Trading & Technology
IVOLopps: Volatility-Inspired Trades
Posted on 7/19/2010 in Trading & Technology by Ivolatility
IVOLopps: Volatility-Inspired Trades
For the expected downside, or to hedge existing long positions, we think an interesting idea is to employ debit bear put spreads and credit call spreads.
We went to our RT Spread Scanner using the Top 200 stocks and ETFs by options volume and the S&P 500 Index for ideas.
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For long bear put spreads, we used the midterm selection from September to January to reduce time decay and for some edge, we selected an implied volatility difference of 5 percentage points between the put bought and sold.
From the 50 scan results, we selected one index, one ETF along with 4 individual stocks that are, not surprisingly, all due to report earrings soon and have high put call ratios indicating hedging activity with puts. HV=Historical Volatility
iShares Russell 2000 Index (IWM) HV 32.89; put call ratio 3.15.
If using the above, consider a close above 64.44 as the SU (stop/unwind).
Direxion Daily Financial Bull 3X Shares (FAS) HV 93.12; put call ratio .9
If using the above, consider a close above 22.20 as the SU (stop/unwind).
American Express Company (AXP) HV 41.78; put call ratio 3.0. Earnings expected Jul 22 after the close.
If using the above, consider a close above 44 as the SU (stop/unwind).
Abercrombie & Fitch Co. (ANF) HV 54.68; put call ratio 1.5. Earnings expected Aug 12 before the opening.
If using the above, consider a close above 35.20 as the SU (stop/unwind).
Freeport-McMoRan Copper & Gold Inc. (FCX) HV 55.77; put call ratio 2.75. Earnings expected Jul 21 before the opening.
If using the above, consider a close above 66.15 as the SU (stop/unwind).
Las Vegas Sands Corp. (LVS) HV 56.25; put call ratio 1.5. Earnings expected Jul 29 after the close.
If using the above, consider a close above 24.80 as the SU (stop/unwind).
For the expected downside, or to hedge existing long positions, we think an interesting idea is to employ debit bear put spreads and credit call spreads.
We went to our RT Spread Scanner using the Top 200 stocks and ETFs by options volume and the S&P 500 Index for ideas.
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For long bear put spreads, we used the midterm selection from September to January to reduce time decay and for some edge, we selected an implied volatility difference of 5 percentage points between the put bought and sold.
From the 50 scan results, we selected one index, one ETF along with 4 individual stocks that are, not surprisingly, all due to report earrings soon and have high put call ratios indicating hedging activity with puts. HV=Historical Volatility
iShares Russell 2000 Index (IWM) HV 32.89; put call ratio 3.15.
If using the above, consider a close above 64.44 as the SU (stop/unwind).
Direxion Daily Financial Bull 3X Shares (FAS) HV 93.12; put call ratio .9
If using the above, consider a close above 22.20 as the SU (stop/unwind).
American Express Company (AXP) HV 41.78; put call ratio 3.0. Earnings expected Jul 22 after the close.
If using the above, consider a close above 44 as the SU (stop/unwind).
Abercrombie & Fitch Co. (ANF) HV 54.68; put call ratio 1.5. Earnings expected Aug 12 before the opening.
If using the above, consider a close above 35.20 as the SU (stop/unwind).
Freeport-McMoRan Copper & Gold Inc. (FCX) HV 55.77; put call ratio 2.75. Earnings expected Jul 21 before the opening.
If using the above, consider a close above 66.15 as the SU (stop/unwind).
Las Vegas Sands Corp. (LVS) HV 56.25; put call ratio 1.5. Earnings expected Jul 29 after the close.
If using the above, consider a close above 24.80 as the SU (stop/unwind).
Posted by Ivolatility | View more articles by Ivolatility
