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EWZ

Brazil went down big, let's sell premium (Big lizard)After some negative news about bribery in the government the Brazil's ETF (EWZ) got killed at the open with a 18% down move. With the Implied volatility rank of the stock at the high's of the last 52 weeks(100%) it means that buying options is going to be expensive, in other words we are going to be selling overpriced options. Betting that this is an over reaction and wanting to take as much credit as possible, I decided to sold a big lizard (Straddle with no upside risk) to get a nice premium. The trade: 64 days to expiration Sold the 33 Calls Sold the 33 Puts Buy the 36.5 Calls (no upside risk) Collected 3.95 per contract Target price will be at 25%
AMEX:EWZ
by AlexanderGotay
THE WEEK AHEAD: VIX, P, AND EWZVIX With July VIX options at 51 days until expiry, it's time again for a monthly VIX iron fly: VIX July 21st 10/13/13/16 Iron Fly Metrics: Max Profit: 2.00 at the mid POP: <1% Max Loss/Buying Power Effect: 1.00 Break Evens: 11/15 Notes: This setup involves looking at the /VX futures monthly expiry nearest to 45 days until expiration. That is currently trading at 12.92, so that is where the body of your setup in VIX goes. On setup, the POP% is abysmal, but the trade operates on the assumption that (a) VIX spot will run up into the /VX futures price as expiry approaches; and (b) price will finish between 11 and 15. Look to manage at 25% max. Be patient. These often come in at the very least (and I mean very last) moment. P With high implied volatility rank and high implied volatility and earnings in the rear view mirror, this one's ripe ... . Undefined Risk/Neutral Assumption July 21st 9 short straddle POP%: 60% 2.22 at the mid Max Loss/Buying Power Effect: Undefined BE's: 6.78/11.22 (Outside the expected move) Defined Risk/Neutral Assumption July 21st 6/9/9/12 iron fly POP%: 53% Max Profit: 1.91 at the mid Max Loss/Buying Power Effect: 1.09 BE's: 7.09/10.91 (Between 1 SD and expected move on low side; slightly short of expected move on high side) Notes: Look to manage these at 25% max. EWZ The Brazilian exchange-traded fund still has some juice left in it after tumbling last week on political turmoil. Undefined Risk/Neutral Assumption July 21st 31.5/39.5 short strangle POP%: 67% Max Profit: 1.26 at the mid Max Loss/Buying Power Effect: Undefined BE's: 30.24/40.76 (Near the 1 SD for both sides) Undefined Risk/No Upside Risk July 21st 32/39/40 Jade Lizard POP%: 82% Max Profit: 1.08 at the mid Max Loss/Buying Power Effect: Undefined BE: 30.92 (Between 1 SD and expected move). Defined Risk/Neutral Assumption: July 21st 28/31.5/39/42.5 iron condor POP%: 62% Max Profit: .93 at the mid Max Loss/Buying Power Effect: 2.57 BE's: 30.57/39.93 (Lower near 1 SD; higher between expected move and 1 SD). Notes: Look to manage all of the EWZ setups at 50% max.
TVC:VIX
by NaughtyPines
OPENING: EWZ JULY 21ST 26/28/38.5/40.5 IRON CONDOR... for a .61 credit. With EWZ caving heftily here and implied volatility popping, I'm going back to the Brazilian well narrow and small, since I can foresee this having some volatility in it for a bit, in which case I may want to add to the position. Metrics: POP%: 63% Max Profit: $61/contract Max Loss/Buying Power Effect: $139/contract BE's: 27.39/39.11 Theta: .69 Delta: .7 Notes: I'll look to take this off at 50% max ... .
AMEX:EWZ
by NaughtyPines
THE WEEK AHEAD: HPQ, LOW, BBY, GME EARNINGS; XOP, EWZ (NON)EARNINGS HPQ, LOW, BBY, and GME are all up for earnings announcements. Out of these, BBY and GME appear to be the best candidates for premium selling, given their implied volatility rank and background implied volatility metrics, although virtually every liquid underlying with an earnings announcement bears watching; implied volatility can pop at the last moment, making them ripe for a play. BBY announces on 5/25 before market open, so look to put on a play on the 24th before session close. Preliminary Setups: June 2nd 51.5 short straddle; 4.18 at the mid with break evens wide of the expected move at 47.32/55.68. June 2nd 44.5/51.5/51.5/58.5 iron fly: 3.69 at the mid with break evens at 47.31/54.69; 3.81 max loss/buying power effect. June 2nd 47/56 20 delta short strangle: 1.17 at the mid; BE's at or wide of the 1 SD at 45.83/57.17. June 2nd 46/48.5/54.5/57 30 delta iron condor: 1.03 at the mid; BE's wide of the expected move at 47.47/55.53; 1.47 max loss/buying power effect. GME announces on 5/25 after market close, so look to put on a play on the 25th before session close. Preliminary Setups: June 2nd 24 short straddle: 2.21 at the mid with break evens wide of the expected move at 21.79/26.21. June 2nd 21/24/24/27.5 iron fly: 1.88 at the mid with break evens wide of the expected move on the put side, slightly short of the expected on the call at 22.12/25.88; 1.62 max loss/buying power effect. June 2nd 22/26.5 20 delta short strangle: .65 at the mid with break evens wide of the expected move at 21.35/27.15. June 2nd 20/22.5/26/28.5 iron condor: .72 at the mid with break evens wide of the expected move at 21.78/26.72; 1.72 max loss/buying power effect. Due to the credits received for the short strangle/iron condor, would probably short straddle or iron fly. NON-EARNINGS The two exchange-traded funds with the metrics I generally look for: XOP and EWZ. I already have a non directional, defined risk EWZ setup on (an iron condor), so could look to add. With XOP, I'm looking at directional stuff (laddered short puts, laddered short put verticals, Poor Man's, or a setup with no upside risk, the concern being that OPEC will extend output cuts, causing this to rip skyward).
