Although this trade isn't quite ripe for me yet (I'm waiting for all time highs (circled), I thought I'd stick it out there in order to price the setup out, at least preliminarily. Naturally, the strike prices and/or expiries will have to be adjusted should a short opportunity come to pass ... . As with my TLT calendar (See Post Below), this trade operates on...
Metrics:
Max Profit on Setup: 3.00
Max Loss/Buying Power Effect on Setup: 6.00
Break Even: 26 versus 26.06 spot
Debit Paid to Spread Width Ratio: 67%
Delta: -48.42 (bearish assumption)
Theta: .28
Notes: In an ideal world, there would be a December expiry currently available for the front month leg (there will be one after October drops off) and a price in the 28...
... for a 4.19/contract debit.
Metrics:
Max Profit: 1.81/contract
Max Loss/Buying Power Effect: 4.19/contract
Debit Paid to Spread Width Ratio: 4.19/6.00 = 69.83%
Break Even: 43.81
Theta: .72
Delta: -42.45
Notes: Going split month downward put diagonal/synthetic covered put here at or near 2018 highs.
Metrics:
Max Loss/Buying Power Effect on Setup: $636/contract
Max Profit on Setup: $264/contract (41.54% ROI at max; 20.75% at 50% max)
Break Even: 43.64 versus 43.58 spot
Debit Paid/Spread Width Ratio: 70.7%
Theta: .84
Delta: -54.75
Notes: I'm not going to put this setup on quite yet, as I would prefer that the price of the underlying be "at the top of the box"...
... for a .04/contract credit.
Max Profit on Setup: $4/contract
Max Loss on Setup: $196/contract (width of the spread minus credit received)
Break Even on Setup: 19.96
Delta: 27.37
Theta: .43
Notes: Taking a small bullish shot on gold weakness here with a net credit, calendarized short put vertical. Naturally, I'm not collecting much credit here on fill, but...
.... for a 2.74/contract debit.
Metrics:
Max Loss on Setup: $274/contract
Max Profit on Setup: $126/contract
Break Even: 73.26
Debit Paid/Spread Width Ratio: 2.74/4 or 68.5%
Theta: 1.14
Delta: -39.63
Notes: Selling semicons on strength. Will start to look to take profit at 50% of max.
While I'm waiting for my August monthly premium selling plays to grind out, I'm pounding the pavement for potential directional plays to get in on. Late last week, I shorted TLT at the 122 horizontal resistance level I alerted last week via the inverse TBT, (See TBT Upward Call Diagonal Post Below), so I'm looking for fun in other places, one of which is in USO,...
Short on strength/horizontal resistance ... .
Metrics:
Max Profit on Setup: $208/contract
Max Loss on Setup: $489/contract
Break Even: 122.08 vs. 122.11 spot
Debit Paid to Spread Width Ratio: 489/700 = 69.9%
Notes: This assumes that this level (122) sticks around or is available at NY open. Ideal profit would be ~20% of what you put it on for (.20 x 4.89 =...
... for a 4.83/contract debit. Fading the treasuries move higher ... again.
Here are the metrics:
Max Loss On Setup: $483
Max Profit On Setup: $217
Break Even on Setup: 121.17
Debit Paid/Spread Width Ratio: 69%
Theta: .32
Delta: -42.26
Notes: Will look to take profit at 20% max. Ordinarily, I like to do these skip month (e.g., Aug/Oct) to give me an...
... for an .79/contract credit.
Taking a directional shot here on silver weakness. In essence, it's a synthetic covered call with the short put aspect of the setup around the 70 delta. The long put is thrown in to bring in buying power effect over the naked for those that are working in a cash secured environment. On margin, you won't be saving much in buying...
... for a .07/contract credit.
Taking a directional shot here at long-term horizontal support, with some flexibility to roll the short put aspect down in the event I'm wrong.
Notes: Will roll the short put aspect "as is" on 50% decrease in value and look to exit for 20% the width of the spread in profit.
... for a 1.35/contract debit.
I seem to be taking quite a few directional shots lately. Here's a neutral to bearish one in the Euro proxy (FXE) where I paid 1.35 for a two-wide (67.5% the width of the spread).
... for a .03/contract credit.
Another small, defined risk neutral to bullish assumption directional a la the XOP diagonal I just put on. (See Post Below).
As with the XOP trade, shooting for the long maintaining at least 50% of its value at expiry of the shortie at or near worthless or (alternatively) its value exceeding the value of the shortie by .32/contract...
... for a .20/contract credit.
As a diagonal, there aren't many metrics to talk about, since outcome is almost wholly dependent on price action and how much you can get in credit on roll of the short aspect of the setup.
However, the setup was 9.18 delta long and had a positive theta metric of 3.09 on fill ... .
Here are the possible scenarios:
1) Price rips...
... for a .15/contract credit.
As with any diagonal, there aren't many metrics to provide, since max profit is dependent on the number of rolls undertaken, the credit received for each, as well as whether the long maintains value. However, the max loss is the width of the spread (3) minus the credit received for the setup (.15) or 2.85. This is the max I can...
... for an .11 credit.
Here, I'm looking for a defined risk strategy with which to play earnings that doesn't subject me to the risk on both sides if the underlying rips hard in a larger than expected move.
There are several different ways to play these: (a) Wait for the short put to approach worthless. At that point, examine what the long is worth. If its...
