NaughtyPines

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About me Focusing on IVR (Implied Volatility Rank), I look to sell premium, focusing primarily on indices (SPY/DIA/IWM) and treasuries (TLT/TBT) using short vertical spreads, iron condors, and short strangles.
Joined United States
Rock, Paper, Scissors, Spock
Markets Allocation
78 % stocks 9 % indices 1 % forex 13 % other
Top Mentioned Symbols
SPY 7% | 56 SPX 5% | 38 VIX 4% | 35 IWM 4% | 34
NaughtyPines NaughtyPines HTZ, D,
HTZ: FOUR OPTIONS TRADE IDEAS FOR NEXT WEEK: HTZ, TLT, GLD, AND XOP
48 1 4
HTZ, D
FOUR OPTIONS TRADE IDEAS FOR NEXT WEEK: HTZ, TLT, GLD, AND XOP

... , one high implied volatility (HTZ), two low implied volatility (TLT, GLD), and one long-dated bullish assumption oil trade (XOP). High Implied Volatility HTZ "Monied" Covered Call Buy 100 Shares at 16.96 Sell Oct 20th 15 call 13.99 db (your cost basis in the shares) 1.01 max profit if called away at 15 Notes: Roll the short call out for additional cost ...

NaughtyPines NaughtyPines SVXY, D, Long
SVXY: OPENING: SVXY SEPT 15TH 79/81 SHORT PUT VERT
91 3 11
SVXY, D Long
OPENING: SVXY SEPT 15TH 79/81 SHORT PUT VERT

... for a 1.03 credit. I put this on "on the fly" on Friday. Basically, I'm looking to get a credit equal to max loss with these, so I put this in-the-money short put vertical on for a 1.03 credit with a buying power effect of .97 (risk one to make one) with the notion that contango* will erode the position running into expiry ... . Notes: Will look to "money, ...

NaughtyPines NaughtyPines VIX, D,
VIX: THE WEEK AHEAD: VIX, SPY, IWM, QQQ, DKS, FL, TEVA
82 1 9
VIX, D
THE WEEK AHEAD: VIX, SPY, IWM, QQQ, DKS, FL, TEVA

Unless you've been living under a rock somewhere, you'll know that last week we experienced a pop in VIX. Ordinarily, this would get me somewhat excited to put on broad market index exchange-traded fund stuff in SPY, IWM, and QQQ. However, running my standard defined risk setups in those underlyings has led to minor disappointment -- while they are paying more ...

NaughtyPines NaughtyPines GLD, D,
GLD: OPENING: GLD SEPT 15TH/MARCH 16TH 117 PUT CALENDAR
68 0 8
GLD, D
OPENING: GLD SEPT 15TH/MARCH 16TH 117 PUT CALENDAR

... for a 2.47 db (low implied volatility rank/low implied volatility). Metrics: Buying Power Effect: $247/contract Theta: .57 Delta: -15.07 Notes: Will look to take profit at 20% max/roll sides as price dictates.

NaughtyPines NaughtyPines SPY, D,
SPY: OPENING: SPY SEPT 15TH/DEC 15TH 243 PUT CALENDAR
75 3 7
SPY, D
OPENING: SPY SEPT 15TH/DEC 15TH 243 PUT CALENDAR

Putting on some more low volatility strategy stuff in this low volatility market ... . There aren't many metrics to look at: Buying Power Effect: 3.55 db Theta: 1.08 Delta: -9.57 As with the IWM put calendar (see Post below), will work both ends of the candle, rolling the long away profitably, rolling the short away/out profitably while keeping the width of any ...

NaughtyPines NaughtyPines DIS, D,
DIS: THE WEEK AHEAD: DIS, M, NVDA, VIX, GLD
69 0 5
DIS, D
THE WEEK AHEAD: DIS, M, NVDA, VIX, GLD

With VIX continuing to rattle around at sub-11 levels (it finished Friday's session at 10.03), the place to sell premium remains in earnings, although even there the pickings are slim, as broad market low volatility bleeds through the entire market. The decently liquid underlyings on tap for earnings next week: DIS, M, and NVDA, with DIS announcing Tuesday after ...

NaughtyPines NaughtyPines AAPL, D,
AAPL: THE WEEK AHEAD: AAPL, UAA
128 0 8
AAPL, D
THE WEEK AHEAD: AAPL, UAA

Earnings AAPL announces Tuesday after market close Aug 11th 142/157.5 20-delta short strangle Probability of Profit: 74% Max Profit: $191/contract Max Loss/Buying Power Effect: Undefined Break Evens: 140.09/159.41 (wide of 1 standard deviation on both sides) Theta: 19.34 Delta: .79 Aug 11th 137/142/157.5/162.5 20-delta iron condor Probability of Profit: 70% Max ...

NaughtyPines NaughtyPines AMD, D,
AMD: OPENING: AMD AUG 18TH 13 SHORT PUT/OCT 20TH 11 LONG PUT DIAGONAL
170 1 13
AMD, D
OPENING: AMD AUG 18TH 13 SHORT PUT/OCT 20TH 11 LONG PUT DIAGONAL

... 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 ...

NaughtyPines NaughtyPines IWM, D,
IWM: OPENING: IWM AUG 18TH SHORT PUT/NOV 17TH LONG PUT CALENDAR
89 5 8
IWM, D
OPENING: IWM AUG 18TH SHORT PUT/NOV 17TH LONG PUT CALENDAR

... for a 2.71 db. I don't have any IWM on, and we're in a low volatility market, and calendars are a low volatility strategy, so putting one on here ... . The back month is setup around the 40 delta; the front at the same strike as the back. Unfortunately, as with all calendars and diagonals, they're aren't a good deal of metrics to look at. Here's what we do ...

