Trade thesis - theta collection - current IV rank and percentile are at historical highs aggregating past 252 trading days
IV rank: 95%
IV %: 99%
- near delta neutral options strangle position of 195c/85p on Feb 17 monthly expiry - 85p short leg represent a -32% price buffer to the downside - 195c forms a nearly delta neutral trade on call side (+.02 delta) - 56 DTE / ideal duration to sell premium
Position - entry: $123.95 - strategy: strangle - structure:
Targets - Profit target: $250 total profit (50% of credit collected) - SL target: -50% loss - management strategy:
roll unchallenged side to higher delta to maintain at least .10 delta on each side
roll unchallenged side to higher delta (5 strikes) to collect additional credit (10% minimum of roll width)
exit position before earnings on 01/25/23
Trade active
⋅
Trade management (1) - rolled call side down from 195c to 175c as the strangle became too delta positive and not enough premium was left on the call leg - resulting delta change: 195c (.08 delta) to 175c (.14 delta) - filled @ 1.00 credit - wasn't able to stick to 10% minimum roll width rule due to the skew favoring put side currently on the underlying - went more aggressive on the call side to account for the put skew
Targets - Profit target: $300 profit (50% of total credits collected) - SL target: -50% loss
Trade active
⋅
Trade management (2) - rolled call side down once more 175c to 155c to rebalance the strangle position - resulting delta change: 175c (.07 delta) to 155c (.14 delta) - filled @ 1.00 credit