at 11.40 and a sale of the March 16th 10 call would cost 9.06 to put with a max profit of .94.
CTL (implied volatility of 62%; at the top of its 52 week range) announces on 11/8 after market close. The quasi-short straddle or tight short strangle 16/17 in the November 17th expiry pays 1.27 with break evens slightly wide of expected move. As with SEAS, the iron fly doesn't pay enough to be worthwhile ... .
SQ also announces on 11/8 after market close. With an implied volatility of 55, it's in the top quarter of its annual range. The November 17th 33/42 short strangle camped out at around the 20 delta strikes yields 1.03 in credit, implying that a defined risk play like an iron condor won't pay one-third the width of the wings, although it may be worth pricing it out closer to earnings.
M announces on 11/9 before market open (implied volatility 55, top quarter of range). The November 17th 18/19 tight short strangle/near short straddle pays 1.43 at the mid, with break evens wide of the expected. The November 17th 14/18/19/23 comparable defined risk iron condor/fly play pays 1.86, which is close to 1/4 of the width of the longs, so worth a check shortly before the announcement.
TEVA's earnings are in the rear view mirror, but its implied volatility remains elevated here at 65 -- at the upper end of its 52 week range. The December 15th 30 delta strike at 10 pays .30 as a potential short put/acquire/cover play with a cost basis of 9.70 in any acquired shares. For the patient and/or fearful of the possibility that this company's another VRX, going monied covered call out of the box with a share purchase here at 11.40 and a sale of the March 16th 10 call would cost 9.06 to put with a max profit of .94.
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