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% | 57 VIX 5% | 39 SPX 5% | 38 IWM 4% | 36
NaughtyPines NaughtyPines DBA, W, Long ,
DBA: TRADE IDEA: DBA APRIL 20TH 18/20 LONG CALL VERTICAL
77 4 5
DBA, W Long
TRADE IDEA: DBA APRIL 20TH 18/20 LONG CALL VERTICAL

Metrics: Probability of Profit: 38% Max Profit: $140/contract Max Loss: $60 contract Break Even: 18.60 Notes: With the underlying at all-time lows, going for a small directional shot. Going out to April to attempt to take advantage of potential seasonality. Fills look to be pesky, with the bid/ask on this setup at .55/.65 (mid .60) ... . I would also note ...

NaughtyPines NaughtyPines VIX, D, Short ,
VIX: OPENING: VIX APRIL 18TH 14/17 LONG PUT VERTICAL
19 0 4
VIX, D Short
OPENING: VIX APRIL 18TH 14/17 LONG PUT VERTICAL

... for a 2.24 debit. Metrics: Probability of Profit: 89% Max Profit: $76/contract Max Loss: $224/contract Break Even: 14.76 Metrics: Here's the live trade for the VXMT-guided, medium term volatility trade referenced in the post below. At the time of the trade, VXMT was at 14.46, which is approximately the price at which the April futures contract is trading ...

NaughtyPines NaughtyPines VXX, 240, Short ,
VXX: OPENING: VXX JAN 26TH 30/33 LONG PUT VERTICAL
16 0 4
VXX, 240 Short
OPENING: VXX JAN 26TH 30/33 LONG PUT VERTICAL

... for a 2.22/contract debit. Metrics: Probability of Profit: 64% Max Profit: $78/contract Max Loss: $222/contract Break Even: 30.78 Notes: With UVXY sliding below 12, it's losing a bit of granularity here due to its size, so I'm switching over to VXX for a bit until UVXY reverse splits (which usually occurs around $8-$9) (i.e., it's a bigger move for UVXY to ...

NaughtyPines NaughtyPines VIX, D, Short ,
VIX: TRADE IDEA: VIX MARCH 21ST 15/18 LONG PUT VERTICAL
28 3 3
VIX, D Short
TRADE IDEA: VIX MARCH 21ST 15/18 LONG PUT VERTICAL

Metrics: Probability of Profit: 85% Max Profit: $65/contract at the mid* Max Loss: $235/contract Break Even: 15.65 * -- I usually like to get these filled for 2.25 or less. Notes: A slight variation on a term structure trade, which ordinarily uses the corresponding /VX futures price for guidance as to where to set up your spread. Here, instead of using the ...

NaughtyPines NaughtyPines VXX, 120, Short ,
VXX: OPENING: VXX JAN 19TH 32/35 LONG PUT VERTICAL
44 5 3
VXX, 120 Short
OPENING: VXX JAN 19TH 32/35 LONG PUT VERTICAL

... for a 2.23 debit. Max Profit: $77/contract Max Loss: $223/contract Bread Even: 32.77 Notes: My set ups in UVXY in the January monthly were getting a bit crowded around the strikes I would use here, so putting a small position on in VXX instead with 45 days until expiration.

NaughtyPines NaughtyPines UVXY, 60, Short ,
UVXY: OPENING: UVXY JAN 19TH 14/17 & 15/18 LONG PUT VERTICALS
53 0 5
UVXY, 60 Short
OPENING: UVXY JAN 19TH 14/17 & 15/18 LONG PUT VERTICALS

I had to scramble mightily to get these on at the 11 CST pop/VXST/VIX ratio of >1.15, first opening the 14/17 for a 2.25 debit and then the 15/18 for a 2.20 debit ... . The break even for the former is 14.75 with a max profit potential of $75/contract and a 15.80 break even for the latter with a max profit potential of $80/contract.

NaughtyPines NaughtyPines UVXY, 120, Short ,
UVXY: OPENING: UVXY JAN 19TH 13/16 LONG PUT VERTICAL
76 2 6
UVXY, 120 Short
OPENING: UVXY JAN 19TH 13/16 LONG PUT VERTICAL

... for a 2.29 debit. Metrics: Probability of Profit: 61% Max Profit: $71/contract Max Loss: $229/contract Break Even: 13.71 Notes: Putting on a little more UVXY long put vert in light of this little pop we had today (VXST/VIX ratio finished at .95). The January 12th weekly opens tomorrow, so may add another position there as well ... .

NaughtyPines NaughtyPines UVXY, 120, Short ,
UVXY: OPENING: UVXY JAN 5TH 12.5/15.5 LONG PUT VERTICAL
84 8 4
UVXY, 120 Short
OPENING: UVXY JAN 5TH 12.5/15.5 LONG PUT VERTICAL

... for a 2.25/contract debit. Max Profit: .75 ($75)/contract Max Loss: 2.25 (225)/contract Break Even: 13.25 Notes: Basically a contango drift/beta slippage play, but playing the ball where it lies, rather than waiting for a pop ... . Going long put vert instead of my usual short call vert due to comparatively low VVIX.