AMEX:XOP
by NaughtyPines
EEM/EWZ pairs trade (covered strangles)EWZ and the Emerging Markets ETF EEM have a strong correlation (Since EEM have 7.7% of brazil stocks). The correlation for the last year have been .92, and the last 30 days have drop to .40. Today we got a strong move on EWZ of -3.18% at the time of the trade and -.64% on EEM. By trading one to the upside and the other to the downside I will look to reduce risk on this trade until time has passed enough to take my profits. The trade is two Synthetic Covered Strangles EEM 38.5/40.5 Calls for $1.92 credit EWZ 38.5/35 Puts for $2.95 credit In total we got $4.87 credit (1 to 1 ratio) and will look to close at $2.00. I don't do a lot of these trades, but I find them very interesting so lets if in the next 30 days we can close for profits.
AMEX:EWZ
by AlexanderGotay
THE WEEK AHEAD: KRE, EWZ, GDXJWith the beginning of the next earnings season two weeks out (at least before we see something decent), I'm looking to put on some basic exchange-traded fund premium selling plays to bide my time until then. Even there, however, the premium selling opportunities aren't fantastic: KRE (Regional Banks): I haven't played this one before, but its background implied volatility is at 25%, putting it slightly above its mid-range over the past six months (it's in the 54% percentile or so). I generally like to see exchange-traded funds at >70% implied volatility percentile over the past six months and implied volatility at 35% or more, but if I abide by those metrics, I'd be totally sidelined here. (The May 19th 49/54/55/60 "nearly an" iron fly pays 2.53 at the mid with a buying power effect of 2.47; preliminary/off hours quotes). EWZ (Brazil): In spite of the fact that its implied volatility has been a good deal higher over the past six months (background implied is at 32% -- in the 28th percentile over the past six months), it still has some decent premium to be offered if you're willing to short straddle or iron fly. (The May 19th 33/37/38/42 iron fly pays 2.12 at the mid with a buying power effect of 1.88; preliminary/off hours quotes). GDXJ (Junior Gold Miners): This is one I was actually looking to play directionally off of support, but waited too long to put on the play, so now it's "nondirectional" for me or nothing. (The May 19th 30/33/40/43 iron condor pays 1.21 at the mid with a buying power effect of 1.79; preliminary/off hours quotes). VIX: With VIX, my eyeballs are always peeled for a "Term Structure" play if there isn't a pop to be had. Unfortunately, neither a pop nor a Term Structure play are to be had currently. VIX spot is at 12.4, and the first /VX futures front month that currently is >16 is September -- way too far out in time for me to put on a play (I currently still have June 17/20, and July 16/19 short call verticals on).
TVC:VIX
by NaughtyPines
2
WEEK OF 12/5: WHAT I'M LOOKING AT: XBI AND EWZWith the VIX still hovering in sub-15 territory and an examination of broad index exchange-traded funds therefore yielding less premium than I would like,* I'm turning my attention to sector exchange traded funds for possible premium selling plays. Naturally, VIX levels could change in light of the outcome of the Italian referendum (as of the writing of this, Dec 7th expiry VIX futures are up .125 to 14.40, with Dec 14th expiries up a similar amount to 15.05. www.cboe.com). After having ground through the entirety of "X" series SPDR's, along with a few non-X funds, it appears that EWZ and XBI offer the best implied volatility rank and implied volatility metrics for premium selling, with both being >70% in rank over the preceding six months and >35% in implied volatility, which is generally what I look for to play. Since I already have an EWZ iron fly on, I'll look to get one filled in XBI (See Post Below). * -- Currently, QQQ has the highest implied volatility of the four major index exchange-traded funds, but the Jan 20th 20 delta iron condor yields less than a 1.00 credit for a three-wide, which is what I like to see out of these trades (credit received > one-third the wing width).
TVC:VIX
by NaughtyPines