This is a continuation of a short straddle I've been diddling around with since July ... .
As of the last roll (See Post Below), my scratch point was 24.71 versus the straddle value of 27.79. As of today's close, its value was 27.32 with 19.49 of extrinsic and delta/theta metrics of -23.07/8.55. I also erected a November 270 short put (currently 22.82 delta) as...
... for a 4.89 debit.
Metrics:
Max Profit: $111/contract
Max Loss: $489/contract
Break Even: 20.89
Delta/Theta: 38.75/.98
Debit Paid to Spread With Ratio: 81.5%
Notes: Going long XOP at long-term lows with a 90/50 long call diagonal (i.e., 90 delta for the long call/50 for the short). Going a little more aggressive with the short call than I usually would to...
EARNINGS
BIDU (97/55) announces earnings on Monday after market close, so look to put on a play in the waning hours of the New York session ... .
Pictured here is a September 80/120 short strangle paying 1.65 as of Friday close with delta/theta metrics of 1.57/8.07. You can naturally go defined risk, but you'll have to go in a smidge tighter with the shorts to...
... for a 4.00/contract credit.
Max Profit: $400/contract ($200 at 50 max)
Max Loss/Buying Power Effect: Undefined/$3760 on margin
Break Evens: 157.99/217.01
Delta/Theta: .14/4.16
Notes: Doing short calls 2 to 1 to accommodate skew with the puts at the 16 deltas, the calls at the 8's ... .
Target 1: 58s
Target 2: 61s
Stoploss: 46s
Reward/Risk: 1.3-1.93
I might be looking to dollar cost average around the stop loss level. When the market is so weak like it is supply and demand levels tend to react aggressively.
EARNINGS:
M (87/58) announces earnings this week and has the most appropriate rank/implied volatility metrics for a contraction play.
Pictured here is a narrow short strangle in the September monthly that is almost a short straddle, set up this way primarily because M is trading at 19.43, which Is smack dab in the middle of the short strikes. It's paying 2.25...
... for a .45 debit.
Max Profit: $55
Max Loss: $45
Break Even: 22.55
Delta/Theta: -2.81/-.11
Notes: Here, a bet that beta slippage and contango eat away at this VIX derivative over time ... .
A real quick and dirty here between checking off items on the honey-do list ... . Here's the cream of the crop:
ROKU (83/94) announces earnings on Wednesday after market close and with rank/implied greater than 70/50, it's an ideal play for volatility contraction post-announcement. The pictured setup is a September 20th 75/80/135/140 iron condor, paying 1.67 at...
Metrics:
Max Profit: $164/contract
Max Loss: $36 (assuming mid price fill)
Break Even: 22.36
Delta/Theta: 9.03/-.07
Notes: A seasonality play put on at /NG lows ... . UNG's not my favorite instrument in the world, nor is it the most liquid that far out in time. It's also possible that /NG could trundle lower, since seasonal peak injection generally doesn't...
... for a .21/contract debit. (Late Post)
Metrics:
Max Profit: $179/contract
Max Loss: $21/contract
Break Even: 129.79
Delta/Theta: -6.26/-.43
Notes: Put this on in the closing minutes of Friday's session. Looking for a move back to the short-term range lows ... .
... for a 4.22 credit.
Max Profit: $422 ($211 at 50 max)
Max Loss: Undefined
Break Evens: 157.78/211.22
Delta/Theta: 1.03/4.14
Notes: Going out to December to sell a 16 delta short strangle that basically covers all of the 2019 range ... . Will look to take profit at 50% max.
... for a .16 debit.
Metrics:
Max Profit: $184
Max Loss: $16
Break Evens: 296.16/299.84
Delta/Theta: -1.85/.44
Notes: A cheap expected move engagement trade with low probability of profit, but high pay out in the event we get a downside expected move or a traverse of the short put strikes in connection with FOMC. Not looking for much out of this ... .
... for a .60/contract credit.
Notes: A VIX term structure trade with a break even at or above where the corresponding /VX future is trading. Designed to emulate what a correspondent front month futures contract in /VX does as it converges on spot, the short call vertical has a 16.60 break even versus the October /VX contract at 16.55.
Will look to take...
EARNINGS
On initial screen for high rank/high implied, here are next week's potential winners for earnings-related volatility contraction plays: AAPL (31/27) (Tuesday after market close), X (52/54) (Thursday after market close), GILD (30/27) (Tuesday after market close), and BIDU (50/41) (Tuesday, but unspecified as to before or after market close). Because...
... for a .40 credit.
Notes: Another "not a penny more" short put with a resulting cost basis of 51.60/share if assigned. As with my XLU and HYG not a penny mores (See Posts Below), will look to roll "as is" for a credit on at least a quarterly basis until assigned or that's no longer productive. Current yield of 2.99%; $178 annualized on a one lot ... .
This...
... for a .48 credit.
Notes: One of the underlyings on my IRA shopping list, pulling the trigger here on a "not a penny more"* short put at the 52 strike with a resulting cost basis of 51.52/share if assigned on the 52 shortie. The current yield is 3.06% with an annualized dividend of 1.85.
Will look to roll out "as is" at least quarterly for further cost basis...
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