The week will come in with a whimper — a shortened trading day on Monday and no trading on Tuesday — and go out with a bang — the monthly jobs report and the Federal Reserve’s semiannual monetary policy report to Congress.
The occasion for the slow start is the Independence Day holiday in the United States. On Monday stock markets will close early, at 1 p.m. New York time and on Tuesday they will be shuttered, with normal hours resuming on Wednesday.
Monday will be punctuated by the Institute of Supply Management manufacturing survey at 10 a.m.
The employment situation numbers will be published on Friday at 8:30 a.m. A preview of the numbers will be provided with the private-sector ADP employment report on Thursday at 8:15 a.m.
The Fed’s release of the monetary policy report to Congress on Friday marks a break with the usual practice, which is to time the release to Fed Chair Janet Yellen’s testimony before congressional committees. Instead, the release is coming five days before she testifies.
The Fed said it altered the schedule to allow Congress and the public time to review the report ahead of her testimony. Does the switch signal something out of the ordinary in the report, requiring additional review? The Fed isn’t saying.
Technology Select Sector SPDR Fund (XLK)
Update 7/17/2017: XLK began rising a few days after I entered the position, moving beyond the zone of profitability. I exited for a loss as options expiration approached.
Shares rose by 3.4% over 17 days, or a +73% annual rate. The options position produced a -23.9% loss on debit for a -514% annual rate.
XLK has sufficiently high implied volatility to qualify as a short-term direction neutral trade.
I shall use options that trade for the last time 21 days hence, on July 21.
Implied volatility stands at 17%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.
XLK’s IV stands in the 62nd percentile of its annual range and the 90th percentile of its most recent broad movement.
Nike Inc. (sym)
Update 7/3/2017: NKE closed up $5 from the day before after earnings were published and remained high in that range the day after. I exited for a loss during expiration week.
Shares rose 10% over four days, or a +911% annual rate. The options position produced a 46.0% loss on debit for a -4,201% annual rate.
NKE publishes earnings on Thursday after the closing bell.
I shall use options that trade for the last time eight days hence, on July 7.
Implied volatility stands at 29%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.
NKE’s IV stands in the 63rd percentile of its annual range and at the peak of its most recent broad movement.
Micron Technology Inc. (MU)
Update 6/30/2017: MU fell sharply after earnings were published. I exited for a profit at 41.8% of maximum potential profit.
Shares rose by 1.6% over my one-day holding period, or a +567% annual rate. The options position produced a 71.7% yield on debit for a +26,173% annual rae.
MU publishes earnings on Thursday after the closing bell.
I shall use options that trade for the last time eight days hence, on July 7.
Implied volatility stands at 31%, which is 5.3 times the VIX, a measure of the volatility of the S&P 500 index.
MU’s IV stands in the peak of both its annual range and its most recent broad movement.
Walgreens Boots Alliance Inc. (WBA)
Update 6/29/2017: WBA gapped sharply upward after earnings were published and quickly dropped back close to the prior day’s final price. I exited a bit shy of my target price, judging that I now had more to lose than to win by waiting.
Shares showed a net rise of 1.2% from my entry to exit, about a day,, for a +419% annual rate. The options position produced a 21.1% yield on debit for a +7,702% annual rate.
WBA publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time nine days hence, on July 7.
Implied volatility stands at 27%, which is 2.7 times the VIX, a measure of the volatility of the S&P 500 index.
WBA’s IV stands in the 78th percentile of its annual range and the 91st percentile of its most recent broad movement.
Constellation Brands Inc. (STZ)
Update 7/17/2017: STZ rose sharply after earnings were published. With no return to profitability in sight, I exited for a loss as the options entered their week of expiration.
Shares rose by 7.6% over 19 days, or a +146% annual rate. The options position produced a 22.6% loss on debit for a -435% annual rate.
STZ publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time 23 days hence, on July 21.
Implied volatility stands at 29%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.
STZ’s IV stands in the 75th percentile of its annual range and the 94th percentile of its most recent broad movement.
Conagra Brands Inc. (CAG)
CAG publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time 23 days hence, on July 21.
Implied volatility stands at 29%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.
CAG’s IV stands in the 27th percentile of its annual range and at the peak of its most recent broad movement.
Tim Bovee, Private Trader 
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