Of 482 large-cap stocks and exchange-traded funds in my analytical universe, three had implied volatility at the 50th percentile or higher of the their annual ranges. Five more had volatility in the 40th up to just below the 50th percentile and so were within reach of meeting my criteria for further consideration.
There are no prospects for trades coinciding with earnings announcements.
I shall do further analysis on Wednesday, June 1.
The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.
by Robert J. Gordon