iPath Series B S&P 500 VIX Short-Term Futures ETNArca
Description
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I've dicked around long enough waiting to put something on at or near VIX lows, and I like this particular setup here, although I obviously didn't catch things at VIX lows.
Metrics:
Max Profit: Undefined/Infinite Max Loss: 3.03 ($303) Break Even: 17.51 versus 17.57 spot Delta: 98.9 Theta: -.83
Notes: With the classic "Zebra", you're looking for a setup in which the short option "pays for" all of the extrinsic in the longs, resulting in a break even at or below where the underlying is currently trading. Given the delta metric, you're basically in synthetic long stock. The max profit is "theoretically infinite," with the long call vertical aspect of the setup converging on max at >18 and the additional long call converging on an instrinsic value where the underlying is trading.
Naturally, a monstrous pop would be nice, but will probably money, take, run at the earliest opportunity. From a trade management standpoint, this is basically "unmanaged" -- i.e., it works or it doesn't ... .
Trade closed manually
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Money, take, run ... on this pop. Covering for 4.43; 1.40 ($140 profit)/setup.
Money, take, run ... on this pop !
.LMAO
learning that , is profit taking , is golden !!!
[ if still greedy , leave 1/4 of trade open , WITH trailing stop !!! ]
Tom1trader
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Looks good, > twice the delta and < half the Theta compared to an ATM long Put with immediate response to movement - 2 ATM Puts gives similar Delta with a little less risk but you lose on break even and big time on negative Theta at more than 4 times. Seems like the bull direction especially good on VXX VIX UVXY with the IV generally rising with price boosting premiums more than intrinsic/delta alone would? IV aside I will have to compare this Zebra to a long ATM option that is one of my bread and butter plays on price pattern - on low IV percentile smaller price underlying (smaller account BPR reduction and max risk/trade considerations) especially this looks more sensible.
Tom1trader
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@Tom1trader, Oops adding 1. I do some premium selling too in classic Tastytradt style but with smaller account have to pay attention to other edges as well. Main reason for this addition is 2. Thanks again for sharing so many of your trades and valuable tidbits as you do here and Keep Smiling!
NaughtyPines
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@Tom1trader, I do like skinning the cat in various ways without putting too much BP out there. :-)
.LMAO
learning that , is profit taking , is golden !!!
[ if still greedy , leave 1/4 of trade open , WITH trailing stop !!! ]