shortcallverticals

NaughtyPines NaughtyPines VIX, D, a month ago
VIX: OPENING: VIX JUNE 17/20 SHORT CALL VERTICAL
70 5 5
VIX, D
OPENING: VIX JUNE 17/20 SHORT CALL VERTICAL

This is a VIX futures "Term Structure" trade (see Post Below) ... . It's farther out than I like to go, but I only have one other VIX setup on -- a May 16/19 short call vertical. You can either consult the June VIX futures price and look to set up your short call using that price as a guide, or sell the spread with the short call at ~50 delta. Filled for a .75 ...

NaughtyPines NaughtyPines VIX, D, Short , 2 months ago
VIX: VIX TERM STRUCTURE TRADE: VIX FEB 15TH 16/19 SHORT CALL VERT
96 5 10
VIX, D Short
VIX TERM STRUCTURE TRADE: VIX FEB 15TH 16/19 SHORT CALL VERT

The two types of trades I like in VIX/VIX derivatives are (1) a "Term Structure" trade in VIX options; and (2) "Contango Drift" trades in the derivatives VXX, UVXY, and (inversely) SVXY. A "term structure" trade capitalizes on current VIX spot price in relation to VIX futures months' prices which, the vast majority of the time, are higher than current spot price, ...

NaughtyPines NaughtyPines VIX, D, 2 months ago
VIX: OPENING: VIX MARCH 22ND 16/19 SHORT CALL VERT
66 0 5
VIX, D
OPENING: VIX MARCH 22ND 16/19 SHORT CALL VERT

This is another one of them there "Term Structure" trades which use the VIX futures as a guide for the short call strike. Here, I'm using /VXH7, which is the March VIX futures contract, which is currently trading at 15.72, so I'm using the 16 short call in VIX. ... Filled for a .71 credit. Notes: This is a little bit farther out in time than I generally like to ...

NaughtyPines NaughtyPines UVXY, 180, Short , 2 months ago
UVXY: TRADE IDEA: UVXY (POST SPLIT) FEB 17TH SHORT CALL VERTICAL
128 0 4
UVXY, 180 Short
TRADE IDEA: UVXY (POST SPLIT) FEB 17TH SHORT CALL VERTICAL

I'm doing a little planning ahead here for the UVXY 5-1 reverse split, currently scheduled to occur on Jan 12th. Truth be told, UVXY is not one of my favorite VIX derivatives to play, largely due to options liquidity, which leads to wide bid/asks that you have to putz with in order to get filled for something vaguely approaching a "fair price." Nevertheless, I ...

NaughtyPines NaughtyPines VIX, D, Short , 2 months ago
VIX: OPENING: VIX FEB 20TH 17/20 SHORT CALL VERT
60 0 9
VIX, D Short
OPENING: VIX FEB 20TH 17/20 SHORT CALL VERT

... for a .66 ($66)/contract credit. I did this on 12/30, but neglected to post it. This was another VIX "Term Structure" trade (See Post Below) using the Feb VIX futures contract price as a guide. The Feb contract was going for 16.55, so I used the nearest strike above that price, the 17, for my short call leg. With these, I'm playing it "by ear" as to the ...

NaughtyPines NaughtyPines VXX, D, 2 months ago
VXX: EXAMPLE: VXX 30 DTE X/X+3 ATM SHORT CALL VERT (CONTANGO DRIFT)
132 0 4
VXX, D
EXAMPLE: VXX 30 DTE X/X+3 ATM SHORT CALL VERT (CONTANGO DRIFT)

As previously noted in other posts, the short volatility product plays I like most are "Term Structure" plays in VIX and "Contango Drift" plays in VIX derivatives, with the preference being toward the latter play, since you're getting in on a pop in VIX and then taking advantage of "Contango Drift" in the derivatives to the downside (in UVXY, VXX; SVXY is an ...

NaughtyPines NaughtyPines VXX, D, 2 months ago
VXX: WHAT I'M LOOKING AT FOR EARLY 2017: VIX/VIX DERIVATIVE PLAYS
88 1 6
VXX, D
WHAT I'M LOOKING AT FOR EARLY 2017: VIX/VIX DERIVATIVE PLAYS

With Dough transitioning over to TastyWorks (it's basically Dough on steroids), I'm looking to wind up positions I've got on here over the next several weeks so that I can transition over to TastyWorks, which will not interface with TDA accounts. While I can naturally use ThinkOrSwim (ToS), it just doesn't have the features of Dough that I've come to know and ...

NaughtyPines NaughtyPines VIX, D, 3 months ago
VIX: TRADE IDEA: JAN 18TH 14.5/17 SHORT CALL VERT
63 0 6
VIX, D
TRADE IDEA: JAN 18TH 14.5/17 SHORT CALL VERT

If you're familiar with VIX Term Structure, you'll know that the VIX spot price is currently lower than the front month /VX future. Currently, VIX is at 11.7 and the Jan VIX futures contract is at 14.55. The notion here is that the VIX spot price and the Jan VIX futures contract price will converge at some between now and the Jan VIX futures contract expiry ...

NaughtyPines NaughtyPines IWM, D, 3 months ago
IWM: ROLLING: IWM DEC 16TH 128/132 SHORT CALL VERT ...
67 4 7
IWM, D
ROLLING: IWM DEC 16TH 128/132 SHORT CALL VERT ...

... to the Dec 23rd 130/135 for a .25 credit. I previously rolled to the Dec 16th expiry with the intention of setting up an iron fly there by selling a put side against. Unfortunately, I set up the short put vert (which I sold for .43 cr) in the Dec 23rd expiry, so at that point, I had a weird ass setup -- a Dec 16th 128/131 short call vert with a Dec 23rd ...

