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
I trade volatility, not direction.
Markets Allocation
77 % stocks 9 % indices 1 % forex 13 % other
Top Mentioned Symbols
SPY 7% | 53 SPX 5% | 38 IWM 4% | 33 VIX 4% | 33
NaughtyPines NaughtyPines TLT, D, Long ,
TLT: TRADE IDEA: TLT AUG 18TH 125/OCT 20TH 121 PUT DIAGONAL
14 0 4
TLT, D Long
TRADE IDEA: TLT AUG 18TH 125/OCT 20TH 121 PUT DIAGONAL

Here, I'm just looking to do some old school inversely correlated action in treasuries to compliment a bullish SPY diagonal I'm working separately. Ordinarily, I'd hedge a bullish SPY setup with a bearish SPY setup (e.g., an iron condor or a double diagonal) but working the call side of SPY is somewhat pesky due to skew, and I'd rather keep things somewhat simple ...

NaughtyPines NaughtyPines QQQ, D,
QQQ: TRADE IDEA: QQQ AUG 18TH 127/130/145/147 IRON CONDOR
40 0 7
QQQ, D
TRADE IDEA: QQQ AUG 18TH 127/130/145/147 IRON CONDOR

The Q's have the highest implied volatility rank among the four major index exchange traded funds. That being said, I generally look to bring in one-third the width of the widest wing with these with the short options set up at the 20 delta, and I'm not getting that here, so it's less than ideal ... . The metrics: Probability of Profit: 62% Max Profit: ...

NaughtyPines NaughtyPines COST, D,
COST: TRADE IDEA: COST JULY 21ST 155/158/175/178 IRON CONDOR
87 0 9
COST, D
TRADE IDEA: COST JULY 21ST 155/158/175/178 IRON CONDOR

After news of AMZN's acquisition of WFM, COST's implied volatility has popped here, with its implied volatility rank ramping up to the 67th percentile over the preceding 52-week period, and with background implied volatility at 21%, making a premium selling play potentially worthwhile. Metrics: Probability of Profit: 64% Max Profit: $93/contract Max Loss/Buying ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JULY 21ST 9/12.5/12.5/16 IRON FLY
21 0 9
VIX, D
OPENING: VIX JULY 21ST 9/12.5/12.5/16 IRON FLY

Without a ton of stuff to do here premium selling wise that meets my standards, layering on some more VIX fly in the July expiry (35 DTE). July /VX futures contract is currently trading at 12.45, so that's where I set up the short straddle body of the set up. Metrics: Max Profit: 1.82/contract Max Loss/Buying Power Effect: 1.68/contract Break Evens: ...

NaughtyPines NaughtyPines QQQ, D,
QQQ: THE WEEK AHEAD: QQQ AND XOP/XLE
90 0 9
QQQ, D
THE WEEK AHEAD: QQQ AND XOP/XLE

With Friday seeing a pop in QQQ implied volatility (six month implied volatility rank at 100; background implied at 19%), I'm looking to add in a touch of broad index core position here in the Q's, having just exited all my June setups. I have depicted the neutral assumption, defined risk July 21st 131/134/2 x 145/2 x 146 iron condor here (probability of profit: ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JULY 21ST 10/12.5/12.5/15 IRON FLY
25 0 8
VIX, D
OPENING: VIX JULY 21ST 10/12.5/12.5/15 IRON FLY

... for a 1.60 credit. With the /VX July contract currently trading at 12.74, this is basically a bet that VIX will finish between current VIX price and the VIX futures front month price around expiry, although anything between 10.90 and 14.10 will do ... . Metrics: Max Profit: 1.60/contract Max Loss/BPE: .90/contract BE's at 10.90/14.10 Notes: Will look to ...

NaughtyPines NaughtyPines XLE, W, Long ,
XLE: TRADE IDEA: XLE SEPT 15TH 57/JULY 21ST 67 PMCC*
24 0 4
XLE, W Long
TRADE IDEA: XLE SEPT 15TH 57/JULY 21ST 67 PMCC*

* -- Poor Man's Covered Call. One of the few sectors that hasn't benefited from the post- November election run-up is XLE, so I'm looking to get into a bullish play here where price of the underlying is comparatively low. Here, I'm basically looking to emulate a full-on covered call using a deep in the money call in September to stand in for stock, 100 shares of ...

NaughtyPines NaughtyPines IWM, D,
IWM: THE WEEK AHEAD: PIVOT TO NON-HIGH VOLATILITY STRATEGIES
49 0 6
IWM, D
THE WEEK AHEAD: PIVOT TO NON-HIGH VOLATILITY STRATEGIES

With this quarter's earnings season all but over and with VIX trundling along at sub-10 levels, there is a paucity of high implied volatility plays in the market for premium selling, so I'm looking at deploying something in either low volatility strategies (diagonals) or in directional plays that I've been eyeing. Screening for underlyings with greater than 70% ...

NaughtyPines NaughtyPines SPY, D, Long ,
SPY: OPENING: SPY JULY 2ND 237.5/AUG 18TH 235 PUT DIAGONAL
62 0 8
SPY, D Long
OPENING: SPY JULY 2ND 237.5/AUG 18TH 235 PUT DIAGONAL

... for a 1.07 debit. This is really part of my SPY core position, but I thought I'd set it out separately here, since I will manage it as a standalone trade. The reason why I put this on here is that (a) I'm in need of long delta for my SPY core position; (b) we're in a low volatility environment and diagonals benefit from a volatility expansion; and (c) the ...

