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NaughtyPines NaughtyPines VXX, 120, Short ,
VXX: OPENING: VXX JAN 19TH 33/35 SHORT CALL VERTICAL
82 3 4
VXX, 120 Short
OPENING: VXX JAN 19TH 33/35 SHORT CALL VERTICAL

... for a .66/contract credit on another VXST/VIX >1.00 print. Probability of Profit: 52% Max Profit: .66 ($66)/contract Max Loss: 1.34 ($134)/contract BE: 33.66 Notes: Will start to look at taking profit north of 50% max ... .

NaughtyPines NaughtyPines IWM, D,
IWM: COMPARISON AND CONTRAST: CREDIT SPREAD OR DEBIT SPREAD?
69 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 VIX, D, Short ,
VIX: OPENING: VIX FEB 14TH 16/19 SHORT CALL VERTICAL
50 3 7
VIX, D Short
OPENING: VIX FEB 14TH 16/19 SHORT CALL VERTICAL

... for a .77/contract credit. Metrics: Probability of Profit: 89% Max Profit: $77/contract Max Loss: $223/contract Break Even: 16.77 Notes: This is way farther out than I generally like to go with these, but with the /VX term structure the way it is currently and the way it has been for the past several months, this is probably the best I'm going to get until ...

NaughtyPines NaughtyPines VXX, 240, Short ,
VXX: OPENING: VXX OCT 20TH 52/54 SHORT CALL VERT
88 3 11
VXX, 240 Short
OPENING: VXX OCT 20TH 52/54 SHORT CALL VERT

... for a .50 credit. Probability of Profit: 63% Max Profit: $50/contract Max Loss: $150/contract Break Even: 52.50 Notes: Setting this up at the 50 delta strike. The set up isn't that "sexy" in terms of premium collected versus max loss, but going small on this minor VIX pop. Would prefer going 50 delta short call vert in this instrument on corresponding /VX ...

NaughtyPines NaughtyPines FXE, D, Short ,
FXE: FXE: TWO BEARISH OPTIONS SETUPS
35 0 6
FXE, D Short
FXE: TWO BEARISH OPTIONS SETUPS

FXE JUNE 16TH 105/108 SHORT CALL VERTICAL The first of the two setups is a "static" short call vertical with a break even around 106 resistance. Metrics: Probability of Profit: 58% Max Profit: $120/contract Max Loss: $180/contract BE: 106.20 Notes: Look to manage at 50% profit. FXE JUNE 16TH 107 SHORT CALL/SEPT 15TH 110 LONG CALL DIAGONAL This particular ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JULY 19TH 16/19 SHORT CALL VERTICAL
35 0 10
VIX, D
OPENING: VIX JULY 19TH 16/19 SHORT CALL VERTICAL

... for a .75 ($75)/contract credit. Another "Term Structure" trade (See Posts, Below). Since the beginning of the year, all of them have been setup as 16/19's or 17/20's and have been filled for around .75/contract. Naturally, I look to set these up in expiries of 90 days or less; 120 days, after all, is an awfully long time to "get your candy." That being ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JUNE 17/20 SHORT CALL VERTICAL
117 5 10
VIX, D
OPENING: VIX JUNE 17/20 SHORT CALL VERTICAL

This is a VIX futures "Term Structure" trade (see Post Below) ... . It's farther out than I like to go, but I only have one other VIX setup on -- a May 16/19 short call vertical. You can either consult the June VIX futures price and look to set up your short call using that price as a guide, or sell the spread with the short call at ~50 delta. Filled for a .75 ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX MARCH 22ND 16/19 SHORT CALL VERT
70 0 6
VIX, D
OPENING: VIX MARCH 22ND 16/19 SHORT CALL VERT

This is another one of them there "Term Structure" trades which use the VIX futures as a guide for the short call strike. Here, I'm using /VXH7, which is the March VIX futures contract, which is currently trading at 15.72, so I'm using the 16 short call in VIX. ... Filled for a .71 credit. Notes: This is a little bit farther out in time than I generally like to ...

NaughtyPines NaughtyPines UVXY, 180, Short ,
UVXY: TRADE IDEA: UVXY (POST SPLIT) FEB 17TH SHORT CALL VERTICAL
139 0 5
UVXY, 180 Short
TRADE IDEA: UVXY (POST SPLIT) FEB 17TH SHORT CALL VERTICAL

I'm doing a little planning ahead here for the UVXY 5-1 reverse split, currently scheduled to occur on Jan 12th. Truth be told, UVXY is not one of my favorite VIX derivatives to play, largely due to options liquidity, which leads to wide bid/asks that you have to putz with in order to get filled for something vaguely approaching a "fair price." Nevertheless, I ...

NaughtyPines NaughtyPines VIX, D, Short ,
VIX: OPENING: VIX FEB 20TH 17/20 SHORT CALL VERT
64 0 10
VIX, D Short
OPENING: VIX FEB 20TH 17/20 SHORT CALL VERT

... for a .66 ($66)/contract credit. I did this on 12/30, but neglected to post it. This was another VIX "Term Structure" trade (See Post Below) using the Feb VIX futures contract price as a guide. The Feb contract was going for 16.55, so I used the nearest strike above that price, the 17, for my short call leg. With these, I'm playing it "by ear" as to the ...

