NaughtyPines
Long

OPENING: X MAY 17TH 19 SHORT PUT

NYSE:X   UNITED STATES STEEL CORP
... for a .49/contract credit.

Metrics:

Max Profit: $49
Buying Power Effect: ~$202/contract
Break Even/Cost Basis If Assigned: $18.51/share
Delta: 15.96
Theta: .74

Notes: Here, I'm just looking to deploy some buying power in one of the few underlyings with fairly decent implied volatility (42.4%) at a high probability of profit strike (the 16). I'm fine with taking on shares, but only want to do that at a discount over current price -- the 18.51/share cost basis represents a 20.4% discount over where it's currently trading. Will look to roll out as is at 50% max as long as that remains productive.
Comment: In addition to looking to roll out at 50% max, I also want to take advantage of any volatility pops to roll (for example, around earnings); I'll get more premium and therefore cost basis reduction that way than merely rolling will nilly without regard to implied volatility (which is currently at 42.4%).
Trade active: Adding in a delta cutter -- a May 17th 21 short call for a .95/contract credit. Scratch at 1.44/contract or a cost basis of 17.56 if assigned on the 19 shortie.
Trade active: Transforming the trade into a short straddle by rolling up the 19 short put to the 21 for an .84/contract credit; scratch at 2.28/contract. The one thing that drives me slightly nuts about short puts is the inability to delta balance as you would with an oppositional setup ... .
Trade active: Rolling the May 21 short straddle out to July with the short call aspect at >50% max for a .80/contract credit. Scratch at 3.08/contract w/break evens at 17.92/24.08.
Trade active: Inverting defensively as this continues to implode ... . Rolling the 21 short call down to the 19 for a .38/contract credit. Scratch at 3.38, with a cost basis of 17.62 if assigned on the 21 short put (versus 16.69 spot). The preference is to not take on shares until your cost basis is below spot, since at that point your deltas become static, and you can't bring in any extrinsic on the put side.
Comment: Correction: Scratch at 3.46 with a cost basis of 17.54 ... .
Trade active: Post mopex cost basis reduction roll out as is out to Oct for an .81 per contract credit; scratch at 4.27. I not only wanted to cut delta running into earnings, but also increase total credits collected so that I can invert more if necessary (which looks like it will be, if today's price action is any indication). Will look to roll just the short call down intraexpiry at 50% max for the next few cycles.
Trade active: Finally, some relief from the relentless sell-off. With this up move, I'm rolling out here instead of waiting until post-opex (May 17th) to Nov as is (19C/21P inverted short strangle) for a .34/contract credit with scratch at 4.61/cost basis of 16.39 versus 16.88 spot if assigned on the 21 short put. This locks in the gains made today on the position, as well as having the effect of flattening the net delta (now at 26) so that if this downward spiral isn't over, I have a little less long delta in the position.
Trade active: Rolling out at short call 50 max to the Jan 3-wide inverted 21P/18C for a .57/contract credit; scratch at 5.18/contract and a cost basis of 15.82 if assigned on the 21 shorties ... .
Nice!
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