NaughtyPines NaughtyPines P, W,
P: OPENING: P JULY 21ST 6/9/9/12 IRON FLY
34 0 5
P, W
OPENING: P JULY 21ST 6/9/9/12 IRON FLY

... for a 1.71 credit. Metrics: POP%: 50% Max Profit: 1.71 Max Loss/Buying Power Effect: 1.29 BE's at 7.29/10.71 Notes: Will look to manage at 25% max.

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JULY 21ST 10/13/13/16 IRON FLY
22 0 7
VIX, D
OPENING: VIX JULY 21ST 10/13/13/16 IRON FLY

... for a 1.96 credit Metrics: POP%: 31% Max Profit: 1.96/contract Max Loss: 1.04/contract BE's at 11.04/14.96 Notes: I'll look to manage this at 25% max.

NaughtyPines NaughtyPines VIX, D,
VIX: THE WEEK AHEAD: VIX, P, AND EWZ
41 0 8
VIX, D
THE WEEK AHEAD: VIX, P, AND EWZ

VIX With July VIX options at 51 days until expiry, it's time again for a monthly VIX iron fly: VIX July 21st 10/13/13/16 Iron Fly Metrics: Max Profit: 2.00 at the mid POP: <1% Max Loss/Buying Power Effect: 1.00 Break Evens: 11/15 Notes: This setup involves looking at the /VX futures monthly expiry nearest to 45 days until expiration. That is currently ...

NaughtyPines NaughtyPines IWM, D,
IWM: TRADE IDEA: IWM JUNE 30TH/AUG 18TH 128/132/142/145 DBL DIAGONAL
42 0 9
IWM, D
TRADE IDEA: IWM JUNE 30TH/AUG 18TH 128/132/142/145 DBL DIAGONAL

Diagonals are considered a low volatility strategy that look for volatility expansion going forward, and with VIX finishing the week in sub-10 territory, there probably isn't a better time to put one on. Here the legs of the setup are around the 20 delta strike, although a variation is to go for a small net credit where the credit received for the short options ...

NaughtyPines NaughtyPines XOP, W, Long ,
XOP: XOP: THREE BULLISH ASSUMPTION PLAYS IN ADVANCE OF OPEC TALKS
38 0 8
XOP, W Long
XOP: THREE BULLISH ASSUMPTION PLAYS IN ADVANCE OF OPEC TALKS

With XOP hanging around horizontal support here and with OPEC output cut extension talks and jawboning on the near-term horizon, it only makes sense to talk about petro plays with a bullish assumption, particularly due to XOP implied volatility rank (in the 74th percentile over the past six months) with background implied volatility at 34. Here are ...

NaughtyPines NaughtyPines XOP, W,
XOP: THE WEEK AHEAD: HPQ, LOW, BBY, GME EARNINGS; XOP, EWZ (NON)
42 0 7
XOP, W
THE WEEK AHEAD: HPQ, LOW, BBY, GME EARNINGS; XOP, EWZ (NON)

EARNINGS HPQ, LOW, BBY, and GME are all up for earnings announcements. Out of these, BBY and GME appear to be the best candidates for premium selling, given their implied volatility rank and background implied volatility metrics, although virtually every liquid underlying with an earnings announcement bears watching; implied volatility can pop at the last ...

NaughtyPines NaughtyPines XOP, W,
XOP: OPTIONS TIP: TRADING WHILE ON THE ROAD
19 0 6
XOP, W
OPTIONS TIP: TRADING WHILE ON THE ROAD

With summer somewhat upon us and with my wife making various plans (she's basically the family "travel agent"/"arranger"), I'm looking to wind down "higher attention span" setups and get into lower key/lower maintenance setups here so that I'm not driving her nuts on the road. "Hey, I just need to pull off here for a few and look at a few trades ... " gets pretty ...

NaughtyPines NaughtyPines EWZ, D,
EWZ: OPENING: EWZ JULY 21ST 26/28/38.5/40.5 IRON CONDOR
20 0 7
EWZ, D
OPENING: EWZ JULY 21ST 26/28/38.5/40.5 IRON CONDOR

... for a .61 credit. With EWZ caving heftily here and implied volatility popping, I'm going back to the Brazilian well narrow and small, since I can foresee this having some volatility in it for a bit, in which case I may want to add to the position. Metrics: POP%: 63% Max Profit: $61/contract Max Loss/Buying Power Effect: $139/contract BE's: ...

NaughtyPines NaughtyPines IWM, D,
IWM: OPENING: IWM JUNE 16TH 128/131/141/142 "DOUBLE DOUBLE"
39 0 7
IWM, D
OPENING: IWM JUNE 16TH 128/131/141/142 "DOUBLE DOUBLE"

This is basically an iron condor variation where you double up the number of contracts on the call side while going narrower with the call side spread. Due to "the math" of that, there is no additional buying power effect, but you collect some additional credit ... . Metrics: Probability of Profit: 57% Max Profit: $76/contract Max Loss/Buying Power Effect: ...

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