Max Profit: 134/contract Max Loss: 266/contract Break Evens: 172.66/188.67 Delta: -5.37 Theta: 1.83
Notes: A slight variation on a delta-based setup to accommodate skew. Instead of selling equally valued delta on both the put and call sides, I'm selling strikes that are equidistant from current price, but doubling up a narrower call side spread. The risk of the setup is attributable to the widest wing, so the call side risk is 2 x a 2-wide (minus the credit received) or 4.00 minus the credit received -- the same as that of the put side (a 4-wide or 4.00 minus the credit received). Going out the standard 45 days until expiration, collecting one-third the width of the widest wing, and looking to manage at 50% max.
Trade active
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Rolling the call side down intraexpiry a smidge to the 185/187 for a realized gain on the call side and a .23 credit (.46 in total per setup since it's a two-legger) (delta balancing). Scratch at 1.80.
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Rolling the put side up to the 30 delta 176/180 for a .36/contract credit; scratch at 2.16; net delta still slightly bearish.
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Ay-yay-yay. Rolling the put side up to the 179/183 for a .27/contract credit; scratch at 2.43.
Trade closed manually
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Out here for 2.58/contract, a .15/contract loser. I'll take it, since I fiddled with the setup far too much.
Thanks! Really like your options posts. A rarity on this forex/crypto dominated venue!
NaughtyPines
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@FiberStage, You're welcome. Previously, the front page wasn't dominated by crypto, but I guess that's what's "sexy" these days. Lol.
FiberStage
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@NaughtyPines, I have a pretty big bag of crypto but options are the short term sexy for me.
NaughtyPines
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@FiberStage, I was hoping that something would come of the crypto futures volume wise and that roll out of futs options would soon follow so that I could take advantage of crypto volatility. The futures kind of turned out to be a big nothing burger (at least so far).
FiberStage
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@NaughtyPines, HAHA! Yes! My eyes literally turn to dollar signs thinking about being able to trade IV that way with crypto. Especially if you've been in the space for a while and know what stupid things set the market off and understand some of its cycles. Hopefully the ETF comes soon and an options market on its heels.