With another earnings season upon us and with quality volatility contraction earnings plays a scant ten days to two weeks out, I'm hand sitting here.

After all, with things like NFLX ( earnings in 8), AMD (11), and X (16) dangling out there, slightly out of reach for an ideal contraction play, putting on stuff with less than ideal metrics 45 days until expiration doesn't necessarily make a lot of sense unless you have absolutely nothing on here or want to keep a modest pile of longer-term theta on and burning in core index exchange-traded fund positions like SPY , IWM , and QQQ .

SPY isn't quite offering 1.00 for a 20 delta three-wide in the expiration nearest 45 days (the May 26th 223/226/241.5/244.5), offering .90/contract at the mid. A similar setup in IWM yields .85 -- the May 26th 125/128/142/145.* These aren't spot-on ideal, but they beat a poke in the eye with a sharp stick, which is pretty much what premium sellers in these instruments have been experiencing the last several weeks.

VIX: It's up a bit, but the front month VIX future term structure remains awfully shallow here, with the November expiry settling sub-17, making <90 days until expiration short call verticals where I like them unproductive.

* -- Naturally, going full-on short straddle will be more productive in these from a pure dollar and cents standpoint.
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