optionsstrategies

NaughtyPines NaughtyPines FXE, D, Short ,
FXE: FXE: TWO BEARISH OPTIONS SETUPS
5 0 1
FXE, D Short
FXE: TWO BEARISH OPTIONS SETUPS

FXE JUNE 16TH 105/108 SHORT CALL VERTICAL The first of the two setups is a "static" short call vertical with a break even around 106 resistance. Metrics: Probability of Profit: 58% Max Profit: $120/contract Max Loss: $180/contract BE: 106.20 Notes: Look to manage at 50% profit. FXE JUNE 16TH 107 SHORT CALL/SEPT 15TH 110 LONG CALL DIAGONAL This particular ...

BurntWill BurntWill PRO E61!, D,
E61!: Implied Volatility Rank Indicator (IVR)
17 0 4
E61!, D
Implied Volatility Rank Indicator (IVR)

When trading future options, you dont have built in implied volatility. You need to calculate the IV by calculating (volaCloseToday - volaLowest-52weeks)/(volaHighest-52weeks - volaLowest-52weeks). If the IVR is above 40%, then you should think about checking options premium, since premium is currently higher as in former days. In order to see, whether the ...

NaughtyPines NaughtyPines X, D,
X: OPENING: X MAY 5TH 27/31/31/35 IRON FLY
77 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 TLT, D, Long ,
TLT: OPENING: TLT JUNE 16TH 117/MAY 19TH 119.5 PUT DIAGONAL
15 0 2
TLT, D Long
OPENING: TLT JUNE 16TH 117/MAY 19TH 119.5 PUT DIAGONAL

Getting long bonds here via a net credit diagonal that I filled for a .01 credit. For diagonals and calendars, there aren't much in metrics to look at, since how much you make will depend on a wide variety of factors (i.e., IV, underlying price movement, etc.): Theta: 1.02 Delta: 7.24 Notes: The idea here is basically to reduce your cost basis in the long ...

NaughtyPines NaughtyPines ATVI, D,
ATVI: TRADE IDEA: ATVI FEB 17TH 34/38.5/40/44.5 IRON CONDOR
112 2 6
ATVI, D
TRADE IDEA: ATVI FEB 17TH 34/38.5/40/44.5 IRON CONDOR

ATVI announces earnings tomorrow after market close, so look to put on a play in the waning hours of the NY sesh ... . Its implied volatility rank is >70%, and its background volatility is on the cusp of 50% ... . Metrics: Probability of Profit: 50%* Max Profit: $231/contract Max Loss/Buying Power Effect: $219/contract Theta: 11.33/contract Delta: ...

NaughtyPines NaughtyPines IWM, D,
IWM: OPENING: IWM DEC 9TH 108/111/123.5/126.5 IRON CONDOR
71 4 8
IWM, D
OPENING: IWM DEC 9TH 108/111/123.5/126.5 IRON CONDOR

I slapped this one on rather hastily on Friday with the FBI "reopening-Clinton-email-investigation" volatility pop we had on Friday. Unfortunately, I didn't get what I usually look for in these setups -- a credit of at least 1/3rd the width of the wings (I got it filled for .89 ($89) per contract), but could have done slightly better if I'd not been in such a ...

NaughtyPines NaughtyPines ARRY, D,
ARRY: TRADE IDEA: ARRY COVERED CALL
13 0 2
ARRY, D
TRADE IDEA: ARRY COVERED CALL

Metrics: Buy 100 Shares at 3.23 Sell Oct 21st 4 call 2.83 db at the mid (i.e., 2.83 is your cost basis in the shares) Max Profit: $117 (if called away at 4) ROC: 41% ROC Notes: A good spot to initiate this here, given a bit of horizontal support.

NaughtyPines NaughtyPines FXE, D, Short ,
FXE: TRADE IDEA: FXE JUNE 16TH 105/108 (?) SHORT CALL VERTICAL
33 0 5
FXE, D Short
TRADE IDEA: FXE JUNE 16TH 105/108 (?) SHORT CALL VERTICAL

Post-French elections, the fairly obvious thing to do is to think about shorting the Euro here or its proxy, FXE. Unfortunately, we don't know exactly where FXE will open, but if the EURUSD chart is any indication, it will be in the vicinity of previous resistance at 105-ish. Similarly, we don't know exactly what this spread will price at, so I can't provide the ...

