NaughtyPines

OPENING: XLF June/Sept 24/27/28/31 Double Net Credit Diagonal

AMEX:XLF   SELECT SECTOR SPDR TRUST AMEX FINANCIAL SELECT INDEX
... for a .58/contract credit.

Basically, this is a calendarized iron condor or iron fly, where you roll just the short strangle/short straddle body of the setup for cost basis reduction, while keeping the long strangle aspect in place for purposes of defining the risk ... . Take profit is somewhat subjective, but I start to look to bail on the trade at >20% of the width of the wings.

With short straddle "bodies," I tend to roll when the short straddle body has reached 25% max; with short strangle bodies, 50%. This is a fairly tight short strangle, so will treat it as a short straddle for purposes of rolling.
Trade active: Rolling the tight 27/28 short strangle out from June to July as is at >25% max for a .35/contract credit. Scratch at .93.
Trade active: Rolling just the July 28 short call down to the 27 strike for a .42/contract credit; scratch at 1.35, resulting in a 27 short straddle body.
Trade active: Rolling the July 27 short straddle aspect to Sept for a .24/contract credit (delta balancing). Scratch at 1.59. Although this is rolled out far in time, I'll look to take off the short straddle aspect at 25% max and then resell an ATM short straddle closer in time and reuse the long strangle aspect.
Trade active: Covering the Sept short straddle for a small profit, 2.15/contract debit, in order to sell something closer in time with speedier theta decay. Selling the July 28 short straddle for 1.44/contract credit. Scratch at 1.59 - 2.15 + 1.44 = .88.
Trade active: Rolling the July 20th 28 straddle out to Aug for a realized gain and a .30/contract credit. Scratch at 1.29.
Trade active: Oy vey ... . Rolling the Aug 17th 28 short straddle out to Sept for a .27/contract credit, which shortens the length of the delta a smidge. Basically, the setup's now a short call covered synthetic covered call with the short put at the 79 delta, the short call at the 26 ... . Scratch at 1.56. I'll continue to work the setup as a 70/30 straddle if I can't exit it profitably by Sept.
Trade closed manually: Covering the short straddle aspect here for a .92/contract debit, resulting in a .64/contract profit. Both sides of the long strangle are no bid; I'll just leave them on to expire worthless or as "lotto tickets" ... .
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