NaughtyPines NaughtyPines SPY, D,
SPY: OPENING: SPY SEPT 15TH 238/241/249/251 IRON CONDOR
56 0 6
SPY, D
OPENING: SPY SEPT 15TH 238/241/249/251 IRON CONDOR

... for a .93 credit. I really wanted to open up a QQQ 45 DTE, but a Sept 8th expiry is not yet available, so this will have to do. Metrics: Probability of Profit: 43% Max Profit: $93/contract Max Loss/Buying Power Effect: $207/contract Break Evens: 240.07/251.93 (~expected move on both sides) Theta: .77 Delta: -2.4 Notes: Will look to take profit at 50% max.

NaughtyPines NaughtyPines CSX, D,
CSX: OPENING: CSX JULY 28TH 50.5/53/56/58.5 IRON CONDOR
36 0 6
CSX, D
OPENING: CSX JULY 28TH 50.5/53/56/58.5 IRON CONDOR

... for a .99 credit. Metrics: Probability of Profit: 50% Max Profit: $99/contract Max Loss/Buying Power Effect: $151/contract Break Evens: 52.01/56.99 (Slightly wide of expected move) Delta: -3.55 Theta: 4.77 Notes: Will look to manage at 50% max.

NaughtyPines NaughtyPines IBM, D,
IBM: OPENING: IBM JULY 28TH 145/148/160/162.5 IRON CONDOR
56 0 7
IBM, D
OPENING: IBM JULY 28TH 145/148/160/162.5 IRON CONDOR

... for a 1.10 credit. It announces earnings today after market close. Metrics: Probability of Profit: 54% Max Profit: $110/contract Max Loss/Buying Power Effect: $190/contract Break Evens: 146.90/161.10 (Wide of expected move, both sides) Delta: .37 Theta: 6.08 Notes: The strikes were pesky on the call side. It was either go five-wide or 2 1/2 wide on the ...

NaughtyPines NaughtyPines SPY, D,
SPY: OPENING: SPY SEPT 1ST 238/241/249/251 IRON CONDOR
47 0 8
SPY, D
OPENING: SPY SEPT 1ST 238/241/249/251 IRON CONDOR

... for a .95 credit. I really wanted to go with the highest implied volatility broad index exchange-traded fund (SPY, IWM, QQQ, DIA), 45 days until expiration, but the bid/asks were wide on both IWM and QQQ in the Sept 1st expiry, so went with SPY instead, which had a much tighter bid/ask. The short options here are set up around the 30 delta, so I'm somewhat ...

NaughtyPines NaughtyPines NFLX, D,
NFLX: THE WEEK AHEAD: NFLX, IBM, CSX, EBAY, MSFT EARNINGS
150 0 8
NFLX, D
THE WEEK AHEAD: NFLX, IBM, CSX, EBAY, MSFT EARNINGS

Although many of next week's earnings plays aren't up to my usual snuff due to lower implied volatility invading the entire market with VIX at sub-10 levels, some of these announcements might offer decent premium even though the metrics for a volatility contraction play aren't ideal (>70 implied volatility rank, >50 background implied volatility). Here, I'm ...

NaughtyPines NaughtyPines QQQ, D,
QQQ: OPENING: QQQ AUG 25TH 131/134/143/145 IRON CONDOR
59 4 9
QQQ, D
OPENING: QQQ AUG 25TH 131/134/143/145 IRON CONDOR

... for a 1.10/contract credit. QQQ still has the highest implied volatility of the four "majors" (SPY, QQQ, IWM, DIA). Going with the expiry nearest 45 DTE. Metrics: Probability of Profit: 51% Max Profit: $110/contract Max Loss/Buying Power Effect: $190/contract Break Evens: 132.90/144.10 Delta: -1.38 Theta: 1.12 Notes: Will look to manage at 50% max.

NaughtyPines NaughtyPines QCOM, D,
QCOM: THE WEEK AHEAD: (WHAT'S LEFT OF IT) -- XLK, QQQ SETUPS
86 0 11
QCOM, D
THE WEEK AHEAD: (WHAT'S LEFT OF IT) -- XLK, QQQ SETUPS

With this holiday foreshortened trading week, premium selling pickings remain slim. The vast majority of underlyings with 52-week >70 implied volatility rank are in stocks that are ramping up for earnings -- e.g., QCOM (71) with earnings in 15, MSFT (79) (16 days), AAPL (75) (21). In that case, you might as well wait to look at those closer to announcement to ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX AUG 16TH 9/12.5/12.5/16 IRON FLY
57 2 8
VIX, D
OPENING: VIX AUG 16TH 9/12.5/12.5/16 IRON FLY

Going to bite on an August setup here ... . Metrics: Max Profit: $190/contract Max Loss/Buying Power Effect: $160/contract Break Evens: 10.40/14.40 Theta: .94 Delta: 17.02 Notes: Previously, the recommendation was to shoot for 25% max profit on these. If you do that, however, you'll have to wait until the very last moment, generally, so shooting for 10% max on ...

NaughtyPines NaughtyPines QQQ, D,
QQQ: TRADE IDEA: QQQ AUG 18TH 132/135/145/147 IRON CONDOR
66 1 8
QQQ, D
TRADE IDEA: QQQ AUG 18TH 132/135/145/147 IRON CONDOR

It's got the highest implied volatility among the broad-index exchange traded funds. Going delta neutral here to get some theta on and decaying. Metrics: Probability of Profit: 51% Max Profit: $102/contract Max Loss: $198/contract Break Evens: 133.98/146.02 Theta: .98 Delta: .59 Notes: Will look to manage at 50% max.

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