CELG 18-Apr-19 IV30: 48.2, IVR: 98% Short Iron Condor +0.05D Long 1 Call: 100 Strike @ $0.15 -0.19D Short 1 Call: 95 Strike @ $1.00 -0.07D Long 1 Put: 65 Strike @ $0.62 +0.15D Short 1 Put: 70 Strike @ $1.40 -0.06D Credit: $1.63 PCR: 41:59 --------------------------------------------- CELG 18-Apr-19 IV30: 48.2, IVR: 98% Short Iron Butterfly +0.53D Long 1 Call: 85...
My screeners aren't showing me a ton of things for either earnings-related volatility contraction plays and/or just Plain Jane premium selling, so I'm largely looking just to work what I have on, do any adjustments that are necessary, and wait for a higher volatility environment (VIX is at sub-15 here) to deploy capital back into premium selling. The Chinese...
... for a 2.00/contract credit. Metrics: Max Profit: $200 Max Loss: $200 Break Evens: 17.00/21.00 Theta: 2.05 Delta: -3.92 Notes: A classic risk one to make one iron fly. Will look to take profit at 25% max.
... for a 3.22/contract credit ... . Metrics: Probability of Profit: 50% Max Profit: $322/contract Max Loss: $278/contract Theta: 1.71/contract Delta: -7.06/contract Break Evens: 35.78/42.22 Notes: With a background implied of around 31%, it's the highest vol exchange-traded fund out there. As with a short straddle, I'll look to manage the trade early (25%...
... for a 1.60 credit. With the /VX July contract currently trading at 12.74, this is basically a bet that VIX will finish between current VIX price and the VIX futures front month price around expiry, although anything between 10.90 and 14.10 will do ... . Metrics: Max Profit: 1.60/contract Max Loss/BPE: .90/contract BE's at 10.90/14.10 Notes: Will look to...
Going to bite on an August setup here ... . Metrics: Max Profit: $190/contract Max Loss/Buying Power Effect: $160/contract Break Evens: 10.40/14.40 Theta: .94 Delta: 17.02 Notes: Previously, the recommendation was to shoot for 25% max profit on these. If you do that, however, you'll have to wait until the very last moment, generally, so shooting for 10% max on...
Without a ton of stuff to do here premium selling wise that meets my standards, layering on some more VIX fly in the July expiry (35 DTE). July /VX futures contract is currently trading at 12.45, so that's where I set up the short straddle body of the set up. Metrics: Max Profit: 1.82/contract Max Loss/Buying Power Effect: 1.68/contract Break Evens:...
... for a 1.96 credit Metrics: POP%: 31% Max Profit: 1.96/contract Max Loss: 1.04/contract BE's at 11.04/14.96 Notes: I'll look to manage this at 25% max.
... 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:...
... for a 1.71 credit. Metrics: POP%: 50% Max Profit: 1.71 Max Loss/Buying Power Effect: 1.29 BE's at 7.29/10.71 Notes: Will look to manage at 25% max.
With an IVR of 51.5 on Microsoft I sold an Iron fly with 29 days to expiration for $2.32 This is a neutral trade and we make money as long as price stays between $65.18 and 69.82 in the next 29 days. The trade: Long 72.5 Call Short 67.5 Call Short 67.5 Put Long 62.5 Put Max win $232 per contract
Ended up going with the fly. Filled for a 2.59 credit. Metrics: POP%: 42% Max Profit: 2.59/contract Max Loss: 2.41/contract BE's at 60.41/65.59 Theta: 1.54 Delta: -6.72 Notes: Shooting for something north of 25% max ... .
... 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...
... 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.
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...
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...
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 ... .
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.