Ordinarily, when a play won't yield at least a 1.00 credit for a 1 standard deviation short strangle or iron condor setup, I just pass it over. It is, after all, season, and there's going to be plenty to play. Nevertheless, I looked at various setups with CREE as possible alternatives to my standard setups one of which involves narrowing the width of a short strangle to the range of the expected move for the expiration. Naturally, this decreases the probability of profit percentage (while increasing the potential max profit), but this is what I came up with as a potential play:
Jan 29th 22/26 short strangle
Probability of Profit %: 61%
Max Profit: $105/contract
Buying Power Effect: ~$297
Break Evens: 20.95/27.05
When I do these somewhat "goofy" setups that are tighter than usual, I ordinarily look at the chart to see if those ranges (the strike prices and the break evens) make any objective sense in light of recent historical price action . On the chart shown here, I've marked the strike prices in red and the break evens in green. You can kind of see that the ranges do, in fact, make a little sense, at least with the price action that has existed since July or so.
If anything, though, these ranges suggest that I could possibly skew the setup a touch to the side by a strike or two, something I'll play on market open ... .