NaughtyPines NaughtyPines VIX, D,
VIX: THE WEEK AHEAD: FRENCH ELECTIONS AND THE VIX; AA, X, and UA
49 0 5
VIX, D
THE WEEK AHEAD: FRENCH ELECTIONS AND THE VIX; AA, X, and UA

With the French primaries in the rear view mirror and some market unease abated due to the result, VIX futures are caving hard as of the writing of this post (the May contract is down 8% to 13.15). This, unfortunately, changes the potential complexion of next week's market for me, since it is likely that implied volatility will dry up somewhat in SPY/SPX and ...

NaughtyPines NaughtyPines SPY, D,
SPY: JUNE SPY CORE POSITION
67 0 8
SPY, D
JUNE SPY CORE POSITION

This post collates all my current SPY positions in the June expiry including (a) the legs noted as 2x (which were from a setup rolled out to avoid call-side assignment risk around March ex-divvy); (b) a Jade Lizard addition that was intended to add in long delta with no upside risk; and (c) my most current short put vertical credit spread, which was also intended ...

NaughtyPines NaughtyPines SPY, D,
SPY: OPENING: SPY JUNE 16TH 225/228 SHORT PUT VERT
48 0 6
SPY, D
OPENING: SPY JUNE 16TH 225/228 SHORT PUT VERT

... for a .52/contract credit. Just adding a little long delta to my core SPY position, with the short put at the 30 delta strike. Metrics: Probability of Profit: 69% Max Profit: $52/contract Max Loss/Buying Power Effect: $248/contract Theta: .19 Delta: 6.26 Notes: I'm adding in a touch of long delta to my core June SPY position. However, the metrics would be ...

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 VIX, D,
VIX: THE WEEK AHEAD: NFLX EARNINGS, THE VIX, SPY/SPX, RUT/IWM, QQQ
51 0 8
VIX, D
THE WEEK AHEAD: NFLX EARNINGS, THE VIX, SPY/SPX, RUT/IWM, QQQ

There is a bevvy of earnings next week, starting out with NFLX on Monday after market close. It appears fairly close to being ripe for a delta neutral volatility contraction play like a short strangle since both its implied volatility rank and implied volatility are high (70 (six-month)/44). The April 28th 131/157.5 20-delta short strangle is paying 3.80 at the ...

NaughtyPines NaughtyPines SPY, D,
SPY: OPENING: SPY JUNE 16 222/226/240/241 IRON CONDOR
46 0 8
SPY, D
OPENING: SPY JUNE 16 222/226/240/241 IRON CONDOR

... for a 1.00 credit. I'm doing this little fella as an adjustment trade to pick up a little long delta in a current SPY position. However, it could also be a fairly decent standalone trade if you're slightly bullish to neutral on SPY above 226. The additional feature of the setup is the lack of call side risk on setup because the credit received equals the ...

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 ...

NaughtyPines NaughtyPines NFLX, D,
NFLX: THE WEEK AHEAD: MIGHT AS WELL WAIT FOR QUALITY
102 0 8
NFLX, D
THE WEEK AHEAD: MIGHT AS WELL WAIT FOR QUALITY

With another earnings season upon us and with quality volatility contraction earnings plays a scant ten days to two weeks out, I'm hand sitting here. After all, with things like NFLX (earnings in 8), AMD (11), and X (16) dangling out there, slightly out of reach for an ideal contraction play, putting on stuff with less than ideal metrics 45 days until expiration ...

NaughtyPines NaughtyPines KMX, D,
KMX: TRADE IDEA: KMX APRIL 21ST 50/52.5/60/62.5 IRON CONDOR
29 0 9
KMX, D
TRADE IDEA: KMX APRIL 21ST 50/52.5/60/62.5 IRON CONDOR

KMX announces earnings on 4/6 before market open, so look to put on a play before tomorrow's New York close to get in on a volatility contraction play (six month implied volatility percentile is around 100, with background implied at 47). Here's the metrics for this puppy: Probability of Profit: 50% Max Profit: $113/contract Max Loss/BP effect: ...

NaughtyPines NaughtyPines VIX, D,
VIX: THE WEEK AHEAD: KRE, EWZ, GDXJ
44 2 9
VIX, D
THE WEEK AHEAD: KRE, EWZ, GDXJ

With the beginning of the next earnings season two weeks out (at least before we see something decent), I'm looking to put on some basic exchange-traded fund premium selling plays to bide my time until then. Even there, however, the premium selling opportunities aren't fantastic: KRE (Regional Banks): I haven't played this one before, but its background implied ...

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