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NaughtyPines NaughtyPines UVXY, D, Short ,
UVXY: TRADE IDEA: UVXY -- TIME TO LOOK AT LEAPS?
253 10 6
UVXY, D Short
TRADE IDEA: UVXY -- TIME TO LOOK AT LEAPS?

It's not often that I play leaps or think of myself as "playing leaps." In case you're wondering, a "leaps" is a "long term equity anticipation security" -- basically, a long-dated option. My most frequent use of them is in my individual retirement account where I'm working a covered call, want to hold onto the underlying for dividend generation, but also want ...

NaughtyPines NaughtyPines VXX, D, Short ,
VXX: OPENING: VXX MARCH 2ND 26/29 LONG PUT VERTICAL
86 0 6
VXX, D Short
OPENING: VXX MARCH 2ND 26/29 LONG PUT VERTICAL

... for a 2.18/contract debit. Metrics: Max Profit: $82/contract Max Loss: $218/contract Break Even: 26.82 Notes: Adding some on this little VIX bump we have today. I don't think there's a new weekly opening up this week (monthly expiry), so adding a smidge here in the expiry nearest 45 DTE. As always, staying small, keeping powder dry to add on pops ... .

NaughtyPines NaughtyPines VXX, D, Short ,
VXX: OPENING: VXX MARCH 2ND 25.5/28.5 LONG PUT VERTICAL
54 2 5
VXX, D Short
OPENING: VXX MARCH 2ND 25.5/28.5 LONG PUT VERTICAL

... for a 2.23/contract debit. Max Profit: $77/contract Max Loss: $223/contract Break Even: 26.27 Notes: My standard Thursday or Friday weekly expiry play. You can probably still get a fill in the neighborhood of 2.25 (or .75 credit for a short call vert) if it doesn't move much come Friday open. Will look to take it off for >15% of what I put it on for ... .

NaughtyPines NaughtyPines VXX, D, Short ,
VXX: OPENING: VXX MARCH 16TH 27/30 LONG PUT VERTICAL
41 0 5
VXX, D Short
OPENING: VXX MARCH 16TH 27/30 LONG PUT VERTICAL

... for a 2.24/contract debit. Snuck 'er in on that a.m. weakness ... . Max Profit: $76/contract Max Loss: $224/contract Break Even: 27.76

NaughtyPines NaughtyPines VXX, D, Short ,
VXX: OPENING: VXX MARCH 16TH 26/29 LONG PUT VERTICAL
30 0 5
VXX, D Short
OPENING: VXX MARCH 16TH 26/29 LONG PUT VERTICAL

... for a 2.20/contract debit at the close on this little bump up in price here. Max Profit: $80/contract Max Loss: $220/contract Break Even: 26.80 Notes: Going out a little farther than I'd like, but it's a bit crowded in February with the setups I currently have on.

NaughtyPines NaughtyPines VXX, 240, Short ,
VXX: OPENING: VXX FEB 23RD 25.5/28.5 LONG PUT VERTICAL
34 2 4
VXX, 240 Short
OPENING: VXX FEB 23RD 25.5/28.5 LONG PUT VERTICAL

... for a 2.20/contract debit. Max Profit: $80/contract Max Loss: $220/contract Break Even: 26.30 Notes: This filled immediately at open, so I wasn't able to adjust the price (to be honest, wasn't expecting it to fill right off the bat). You may still be able to get a fill for slightly better than I did or shoot for the 26/29's for less than 2.25/contract ... .

NaughtyPines NaughtyPines VXX, D, Short ,
VXX: TRADE IDEA: VXX FEB 9TH 27/30 LONG PUT VERTICAL
71 2 8
VXX, D Short
TRADE IDEA: VXX FEB 9TH 27/30 LONG PUT VERTICAL

Another mechanical short volatility trade put on in the weeklies in VXX (while I wait for UVXY to do "the splits"). The February 9th weekly should open tomorrow and with VXX trading slightly below the 28 handle, I'm going to look at filling some 28/31's in that expiry for a 2.25/contract debit. Given the fact that the February 16th 28/31's are trading around ...

NaughtyPines NaughtyPines VXX, 240, Short ,
VXX: OPENING: VXX FEB 16TH 28/31 LONG PUT VERTICAL
24 0 3
VXX, 240 Short
OPENING: VXX FEB 16TH 28/31 LONG PUT VERTICAL

... for a 2.28/contract debit. Frankly, was somewhat surprised that this appeared to have a 2.27 mid at open, since 28 is right at the money, and the market doesn't usually accommodate that kind of fill unless the short put is deeper ... . I was going to wait for the February 9th's to open, but I have a "spot" within the nooks and crannies of my February 16th ...

NaughtyPines NaughtyPines VXX, 240, Short ,
VXX: OPENING: VXX FEB 2ND 27.5/30.5 LONG PUT VERTICAL
70 0 5
VXX, 240 Short
OPENING: VXX FEB 2ND 27.5/30.5 LONG PUT VERTICAL

... for a 2.25/contract debit. Metrics: Max Profit: $75/contract Max Loss: $225/contract ROC%: 33.3% (at max profit) Break Even: 28.25 Notes: I've been sticking these three-wides out there for fills at 2.25, but in any event don't want to pay any more than 2.30 (30% ROC). This one filled at 11 minutes after open, so I didn't have to fiddle. I'll rotate back ...

