OPENING: XOP FEB/MARCH 26/31/31/36 DOUBLE DIAGONAL

... for a 1.92 per contract credit.

Metrics:

Max Loss on Setup: $308
Max Profit on Setup: $192
Delta: .98
Theta: 2.50

Notes: Another double diagonal, this time in the routinely high implied volatility XOP (currently 35.5%), a la the EEM double diagonal I put on earlier in the trading session. (See Post Below). I've gone shorter duration in the back month than usual in order to pay a bit less for the longs and on the notion that I will, in all likelihood, be adjusting/recentering the long strangle aspect at some point anyhow (oil, after all, can move).

Trade active:

Taking some quick profit on the short straddle aspect as price traverses 31 by rolling out to March as is for an .88/contract credit; scratch at 2.80. At the moment, I will leave the long strangle aspect alone, but look for a side approaching worthless to roll in/bring in risk if I can do it cheaply.

Trade active:

Rolled the 36 long call down to the 35 for a .06/contract debit (call side risk reduction). Scratch at 2.86. It'll also be easier to roll the long strangle out as a unit if one side isn't no bid ... .

Comment:

Correction: Scratch at 2.74.

Trade active:

Rolled the 35 long call down to the 34 for a .04/contract debit, reducing call side risk. Scratch at 2.82. Waiting for May to open up to roll the long strangle aspect out in time so that I'll have another skip month to play with. Alternatively, I'll look at rolling out to June, assuming that I can do it for a credit and that the width of the wings doesn't exceed BP effect over straight naked ... .

Trade active:

I considered rolling out the long strangle aspect to April for a small credit, but I'd have to widen to the extent that it would be less BP intensive were I to just "go naked" on margin (you'll still get relief if you're working in a cash secured environment if you maintain the long strangle), so: covering the long strangle for a .19/contract credit and rolling out the 31 short strangle at 17% max to April for a .75/contract credit. Scratch at 2.70 + .18 + .78 = 3.66. (Previous scratch point should have been 2.70 (credit) minus .04 (debit)).

Trade active:

That last roll was to the 30 strike, since I rolled today from the April 30 short straddle to the May 30 short straddle for a realized gain and a .65/contract credit; scratch at 4.31 versus straddle value of 3.61 (i.e., I'm up .70/contract currently). Will update this/continue in a new post.