THE WEEK AHEAD: CSCO, SLV, IWM, VIX/VIX DERIVATIVES

10 mai 2020

EARNINGS:

CSCO (46/40) announces earnings on Wednesday after market close. The metrics aren't ideal here with the at-the-money 42.5 short straddle in June paying 4.39, just a smidge north of 10% of the value of the underlying (10.2% to be exact) and the month to month implied differential almost nil (June's at 40.5, July at 40.3%). Nevertheless, a bet that CSCO stays within its expected move -- the June 19th 40/46 short strangle is paying 2.00 at the mid price here with break evens at 37.99/48.01.


EXCHANGE-TRADED FUNDS ORDERED BY RANK WITH >35% IMPLIED:

SLV (62/44)
EWZ (51/63)
GDXJ (51/63)
GDX (49/51)
EWW (45/40)
XLE (41/48)
USO (34/110)
SMH (32/38)
XOP (30/61)


BROAD MARKET FUNDS ORDERED BY RANK:

IWM (52/42)
EEM (39/31)
EFA (35/24)
QQQ (30/29)
SPY (26/28)


IRA DIVVY-PAYERS ORDERED BY RANK:

EWZ (51/63), 5.15% Yield
EWA (51/42), 5.31% Yield
EWW (45/40), 4.26% Yield
IYR (43/34), 3.77% Yield
XLU (41/31), 3.48% Yield
EWU (37/28), 5.56% Yield
EFA (35/24), 3.79% Yield
HYG (28/18), 5.49% Yield
TLT (27/21), 1.79% Yield
SPY (26/28), 1.98% Yield
EMB (26/20), 4.92% Yield

Notes: Kind of a new section here to track background IV for potential acquisitional plays for the IRA in dividend yielding exchange-traded funds. Currently, running short put ladders in IYR, HYG, XLU, and EWA, but now that I've gotten organized here, may consider similar setups in EWZ (5.15% yield), EWW (5.31%), and EWU (5.56%).


VIX/VIX DERIVATIVES:

VIX finished the week at 27.98 with the /VX term structure in front months contango. Back months are still "wonky" and present a (for lack of a better word) sinuous path from here to December.


TRADE OF THE WEEK:

Pictured here is a Plain Jane delta neutral IWM short strangle in the June cycle (40 days) paying 3.37 at the mid price. The highest implied, broad market exchange-traded fund on the board at the moment.