With few "new" premium selling opportunities available, I'm looking to put on a short-term engagement trade that I will bail out of at the first sign of trouble (or, more likely, the first sign of profit). Metrics: Probability of Profit: 63% P50: 68% Max Profit: $310/contract Max Loss/Buying Power Effect: $690/contract Theta: 10.61/contract Delta:...
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...
... to July 1st 204/211 short call vertical (for a $24 debit). This is a left over spread from a May monthly iron condor that I'm slowly massaging upward. I figured I would roll it here even though there are 25 odd days left until expiry, since -- if price moves up from here -- the roll could get more expensive and with not much premium selling to do, there is...
BBY announces earnings on 5/24 (Tuesday) before market open, so look to put on a play shortly before Monday's NY close to take advantage of the implied volatility crush that commonly occurs post-earnings announcement. Here's the preliminary setup, since price may move during the NY session, requiring slight adjustment of the strikes: BBY June 3rd 29.5/35 short...
This is part of a small WFT covered call I'm working ... . The strategy here is to continue to reduce cost basis in the underlying shares. Here I'm doing it with a July 15th 4/6 short strangle in an attempt to sell premium while the implied volatility is still high ... . Metrics: Probability of Profit: 63% Max Profit: $61/contract Max Loss/Buying Power Effect:...
With May opex under our belts, how's the coming week looking for premium sellers? Well, not so hot ... . VIX/VIX derivatives: VIX is well off it's April 20th 12.50 low, having popped to 17.50 pre-opex, a chunk of which it gave up on Friday, dropping to 15.20. My general rule of thumb is VIX>15, put on index premium selling plays; <15, well, look for something...
This particular setup I consider the "classic" delta neutral index IC setup, with the short put at the 85% probability out-of-the-money strike and the short call at the 75% probability out-of-the-money short call. The short call is placed closer in to current price to accommodate skew and on the general assumption that "velocity" of movement is generally greater...
This is part of a poor man's covered call setup in VXX, the back month of which is a September VXX 12 long call. I'm being somewhat mechanical here in rolling the 17.5 short call to the July 1st 75% probability out-of-the-money short call. I say "somewhat mechanical" because the usual thing to do is to wait until the short call is near expiration and then roll...
With only 14 DTE left for this particular iron condor, I'm pulling off the short call side at near worthless (a $5 debit) rather than rolling it toward current price. (The call wing was worth $45/contract, so closing it out here nets me $40/contract). I'll keep an eye on the short put side (196/200) as expiration approaches. At this point, I would be more than...
Cancelled out the July iron condor in IWM (Post below) and looking for something closer in time with this small volatility pop here, so going with the 38 DTE iron condor ... . Metrics: Probability of Profit: 61% P50: 67% Max Profit: $108/contract Max Loss/Buying Power Effect: $243/contract Theta: 1.89/contract Delta: -4.72/contract Notes: Looking to take this...
After having looked at iron condors in all the index ETF's, IWM presents the best metrics for a nearer in time setup (my ordinary "thang" is to go >90 days out if VIX is <15, as it is here and <45 DTE if VIX >15). Metrics: Probability of Profit: 57% P50: 69% Max Profit: $93/contract Max Loss/Buying Power Effect: $207/contract Theta: 1.07/contract Delta:...
Given the fact that /ES, SPY, SPX500 continue to conform to the downward sloping yellow channel, I'm looking to continue to short on meaningful retraces of price, ideally to the upper bound of the yellow channel, since I think this offers the best risk-reward here. I can do this one of several ways, for example, by entering a GTC order to short /ES, SPY, or...
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I rolled up the put wing of my May 20th SPX iron condor to balance a little delta here on this upmove, receiving a $55 credit/contract to do so. (I originally legged in first to the call wing, and then into the put wing (See Posts Below), and then I widened the strikes from 5 to 10 at some point, but neglected to post it here ... ).
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This is not an ideal place to be adding long delta, but my core SPY position's net delta is skewing a touch farther negative than I'd like, so I'm adding in a little long delta with small brush strokes ... . The other thing is that by doing this, my units on the call side versus the put side become imbalanced, which is something you want to keep an eye on...
I didn't like how close price was getting to my short call with 10 DTE, so I decided to roll the call side out another week and up one strike while I can pay the least amount possible in order to give it more time. I did the roll for a $10 debit, and then rolled out the short put vert side of the setup for a $13 credit, so I took in a small credit on the deal...
As previously discussed in my post below, there are several things you can do in a "locally" low volatility environment, one of which is to sell premium farther out in time. If you look at SPY's implied volatility in the June, July, and August monthlies, you'll see that there is a natural gravity toward normalization or reversion of implied volatility to a...