AA (implied volatility rank 73/implied volatility 48) announces earnings on Monday after market close, so look to put on a play before the end of the session to take advantage of the post-announcement volatility crush.
Metrics:
Max Profit: $210/contract
Max Loss/Buying Power Effect: $190/contract
Break Evens: 29.90/34.10
Theta: 4.96
Delta: 3.51
Notes: This is a preliminary setup that may require some tweaking once NY opens. As with all short straddles/iron flies, I would look to manage this at 25% max profit.
Currently, the setup is bid 1.75/mid 2.10/ask 2.45, which is not exactly "tight." Personally, I will look for a fill at or slightly above the mid price. The fly's an 8-wide, so I would have to get 1/4th the width of the wings out of it to make it worthwhile anyhow (i.e., >2.00).
Metrics:
Max Profit: $210/contract
Max Loss/Buying Power Effect: $190/contract
Break Evens: 29.90/34.10
Theta: 4.96
Delta: 3.51
Notes: This is a preliminary setup that may require some tweaking once NY opens. As with all short straddles/iron flies, I would look to manage this at 25% max profit.
Currently, the setup is bid 1.75/mid 2.10/ask 2.45, which is not exactly "tight." Personally, I will look for a fill at or slightly above the mid price. The fly's an 8-wide, so I would have to get 1/4th the width of the wings out of it to make it worthwhile anyhow (i.e., >2.00).
Comment:
No fill on this one and wasn't going to chase. The beat-down of the VIX permeated the entire market in any event, making this almost immediately less attractive at open.