With July VIX options at 51 days until expiry, it's time again for a monthly VIX iron fly:
VIX July 21st 10/13/13/16 Iron Fly
Metrics:
Max Profit: 2.00 at the mid POP: <1% Max Loss/Buying Power Effect: 1.00 Break Evens: 11/15
Notes: This setup involves looking at the /VX futures monthly expiry nearest to 45 days until expiration. That is currently trading at 12.92, so that is where the body of your setup in VIX goes. On setup, the POP% is abysmal, but the trade operates on the assumption that (a) VIX spot will run up into the /VX futures price as expiry approaches; and (b) price will finish between 11 and 15. Look to manage at 25% max. Be patient. These often come in at the very least (and I mean very last) moment.
P
With high implied volatility rank and high implied volatility and earnings in the rear view mirror, this one's ripe ... .
Undefined Risk/Neutral Assumption
July 21st 9 short straddle POP%: 60% 2.22 at the mid Max Loss/Buying Power Effect: Undefined BE's: 6.78/11.22 (Outside the expected move)
Defined Risk/Neutral Assumption
July 21st 6/9/9/12 iron fly POP%: 53% Max Profit: 1.91 at the mid Max Loss/Buying Power Effect: 1.09 BE's: 7.09/10.91 (Between 1 SD and expected move on low side; slightly short of expected move on high side)
Notes: Look to manage these at 25% max.
EWZ
The Brazilian exchange-traded fund still has some juice left in it after tumbling last week on political turmoil.
Undefined Risk/Neutral Assumption
July 21st 31.5/39.5 short strangle POP%: 67% Max Profit: 1.26 at the mid Max Loss/Buying Power Effect: Undefined BE's: 30.24/40.76 (Near the 1 SD for both sides)
Undefined Risk/No Upside Risk
July 21st 32/39/40 Jade Lizard POP%: 82% Max Profit: 1.08 at the mid Max Loss/Buying Power Effect: Undefined BE: 30.92 (Between 1 SD and expected move).
Defined Risk/Neutral Assumption:
July 21st 28/31.5/39/42.5 iron condor POP%: 62% Max Profit: .93 at the mid Max Loss/Buying Power Effect: 2.57 BE's: 30.57/39.93 (Lower near 1 SD; higher between expected move and 1 SD).
Notes: Look to manage all of the EWZ setups at 50% max.