Daily Options Report

So who "won" 2009? Probably Brazil. Aside from winning the 2016 Olympics, they saw their market soar over 120% this year, as per Morningstar. (hat tip Abnormal)

And fortunately, we can play along right here at home (sort of) with EWZ.

Like pretty much everything, we have rather mediocre options volatility. Here's a look at 30 day IV over the past half year.

Seems cheap, right? I mean you pay a mid 30's volatility vs. a stock that's moved at a 44 volatility over the last 30 trading days.

One problem though, that HV reading is not a good reflection, it's pumped up by a few big range days in late October. Here's the nosier 10 Day HV over the past 6 month's.

It's safe to say that EWZ moves more like a mid 20's volatility clip, so 35 options volatility is modestly overpriced by a similar magnitude to pretty much everywhere else. It's at one of those no man's lands where it's low enough to not exactly feel like a raging sale, yet high relative the movement of the underlying.

If you want to play here, I'd suggest strategies that don't bet big on options volatility. Say you're bullish, I'd look at shorting put spreads. With the stock closing at $78.82 on Tuesday, the December 78-73 put spread closed $1.30 offer to offer. That's not all the money in the world, but consider that you can only lose $3.70 if it maxes out and closes $73 or lower.

Conversely, if you're bearish, the Dec. 79-84 call spread closed at $1.80 offer to offer. Why so much higher? Well, we're modestly closer to $79 than $78, and most options see a skew in their pricing such that OTM calls (the one's you're buying here) trade "cheaper" than ATM's.

Or alternatively to all this, what if you sell both sides (the Iron Condor). It's a bet against volatility over time. You take in roughly $3.10, so you'll win if you do nothing and it expires anywhere above $74.90 or below $82.10. The max loss is $1.90 as the combo can only go up to 5. Perhaps something along these lines is the best play of all as EWZ has moved up and back within a $5 point range ($74 to $79) for 3 weeks now.

Another flattish volatility idea is a collar. I have a kind of backwards one on wherein I'm long ATM calls, short OTM puts, and short stock on a ratio. My thinking is that EWZ sits at new highs here, if it breaks out above I have some extra calls working for me, if not, I have some short gamma and positive theta into the congestion area.