ironfly

VIX: VIX IronFly for a neutral bet on volatility
111 0 12
VIX, D
VIX IronFly for a neutral bet on volatility

After a a little upside on the VIX we got another fast contraction in volatility. Got the idea from the guys at tastytrade and I liked the trade. This is a neutral bet on the VIX and we make money if it stays between 15.50 and 11.50. Sold the 13.5 Straddle and bought the 17 Call and 10 Put wings to make an Iron fly for a $2 credit per contract and reducing our ...

NaughtyPines NaughtyPines X, D,
X: OPENING: X MAY 5TH 27/31/31/35 IRON FLY
75 6 6
X, D
OPENING: X MAY 5TH 27/31/31/35 IRON FLY

... for a 2.23 credit. Metrics: Max Profit: $223/contract Max Loss/Buying Power Effect: $177 BE's: 28.77/33.23 Theta: 6.1 Delta: -1.06 Notes: Earnings announcement today after market close. Will look to manage at 25% max.

NaughtyPines NaughtyPines AA, D,
AA: TRADE IDEA: AA MAY 5TH 28/32/32/36 IRON FLY
38 0 5
AA, D
TRADE IDEA: AA MAY 5TH 28/32/32/36 IRON FLY

AA (implied volatility rank 73/implied volatility 48) announces earnings on Monday after market close, so look to put on a play before the end of the session to take advantage of the post-announcement volatility crush. Metrics: Max Profit: $210/contract Max Loss/Buying Power Effect: $190/contract Break Evens: 29.90/34.10 Theta: 4.96 Delta: 3.51 Notes: This is a ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JUNE 21ST 10/15/15/20 IRON FLY
18 0 4
VIX, D
OPENING: VIX JUNE 21ST 10/15/15/20 IRON FLY

... for a 3.00 credit. I'm not seeing much else in the markets that meet my refined sense of pickiness, so putting on some VIX fly here using the June VIX futures price (14.73 at the time of this writing) to tell me where to sell the short straddle body of this setup. Metrics: Max Profit: $300/contract Max Loss: $200/contract Break Evens: 12.0/18.0 Theta: ...

NaughtyPines NaughtyPines EWZ, D,
EWZ: TRADE IDEA: EWZ MAY 19TH 32/37/37/41 DYNAMIC IRON FLY
27 0 5
EWZ, D
TRADE IDEA: EWZ MAY 19TH 32/37/37/41 DYNAMIC IRON FLY

With a six-month implied volatility percentile of 76 and a background implied volatility of 37, throwing a touch of "Brazilian" on here ... . Metrics: Max Profit: $247/contract Max Loss: $253/contract Break Evens: 34.53/39.47 Theta: 1.77 Delta: -.29 Notes: Will look to manage this at 25% max ... .

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX MAY 17TH 11/14/14/17 IRON FLY
34 0 5
VIX, D
OPENING: VIX MAY 17TH 11/14/14/17 IRON FLY

... for a 2.05 credit. This particular setup involves examining where the /VX futures price lies in the corresponding expiry to that of the VIX. Here, the May /VX price is closest to the VIX 14 strike, so that is where the body of the fly is set up. You then proceed to buy a .05 long put in the same expiry, and buy the long so that the wings are of equal ...

Benji Benji PRO XLE, D,
XLE: XLE Iron Fly
23 0 6
XLE, D
XLE Iron Fly

Trade Setup: -1 XLE Apr 21 65/69.5/69.5/74 Iron Fly @ $2.33 DTE: 30 Max Win: $233 Max Loss: $217 Breakevens: $67.17 & $71.83 Trade Management: 25% profit; Full loser, possibly roll the ITM side out in time if my bias is the same near expiration. Green is profit zone; vertical black bar is expiration.

NaughtyPines NaughtyPines URBN, D,
URBN: OPENING: URBN MARCH 17TH 21.5/25.5/25.5/29.5 IRON FLY
38 0 5
URBN, D
OPENING: URBN MARCH 17TH 21.5/25.5/25.5/29.5 IRON FLY

... for a 2.24 ($224)/contract credit. (High IVR/High IV; Post Earnings Volatility Contraction Play). Metrics: Max Profit: $224/contract Max Loss/Buying Power Effect: $177/contract Break Evens: 23.27/27.73 Theta: 6.12 Delta: -4.33 Notes: I'm looking to manage this at 25% max profit.

NaughtyPines NaughtyPines DKS, D,
DKS: OPENING: DKS MARCH 17TH 43/50/50/57.5 IRON FLY
22 0 6
DKS, D
OPENING: DKS MARCH 17TH 43/50/50/57.5 IRON FLY

... for a 4.35 ($435)/contract credit. I put this on earlier in the week, but neglected to post it here ... . (High implied volatility rank; high implied volatility; it's in the 95th percentile of where implied volatility has been in the past six months; its background implied volatility is at 47%). Metrics (Currently): Max Profit: $418/contract Max ...

