With Friday seeing a pop in QQQ implied volatility (six month implied volatility rank at 100; background implied at 19%), I'm looking to add in a touch of broad index core position here in the Q's, having just exited all my June setups. I have depicted the neutral assumption, defined risk July 21st 131/134/2 x 145/2 x 146 iron condor here (probability of profit: 52%; max profit: .91; max loss/buying power effect: 2.09; break evens at 133.09/145.46; theta: 1.12; delta: -2.32).
Some other variations:
UNDEFINED RISK/NEUTRAL ASSUMPTION
July 21st 132/146 short strangle
Probability of Profit: 68%
Max Profit: 1.67/contract
Break Evens: 130.33 (below 1 standard deviation)/147.67 (between expected and 1 standard deviation)
Theta: 5.29
Delta: .87
UNDEFINED/NEUTRAL TO BULLISH ASSUMPTION/NO UPSIDE RISK
July 21st 134/145/146 Jade Lizard
Probability of Profit: 82%
Max Profit: 1.60/contract
Break Even: 132.40 (between 1 standard and expected)
Theta: 3.94
Delta: 19.37
Unless you've been totally living under a rock, you'll know that oil's been "getting frisky." Oil's getting frisky means that underlyings like OIH, XOP, and XLE are getting frisky, too. Every time I've looked at getting into a bullish XOP or XLE setup, however, oil has dropped lower, so I've held off. While you can naturally just short put or short put vertical XOP or XLE, I'm inclined to do something that I can work for at least a couple of cycles* and that it is also defined risk. Enter the net credit put diagonal:
XOP July 21st 31 short put/Sept 15th 28 long put net credit diagonal
Buying Power Effect: 2.88
Theta: .72
Delta: 12.69
Most diagonals you pay a debit to put on, a proposition that I'm generally not fond of. Price can rip away from the setup; both options can go to zero; and you're left holding the bag, having paid what your max loss will be on the setup up front. Here, though, I'm looking to get a credit for the short put that slightly exceeds the cost of the long put (by a whopping .12), so I'll be able to avoid the aforementioned bag holding if the price of oil rips away from the setup during its lifetime. Unfortunately, as a "calendarized credit spread" (which is the way I generally work these), there aren't a good deal of metrics to look at, since max profit will depend on how much credit you collect through rolling of the short put, which can in turn depend on how price moves toward and away from the setup and/or implied volatility expands/contracts.
Some other variations:
UNDEFINED RISK/NEUTRAL ASSUMPTION
July 21st 132/146 short strangle
Probability of Profit: 68%
Max Profit: 1.67/contract
Break Evens: 130.33 (below 1 standard deviation)/147.67 (between expected and 1 standard deviation)
Theta: 5.29
Delta: .87
UNDEFINED/NEUTRAL TO BULLISH ASSUMPTION/NO UPSIDE RISK
July 21st 134/145/146 Jade Lizard
Probability of Profit: 82%
Max Profit: 1.60/contract
Break Even: 132.40 (between 1 standard and expected)
Theta: 3.94
Delta: 19.37
Unless you've been totally living under a rock, you'll know that oil's been "getting frisky." Oil's getting frisky means that underlyings like OIH, XOP, and XLE are getting frisky, too. Every time I've looked at getting into a bullish XOP or XLE setup, however, oil has dropped lower, so I've held off. While you can naturally just short put or short put vertical XOP or XLE, I'm inclined to do something that I can work for at least a couple of cycles* and that it is also defined risk. Enter the net credit put diagonal:
XOP July 21st 31 short put/Sept 15th 28 long put net credit diagonal
Buying Power Effect: 2.88
Theta: .72
Delta: 12.69
Most diagonals you pay a debit to put on, a proposition that I'm generally not fond of. Price can rip away from the setup; both options can go to zero; and you're left holding the bag, having paid what your max loss will be on the setup up front. Here, though, I'm looking to get a credit for the short put that slightly exceeds the cost of the long put (by a whopping .12), so I'll be able to avoid the aforementioned bag holding if the price of oil rips away from the setup during its lifetime. Unfortunately, as a "calendarized credit spread" (which is the way I generally work these), there aren't a good deal of metrics to look at, since max profit will depend on how much credit you collect through rolling of the short put, which can in turn depend on how price moves toward and away from the setup and/or implied volatility expands/contracts.