NaughtyPines NaughtyPines KRE, D,
KRE: THE WEEK AHEAD: (WHAT THERE IS OF IT) - KRE, GDXJ, EWZ, XOP, VIX
19 0 3
KRE, D
THE WEEK AHEAD: (WHAT THERE IS OF IT) - KRE, GDXJ, EWZ, XOP, VIX

With the shortened holiday week, I'm not expecting much out of the market in terms of volatility, so don't anticipate on putting on anything unless we get some exogenous event pop in the VIX. However, there are a few that might be worth working possible setups in: KRE (regional banks), with an implied volatility rank of 60 and an implied volatility of 22. GDXJ ...

NaughtyPines NaughtyPines HD, D,
HD: THE WEEK AHEAD: HD, CSCO, TGT, BBY, WMT, GPS, AMAT EARNINGS
73 0 5
HD, D
THE WEEK AHEAD: HD, CSCO, TGT, BBY, WMT, GPS, AMAT EARNINGS

We have bevvy of retail earnings announcements next week as the full season tapers off: HD announces earnings on Tuesday before market open with a background implied volatility of 23% (top quarter of 52-week range). CSCO -- Wednesday before market open with a background of 27 (near 52-week high). TGT -- Wednesday before market open, at 36 (top quarter of 52-week ...

NaughtyPines NaughtyPines VXX, 120, Short ,
VXX: OPENING: VXX JAN 19TH 33/35 SHORT CALL VERTICAL
78 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 XOP, D,
XOP: OPENING: XOP DEC 15TH 32/34/40/42 IRON CONDOR
59 0 6
XOP, D
OPENING: XOP DEC 15TH 32/34/40/42 IRON CONDOR

... for a .49 ($49)/contract credit. Metrics: Probability of Profit: 63% Max Profit: $49/contract Max Loss: $151/contract Breakevens: 33.51/40.49 Delta: 1.64 Theta: .99 Notes: Going small, defined, neutral assumption here, since the implied volatility isn't as high as I would like. Shooting for 50% max ... . The full on naked 34/40 in the same expiry ...

NaughtyPines NaughtyPines CTL, D,
CTL: THE WEEK AHEAD: SEAS, CTL, SQ, M EARNINGS; TEVA (NON)
66 0 6
CTL, D
THE WEEK AHEAD: SEAS, CTL, SQ, M EARNINGS; TEVA (NON)

SEAS announces earnings on 11/7 before market open, with an implied volatility of 71%, which is at the upper end of its range over the previous 52 week period. The November 17th 11 short straddle is paying 1.37 at the mid with a comparable iron fly probably not paying enough to make it worthwhile (less than 1/4 the width of the longs). CTL (implied volatility of ...

NaughtyPines NaughtyPines TWTR, D,
TWTR: OPENING TWTR DEC 15TH 17/19/23/25 IRON CONDOR
85 0 5
TWTR, D
OPENING TWTR DEC 15TH 17/19/23/25 IRON CONDOR

... for a .49/contract credit (late post). Finally catching up with some of last week's trades ... . Relatively high implied volatility after earnings (currently at 44%), going small, defined, since I'd rather keep dry powder on for something sexier (which there hasn't been much of here). Will shoot for 50% max on this little fella ... .

NaughtyPines NaughtyPines SVXY, D, Long ,
SVXY: OPENING: SVXY LONG SHARES + "TERMINAL EVENT" PUT
162 21 6
SVXY, D Long
OPENING: SVXY LONG SHARES + "TERMINAL EVENT" PUT

I've done several posts on how and when to mechanically short volatility with VXX, UVXY, and VIX short call verticals and SVXY short put verticals with the focus being upon an entry when the VXST/VIX ratio is greater than 1.00 and (ideally) higher.* You can naturally wait for those events to occur and then do one of these "one-off" plays with a set expiry, ...

NaughtyPines NaughtyPines GDX, D,
GDX: OPENING: GDX MARCH 16TH 18.5/DEC 15TH 23.5 POOR MAN'S
83 0 6
GDX, D
OPENING: GDX MARCH 16TH 18.5/DEC 15TH 23.5 POOR MAN'S

... for a 3.85/contract debit. Here, I'm going with the deep in the money 90 delta long, the out of the money 30 delta short. The long functions as a stand in for the stock with the short providing cost basis reduction. I'll look to roll the short call at significant loss of value to reduce cost basis and take profit at anywhere north of 10% of what I put the ...

NaughtyPines NaughtyPines EWZ, D,
EWZ: OPENING: EWZ DEC 15TH 33.5/35.5/44/46 IRON CONDOR (LATE POST)
56 0 6
EWZ, D
OPENING: EWZ DEC 15TH 33.5/35.5/44/46 IRON CONDOR (LATE POST)

... for a .38/contract credit. With an implied volatility of 31.6, this is one of the higher volatility exchange traded funds. Going small. For a two-wide, this credit is less than compelling; I usually want to see 1/3rd the width of the wings out of these. Thinking of it more as an "engagement trade" than anything else, as I wait for some volatility to ...

NaughtyPines NaughtyPines JCP, 120, Long ,
JCP: OFTSA* -- OPENING: JCP MONIED COVERED CALL
30 0 4
JCP, 120 Long
OFTSA* -- OPENING: JCP MONIED COVERED CALL

Going monied, small on this beaten-down brick and mortar ... . Looking for a minor seasonal bounce. Metrics: Probability of Profit: 60% Max Profit: $25 Max Loss/BPE: $3.25 Break Even: 3.25 * -- Options For the Small Account

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