NaughtyPines NaughtyPines VXX, 240, Short ,
VXX: TRADE IDEA: VXX FEB 19TH 27/29 LONG PUT VERTICAL
50 0 3
VXX, 240 Short
TRADE IDEA: VXX FEB 19TH 27/29 LONG PUT VERTICAL

Since there's no February 2nd weekly available for me to use, I'm going out to the monthly to put on my weekly short volatility product play. Here, I'm going narrower with the spread, but doubling the number of contracts to show how to scale trade size with both width of the spread and the number of contracts. As compared to the 3-wides, which I normally get ...

NaughtyPines NaughtyPines VIX, D, Short ,
VIX: OPENING: VIX APRIL 18TH 14/17 LONG PUT VERTICAL
52 0 5
VIX, D Short
OPENING: VIX APRIL 18TH 14/17 LONG PUT VERTICAL

... for a 2.24 debit. Metrics: Probability of Profit: 89% Max Profit: $76/contract Max Loss: $224/contract Break Even: 14.76 Metrics: Here's the live trade for the VXMT-guided, medium term volatility trade referenced in the post below. At the time of the trade, VXMT was at 14.46, which is approximately the price at which the April futures contract is trading ...

NaughtyPines NaughtyPines VXX, 240, Short ,
VXX: OPENING: VXX JAN 26TH 30/33 LONG PUT VERTICAL
29 0 4
VXX, 240 Short
OPENING: VXX JAN 26TH 30/33 LONG PUT VERTICAL

... for a 2.22/contract debit. Metrics: Probability of Profit: 64% Max Profit: $78/contract Max Loss: $222/contract Break Even: 30.78 Notes: With UVXY sliding below 12, it's losing a bit of granularity here due to its size, so I'm switching over to VXX for a bit until UVXY reverse splits (which usually occurs around $8-$9) (i.e., it's a bigger move for UVXY to ...

NaughtyPines NaughtyPines VXX, 120, Short ,
VXX: OPENING: VXX JAN 19TH 32/35 LONG PUT VERTICAL
47 5 3
VXX, 120 Short
OPENING: VXX JAN 19TH 32/35 LONG PUT VERTICAL

... for a 2.23 debit. Max Profit: $77/contract Max Loss: $223/contract Bread Even: 32.77 Notes: My set ups in UVXY in the January monthly were getting a bit crowded around the strikes I would use here, so putting a small position on in VXX instead with 45 days until expiration.

NaughtyPines NaughtyPines UVXY, 60, Short ,
UVXY: OPENING: UVXY JAN 19TH 14/17 & 15/18 LONG PUT VERTICALS
75 0 5
UVXY, 60 Short
OPENING: UVXY JAN 19TH 14/17 & 15/18 LONG PUT VERTICALS

I had to scramble mightily to get these on at the 11 CST pop/VXST/VIX ratio of >1.15, first opening the 14/17 for a 2.25 debit and then the 15/18 for a 2.20 debit ... . The break even for the former is 14.75 with a max profit potential of $75/contract and a 15.80 break even for the latter with a max profit potential of $80/contract.

NaughtyPines NaughtyPines UVXY, 120, Short ,
UVXY: OPENING: UVXY JAN 19TH 13/16 LONG PUT VERTICAL
86 2 6
UVXY, 120 Short
OPENING: UVXY JAN 19TH 13/16 LONG PUT VERTICAL

... for a 2.29 debit. Metrics: Probability of Profit: 61% Max Profit: $71/contract Max Loss: $229/contract Break Even: 13.71 Notes: Putting on a little more UVXY long put vert in light of this little pop we had today (VXST/VIX ratio finished at .95). The January 12th weekly opens tomorrow, so may add another position there as well ... .

NaughtyPines NaughtyPines UVXY, 120, Short ,
UVXY: OPENING: UVXY JAN 5TH 12.5/15.5 LONG PUT VERTICAL
92 8 4
UVXY, 120 Short
OPENING: UVXY JAN 5TH 12.5/15.5 LONG PUT VERTICAL

... for a 2.25/contract debit. Max Profit: .75 ($75)/contract Max Loss: 2.25 (225)/contract Break Even: 13.25 Notes: Basically a contango drift/beta slippage play, but playing the ball where it lies, rather than waiting for a pop ... . Going long put vert instead of my usual short call vert due to comparatively low VVIX.

NaughtyPines NaughtyPines IWM, D,
IWM: COMPARISON AND CONTRAST: CREDIT SPREAD OR DEBIT SPREAD?
70 1 5
IWM, D
COMPARISON AND CONTRAST: CREDIT SPREAD OR DEBIT SPREAD?

You may have heard me say in the past that you should use high implied volatility strategies in high implied volatility environments and low volatility strategies in low volatility environments. A credit spread is generally considered a high volatility environment play, while a debit spread is considered a low volatility environment play. Consequently, since ...

NaughtyPines NaughtyPines IWM, D, Short ,
IWM: OPENING: IWM DEC 16TH 132/134 LONG PUT VERTICAL
35 0 5
IWM, D Short
OPENING: IWM DEC 16TH 132/134 LONG PUT VERTICAL

Going directional here -- a rarity for me ... . Metrics: Probability of Profit: 47% Max Profit: $114 Max Loss: $86 Break Even: 133.14 Notes: Here, I'm looking for IWM to weaken rolling into FOMC/rate hikes. However, if price breaks to the top side of the setup, I'll roll out for duration and credit by "flipping" the spread into a short put vertical ... .

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