NaughtyPines NaughtyPines VXX, D,
VXX: EXAMPLE: VXX 30 DTE X/X+3 ATM SHORT CALL VERT (CONTANGO DRIFT)
150 0 5
VXX, D
EXAMPLE: VXX 30 DTE X/X+3 ATM SHORT CALL VERT (CONTANGO DRIFT)

As previously noted in other posts, the short volatility product plays I like most are "Term Structure" plays in VIX and "Contango Drift" plays in VIX derivatives, with the preference being toward the latter play, since you're getting in on a pop in VIX and then taking advantage of "Contango Drift" in the derivatives to the downside (in UVXY, VXX; SVXY is an ...

NaughtyPines NaughtyPines VXX, D,
VXX: WHAT I'M LOOKING AT FOR EARLY 2017: VIX/VIX DERIVATIVE PLAYS
101 1 7
VXX, D
WHAT I'M LOOKING AT FOR EARLY 2017: VIX/VIX DERIVATIVE PLAYS

With Dough transitioning over to TastyWorks (it's basically Dough on steroids), I'm looking to wind up positions I've got on here over the next several weeks so that I can transition over to TastyWorks, which will not interface with TDA accounts. While I can naturally use ThinkOrSwim (ToS), it just doesn't have the features of Dough that I've come to know and ...

NaughtyPines NaughtyPines VIX, D, Short ,
VIX: VIX TERM STRUCTURE TRADE: VIX FEB 15TH 16/19 SHORT CALL VERT
133 5 11
VIX, D Short
VIX TERM STRUCTURE TRADE: VIX FEB 15TH 16/19 SHORT CALL VERT

The two types of trades I like in VIX/VIX derivatives are (1) a "Term Structure" trade in VIX options; and (2) "Contango Drift" trades in the derivatives VXX, UVXY, and (inversely) SVXY. A "term structure" trade capitalizes on current VIX spot price in relation to VIX futures months' prices which, the vast majority of the time, are higher than current spot price, ...

NaughtyPines NaughtyPines VIX, D,
VIX: TRADE IDEA: JAN 18TH 14.5/17 SHORT CALL VERT
66 0 7
VIX, D
TRADE IDEA: JAN 18TH 14.5/17 SHORT CALL VERT

If you're familiar with VIX Term Structure, you'll know that the VIX spot price is currently lower than the front month /VX future. Currently, VIX is at 11.7 and the Jan VIX futures contract is at 14.55. The notion here is that the VIX spot price and the Jan VIX futures contract price will converge at some between now and the Jan VIX futures contract expiry ...

NaughtyPines NaughtyPines IWM, D,
IWM: ROLLING: IWM DEC 16TH 128/132 SHORT CALL VERT ...
68 4 8
IWM, D
ROLLING: IWM DEC 16TH 128/132 SHORT CALL VERT ...

... to the Dec 23rd 130/135 for a .25 credit. I previously rolled to the Dec 16th expiry with the intention of setting up an iron fly there by selling a put side against. Unfortunately, I set up the short put vert (which I sold for .43 cr) in the Dec 23rd expiry, so at that point, I had a weird ass setup -- a Dec 16th 128/131 short call vert with a Dec 23rd ...

NaughtyPines NaughtyPines IWM, D,
IWM: ROLLING: IWM DEC 9TH 127/131 SHORT CALL VERT TO DEC 16TH 128/132
36 0 6
IWM, D
ROLLING: IWM DEC 9TH 127/131 SHORT CALL VERT TO DEC 16TH 128/132

After having taken the short put side of this "troubled" iron condor off for near worthless (.05), I rolled the call side out another week and improved the spread by a strike. I filled this for a .57 db, and tomorrow I'll look at selling a setup to finance this roll and then look at its scratch point ... .

NaughtyPines NaughtyPines VIX, D,
VIX: VIX: FOR THE NEXT POP, LADDERED SHORT CALL VERTS
48 0 4
VIX, D
VIX: FOR THE NEXT POP, LADDERED SHORT CALL VERTS

The last VIX pop around elections, I chose to piddle with an SVXY ATM short put credit spread (see post below). It worked out great, but SVXY isn't the most liquid thing in the world (I knew that going in). In comparison, VIX options are about the cleanest short volatility setup you can get, although a small drawback is that you won't get the added contango ...

NaughtyPines NaughtyPines VXX, D, Short ,
VXX: TRADE IDEA: VXX DEC 16TH 37/40 SHORT CALL VERTICAL
58 0 4
VXX, D Short
TRADE IDEA: VXX DEC 16TH 37/40 SHORT CALL VERTICAL

A short volatility trade here on the notion that VIX reverts to its mean in fairly short order post-election ... . Metrics: Probability of Profit: 57% Max Profit: $105/contract Max Loss/Buying Power Effect: $195/contract Break Even: 38.05 Notes: This, in all likelihood, will require adjustment at open so that the break even is at or near current price. Look to ...

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