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    Cheap Calls, Puts and Earnings Plays for this week

    Cheap Calls

    These call options offer the lowest ratio of Call Pricing (IV) relative to historical volatility (HV). These options are priced expecting the underlying to move up significantly less than it has moved up in the past. Buy these calls.

    Stock/C/P % Change Direction Put $ Call $ Put Premium Call Premium E.R. Beta Efficiency
    THC/165/160 -2.55% 6.89 $1.3 $2.35 0.46 0.34 36 1.42 59.5
    BURL/282.5/277.5 0.34% 64.55 $2.92 $2.98 0.36 0.39 74 1.21 62.7
    MCK/530/520 -1.87% 50.53 $3.02 $3.12 0.48 0.57 46 0.16 55.9
    DKS/220/215 -2.24% 33.25 $2.62 $2.3 0.7 0.57 67 1.07 74.6
    ROST/157.5/155 0.52% 36.95 $1.05 $0.85 0.66 0.66 60 0.76 78.7
    SNV/45/44 -1.14% 10.67 $0.62 $0.5 1.05 0.71 32 1.15 78.0
    MMM/136/134 -0.98% 42.3 $1.14 $0.83 0.73 0.73 38 0.81 70.6

    Cheap Puts

    These put options offer the lowest ratio of Put Pricing (IV) relative to historical volatility (HV). These options are priced expecting the underlying to move down significantly less than it has moved down in the past. Buy these puts.

    Stock/C/P % Change Direction Put $ Call $ Put Premium Call Premium E.R. Beta Efficiency
    BURL/282.5/277.5 0.34% 64.55 $2.92 $2.98 0.36 0.39 74 1.21 62.7
    THC/165/160 -2.55% 6.89 $1.3 $2.35 0.46 0.34 36 1.42 59.5
    MCK/530/520 -1.87% 50.53 $3.02 $3.12 0.48 0.57 46 0.16 55.9
    PDD/95/94 -0.36% 38.68 $1.23 $1.57 0.62 0.81 71 0.73 89.5
    ROST/157.5/155 0.52% 36.95 $1.05 $0.85 0.66 0.66 60 0.76 78.7
    SBUX/99/98 -0.12% 45.98 $1.86 $0.48 0.68 0.86 44 0.57 82.9
    DKS/220/215 -2.24% 33.25 $2.62 $2.3 0.7 0.57 67 1.07 74.6

    Upcoming Earnings

    These stocks have earnings comning up and their premiums are usuallly elevated as a result. These are high risk high reward option plays where you can buy (long options) or sell (short options) the expected move.

    Stock/C/P % Change Direction Put $ Call $ Put Premium Call Premium E.R. Beta Efficiency
    FDX/297.5/290 0.42% 34.03 $9.7 $8.1 3.34 3.42 3 0.68 93.7
    LEN/190/185 -1.32% 49.31 $5.65 $3.7 2.41 2.41 3 1.2 90.2
    MU/87.5/86 -4.32% -4.19 $1.75 $2.25 1.23 1.35 9 1.83 90.9
    KMX/82.5/80 -2.06% 52.55 $1.45 $0.52 1.04 1.07 10 1.19 65.8
    COST/925/915 0.66% 40.47 $8.75 $6.38 1.33 1.5 10 0.86 78.1
    ACN/357.5/352.5 0.43% 8.9 $2.52 $1.88 0.89 0.75 10 0.73 65.1
    NKE/80/79 -0.9% 26.47 $0.59 $0.92 0.87 0.94 15 0.73 92.2

    • Historical Move v Implied Move: We determine the historical volatility (log variance of daily gains) of the underlying asset and compare that to the current implied volatitlity (IV) of the option price. This is used to determine the Call or Put Premium associated with the pricing of options (implied volatility).

    • Directional Bias: Ranges from negative (bearish) to positive (bullish) and accounts for RSI, price trend, moving averages, and put/call skew over the past 6 weeks.

    • Priced Move: given the current option prices, how much in dollar amounts will the underlying have to move to make the call/put break even. This is how much vol the option is pricing in. The expected move.

    • Expiration: 2024-09-20.

    • Call/Put Premium: How much extra you are paying for the implied move relative to the historic move. Low numbers mean options are "cheaper." High numbers mean options are "expensive."

    • Efficiency: This factor represents the bid/ask spreads and the depth of the order book relative to the price of the option. It represents how much traders will pay in slippage with a round trip trade. Lower numbers are less efficient than higher numbers.

    • E.R.: Days unitl the next Earnings Release. This feature is still in beta as we work on a more complete list of earnings dates.

    • Why isn't my stock on this list? It doesn't have "weeklies", the underlying is "too cheap", or the options markets are too illiquid (open interest) to qualify for this strategy. 480 underlyings are used in this report and only the top results end up passing the criteria for each filter.

    Cheap Calls, Puts and Earnings Plays for this week
    byu/intraalpha inoptions



    Posted by intraalpha

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    3 Comments

    1. radargunbullets on

      Alright – I have asked questions over the last few weeks as I am trying to understand the process… and am going to keep them coming until you tell me to go away

      THC – I am seeing it as a monthly. Does your scan include monthlies during this week? I think it makes sense since they are coming up, but was curious due to it being mentioned under the “why isn’t my stock on the list”

      I started trying to create my own scan on Fidelity and realized that I can only get 100 results. You mention looking at 480 underlying. I haven’t looked at tools outside of Fidelity – which do you use? If anyone else is seeing this and knows how to up the rows on Fidelity, I would like to know if its possible

    2. jaypesh on

      Thank you for making this list. I see these posts pop up in my feed but I’ve always been hesitant to make a play. I’m curious how many positions you take weekly for earnings plays?

    3. caarlisle22 on

      Is it okay to put in orders mid day? For example I’m looking at THC but call price is up to $3.50. First time trading options btw

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