Skewed Strangle on UVXY
UVXY Implied is still very high so I decided to sell some premium.
I sold the 12/8 Strangle for $2.60.
What can go wrong? If UVXY rises over 35% in the next 42 days I will get assigned 100 Shorts per contract. I don't mind being short since that would just be an addition to my already core shorts (Part of the plan).
Getting long is another ballgame, and one I don't like that much (So I skewed the Strangle to the downside). But for this to happen First UVXY would have to drop over 48% in the next 42 days. If that happens I will be pretty happy making a killing in the rest of my Shorts. On this one, I would take the assignment at the $8 price with a cost basis of effectively $5.40. That is a pretty low price (Most likely would have reverse split by then) and I am sure I can Sell some Calls after to get out of the trade on top.
Short 12 CAll
Short 8 PUT
Credit received $2.60
Probability of profit is 63%
The Volatility curve is in full Backwardation so I bought /VX futures to hedge. I bought 1 /VX future for every 100 shares of UVXY.