NaughtyPines NaughtyPines IWM, D, 3 months ago
IWM: ROLLING: IWM DEC 9TH 127/131 SHORT CALL VERT TO DEC 16TH 128/132
36 0 5
IWM, D
ROLLING: IWM DEC 9TH 127/131 SHORT CALL VERT TO DEC 16TH 128/132

After having taken the short put side of this "troubled" iron condor off for near worthless (.05), I rolled the call side out another week and improved the spread by a strike. I filled this for a .57 db, and tomorrow I'll look at selling a setup to finance this roll and then look at its scratch point ... .

NaughtyPines NaughtyPines VIX, D, 3 months ago
VIX: VIX: FOR THE NEXT POP, LADDERED SHORT CALL VERTS
44 0 3
VIX, D
VIX: FOR THE NEXT POP, LADDERED SHORT CALL VERTS

The last VIX pop around elections, I chose to piddle with an SVXY ATM short put credit spread (see post below). It worked out great, but SVXY isn't the most liquid thing in the world (I knew that going in). In comparison, VIX options are about the cleanest short volatility setup you can get, although a small drawback is that you won't get the added contango ...

NaughtyPines NaughtyPines VXX, D, Short , 4 months ago
VXX: TRADE IDEA: VXX DEC 16TH 37/40 SHORT CALL VERTICAL
57 0 3
VXX, D Short
TRADE IDEA: VXX DEC 16TH 37/40 SHORT CALL VERTICAL

A short volatility trade here on the notion that VIX reverts to its mean in fairly short order post-election ... . Metrics: Probability of Profit: 57% Max Profit: $105/contract Max Loss/Buying Power Effect: $195/contract Break Even: 38.05 Notes: This, in all likelihood, will require adjustment at open so that the break even is at or near current price. Look to ...

NaughtyPines NaughtyPines SPX, D, 7 months ago
SPX: BOUGHT TO COVER SPX AUG 19TH 2015/2025 SHORT PUT VERT
26 0 0
SPX, D
BOUGHT TO COVER SPX AUG 19TH 2015/2025 SHORT PUT VERT

Although I still have a little bit of time on this, it's too little time to effectively roll the short put side up of this setup here without pushing it in too tight to the call side for my taste, so I'm closing the put side out for a .10 ($10)/contract debit here and leaving the call side to dangle for a bit. As always, hope springs eternal that price will break ...

NaughtyPines NaughtyPines SPX, D, 7 months ago
SPX: BOUGHT TO COVER SPX AUG 12TH 2100/2115 SHORT PUT VERT
26 0 1
SPX, D
BOUGHT TO COVER SPX AUG 12TH 2100/2115 SHORT PUT VERT

With 4 DTE left in this troubled post-Brexit setup and the short put side nearing worthless, I bought to cover it for a .15 ($15)/contract debit, rolled out the short call side from the Aug 12th 2145/2160 to the Aug 26th 2155/2175 for a .55 ($55)/contract credit, and sold a 83% probability of profit short put vert against in the same expiry for an additional 1.05 ...

NaughtyPines NaughtyPines GBPUSD, D, 9 months ago
GBPUSD: TRADES TO MAKE IN PREPARATION FOR A BREMAIN RESULT
63 3 2
GBPUSD, D
TRADES TO MAKE IN PREPARATION FOR A BREMAIN RESULT

I don't trade news, but this is an event whose outcome I think is now relatively certain (Bremain) such that it might be worthwhile to take a small position to take advantage of the relief rally that will occur if that is the result. Naturally, I could be totally wrong on the result, but the probability of a Bremain vote is currently higher than a Brexit vote, if ...

NaughtyPines NaughtyPines SPX, D, 9 months ago
SPX: ROLLING (AGAIN): SPX JUNE 24TH 2130/2140 SCV TO 2120/2135
20 0 0
SPX, D
ROLLING (AGAIN): SPX JUNE 24TH 2130/2140 SCV TO 2120/2135

With a mere 9 DTE to go with this setup, this is probably the last roll I'll do here to capture movement and/or delta balance ... . Filled for $150 credit ... . Notes: Actually just noticed that I inadvertently widened the spread by $5, which is probably why I got $150 out of it. Lol.

NaughtyPines NaughtyPines SPX, D, 9 months ago
SPX: ROLLING SPX JUNE 24TH 2145/2155 SHORT CALL VERT TO 2130/2140
46 0 3
SPX, D
ROLLING SPX JUNE 24TH 2145/2155 SHORT CALL VERT TO 2130/2140

Keeping this short-term setup fairly delta neutral here ... . Rolled the 2145/2155 call side down to 2130/2140 for an additional $105/contract credit, resulting in a 2045/2055/2130/2140 iron condor ... . Still shooting to take the setup off for the original profit target of about $150/contract.

NaughtyPines NaughtyPines SPY, D, 10 months ago
SPY: ROLLING SPY MAY 27TH 208/212 TO JUNE 10TH 209/213
22 0 1
SPY, D
ROLLING SPY MAY 27TH 208/212 TO JUNE 10TH 209/213

More housekeeping ... . With 4 DTE and this 30 handle upmove, this is one of those "too close for comfort" rolls. Truth be told, I'll probably end up rolling it again if we don't come off of this 208 level with some vengeance, but only time will tell. In any event, I got a $40/contract credit for the roll ... . To protect the rolled short call vertical from ...

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