NaughtyPines NaughtyPines GPS, D,
GPS: TRADE IDEA: GPS 21/25/25/29 IRON FLY
39 5 8
GPS, D
TRADE IDEA: GPS 21/25/25/29 IRON FLY

High implied volatility rank, high implied volatility, earnings/volatility contraction play ... . Metrics: Max Profit: $203/contract Max Loss/Buying Power Effect: $197/contract Break Evens: 22.97/27.03 Delta: -6.38 Theta: 2.03 Notes: I'll shoot to take this off at 25% max profit ... .

Benji Benji PRO XRT, D,
XRT: XRT Iron Fly
31 0 5
XRT, D
XRT Iron Fly

Still looking for any IV in the market - XRT had a 35 IVP, so I thought I would put something small on. Focused on minimal BP exposure during these tough times in IV, but I have to keep a decent # of occurrences up regardless. Trade Setup: - 1 XRT Mar 17 42/44/44/46 Ironfly @ $1.34 DTE: 30 Max Win: $134 Max Loss: $66 Breakevens: 42.66 and 45.34 Trade ...

Benji Benji PRO FXE, D,
FXE: FXE Iron Fly
47 0 8
FXE, D
FXE Iron Fly

Just looking for some premium around the market on these up days. Found an "okay" IV in FXE. Trade setup: - 1 FXE Mar 17 101/103/103/105 Iron Fly @ 1.37 DTE: 32 Max Win: $137 Max Loss: $63 Trade Management: 25% Winner or ~ $35; Full loser or will roll out ITM/tested side if on the dance floor. Green is profit zone and vertical black line represents expiration.

NaughtyPines NaughtyPines XOP, D,
XOP: TRADE IDEA: XOP MARCH 17TH 36/40/40/44 IRON FLY
39 0 6
XOP, D
TRADE IDEA: XOP MARCH 17TH 36/40/40/44 IRON FLY

Looking for petro to zombie about in here in the short term ... . Implied volatility rank isn't as high as I'd like it, but background vol is one of the higher ones out there for exchange traded funds. Metrics: Max Profit: $242/contract Max Loss: $158/contract Break Evens: 37.58/42.42 Notes: Will look to manage at north of 25% max profit.

NaughtyPines NaughtyPines X, D,
X: X EARNINGS SHORT STRANGLE/IRON FLY
71 3 9
X, D
X EARNINGS SHORT STRANGLE/IRON FLY

X announces earnings tomorrow (Tuesday) after market close, and with its implied volatility rank and implied volatility metrics, it's ripe for a volatility contraction play. Here are two possible setups, which naturally might need to be tweaked this way or that depending on price movement intraday tomorrow. Feb 17th 29/38 Short Strangle Metrics Probability of ...

NaughtyPines NaughtyPines GDXJ, D,
GDXJ: TRADE IDEA: GDXJ FEB 17TH 30/36/37/45 IRON CONDOR/FLY
57 0 5
GDXJ, D
TRADE IDEA: GDXJ FEB 17TH 30/36/37/45 IRON CONDOR/FLY

There isn't much non-earnings stuff out there that has both high implied volatility rank and high implied volatility. This is one of them. Here I'm going with an extremely narrow iron condor, such that it's almost an iron fly ... . Metrics: Max Profit: $338/contract Max Loss/Buying Power Effect: $462/contract Break Evens: 32.62/40.38 Notes: I'm going to treat ...

NaughtyPines NaughtyPines XBI, D,
XBI: OPENING: XBI FEB 15TH 53/62/62/71 IRON FLY
40 0 8
XBI, D
OPENING: XBI FEB 15TH 53/62/62/71 IRON FLY

... for a 5.29 credit. IVR isn't as high as I'd like it (>70% over the preceding six months), but I'll take it ... . Metrics: Max Profit: $529 Max Loss: $371/contract Break Evens: 56.61/67.29 Notes: As will all flies, will look to take profit at 25% max.

NaughtyPines NaughtyPines XRT, D,
XRT: TRADE IDEA: XRT FEB 6TH 41.5/44.5/44.5/48 IRON FLY
27 0 9
XRT, D
TRADE IDEA: XRT FEB 6TH 41.5/44.5/44.5/48 IRON FLY

You know me, goin' where the volatility takes me, and today it's in the retail space. Metrics: Max Profit: $213/contract Max Loss/Buying Power Effect: $137/contract Break Evens: 42.37/46.63 Notes: As with all flies, I'll look to take profit at 25% max. This is based on after hours quotes, so this setup may not be as sexy as it looks now come NY open, so it may ...

NaughtyPines NaughtyPines FXE, D,
FXE: OPENING: FXE JAN 27TH 97/101/101/105 IRON FLY
40 0 9
FXE, D
OPENING: FXE JAN 27TH 97/101/101/105 IRON FLY

... for a 2.25 credit. Although general background IV in FXE isn't high here (it rarely is, comparatively speaking), it's high relative to where it's been in the last six months. Metrics: Max Profit: $225 Max Loss/Buying Power Effect: $175 BE's at 98.75/103.25 Notes: Will look to manage at 25% max profit. Just trying to keep the theta coming in here with what ...

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