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% | 52 SPX 5% | 38 IWM 4% | 30 VIX 4% | 28
NaughtyPines NaughtyPines SPY, D,
SPY: JUNE SPY CORE POSITION
25 0 7
SPY, D
JUNE SPY CORE POSITION

This post collates all my current SPY positions in the June expiry including (a) the legs noted as 2x (which were from a setup rolled out to avoid call-side assignment risk around March ex-divvy); (b) a Jade Lizard addition that was intended to add in long delta with no upside risk; and (c) my most current short put vertical credit spread, which was also intended ...

NaughtyPines NaughtyPines SPY, D,
SPY: OPENING: SPY JUNE 16TH 225/228 SHORT PUT VERT
24 0 6
SPY, D
OPENING: SPY JUNE 16TH 225/228 SHORT PUT VERT

... for a .52/contract credit. Just adding a little long delta to my core SPY position, with the short put at the 30 delta strike. Metrics: Probability of Profit: 69% Max Profit: $52/contract Max Loss/Buying Power Effect: $248/contract Theta: .19 Delta: 6.26 Notes: I'm adding in a touch of long delta to my core June SPY position. However, the metrics would be ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JUNE 21ST 10/15/15/20 IRON FLY
18 0 4
VIX, D
OPENING: VIX JUNE 21ST 10/15/15/20 IRON FLY

... for a 3.00 credit. I'm not seeing much else in the markets that meet my refined sense of pickiness, so putting on some VIX fly here using the June VIX futures price (14.73 at the time of this writing) to tell me where to sell the short straddle body of this setup. Metrics: Max Profit: $300/contract Max Loss: $200/contract Break Evens: 12.0/18.0 Theta: ...

NaughtyPines NaughtyPines VIX, D,
VIX: THE WEEK AHEAD: NFLX EARNINGS, THE VIX, SPY/SPX, RUT/IWM, QQQ
51 0 8
VIX, D
THE WEEK AHEAD: NFLX EARNINGS, THE VIX, SPY/SPX, RUT/IWM, QQQ

There is a bevvy of earnings next week, starting out with NFLX on Monday after market close. It appears fairly close to being ripe for a delta neutral volatility contraction play like a short strangle since both its implied volatility rank and implied volatility are high (70 (six-month)/44). The April 28th 131/157.5 20-delta short strangle is paying 3.80 at the ...

NaughtyPines NaughtyPines EWZ, D,
EWZ: TRADE IDEA: EWZ MAY 19TH 32/37/37/41 DYNAMIC IRON FLY
24 0 5
EWZ, D
TRADE IDEA: EWZ MAY 19TH 32/37/37/41 DYNAMIC IRON FLY

With a six-month implied volatility percentile of 76 and a background implied volatility of 37, throwing a touch of "Brazilian" on here ... . Metrics: Max Profit: $247/contract Max Loss: $253/contract Break Evens: 34.53/39.47 Theta: 1.77 Delta: -.29 Notes: Will look to manage this at 25% max ... .

NaughtyPines NaughtyPines SPY, D,
SPY: OPENING: SPY JUNE 16 222/226/240/241 IRON CONDOR
43 0 7
SPY, D
OPENING: SPY JUNE 16 222/226/240/241 IRON CONDOR

... for a 1.00 credit. I'm doing this little fella as an adjustment trade to pick up a little long delta in a current SPY position. However, it could also be a fairly decent standalone trade if you're slightly bullish to neutral on SPY above 226. The additional feature of the setup is the lack of call side risk on setup because the credit received equals the ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX MAY 17TH 11/14/14/17 IRON FLY
33 0 5
VIX, D
OPENING: VIX MAY 17TH 11/14/14/17 IRON FLY

... for a 2.05 credit. This particular setup involves examining where the /VX futures price lies in the corresponding expiry to that of the VIX. Here, the May /VX price is closest to the VIX 14 strike, so that is where the body of the fly is set up. You then proceed to buy a .05 long put in the same expiry, and buy the long so that the wings are of equal ...

NaughtyPines NaughtyPines NFLX, D,
NFLX: THE WEEK AHEAD: MIGHT AS WELL WAIT FOR QUALITY
98 0 8
NFLX, D
THE WEEK AHEAD: MIGHT AS WELL WAIT FOR QUALITY

With another earnings season upon us and with quality volatility contraction earnings plays a scant ten days to two weeks out, I'm hand sitting here. After all, with things like NFLX (earnings in 8), AMD (11), and X (16) dangling out there, slightly out of reach for an ideal contraction play, putting on stuff with less than ideal metrics 45 days until expiration ...

NaughtyPines NaughtyPines KMX, D,
KMX: TRADE IDEA: KMX APRIL 21ST 50/52.5/60/62.5 IRON CONDOR
29 0 9
KMX, D
TRADE IDEA: KMX APRIL 21ST 50/52.5/60/62.5 IRON CONDOR

KMX announces earnings on 4/6 before market open, so look to put on a play before tomorrow's New York close to get in on a volatility contraction play (six month implied volatility percentile is around 100, with background implied at 47). Here's the metrics for this puppy: Probability of Profit: 50% Max Profit: $113/contract Max Loss/BP effect: ...

NaughtyPines NaughtyPines VIX, D,
VIX: THE WEEK AHEAD: KRE, EWZ, GDXJ
44 2 9
VIX, D
THE WEEK AHEAD: KRE, EWZ, GDXJ

With the beginning of the next earnings season two weeks out (at least before we see something decent), I'm looking to put on some basic exchange-traded fund premium selling plays to bide my time until then. Even there, however, the premium selling opportunities aren't fantastic: KRE (Regional Banks): I haven't played this one before, but its background implied ...

NaughtyPines NaughtyPines SNAP, D, Long ,
SNAP: TRADE IDEA: A SNAP POOR MAN'S
114 0 4
SNAP, D Long
TRADE IDEA: A SNAP POOR MAN'S

One thing I'm certain about, and that's that I don't want to buy SNAP stock here with its having whipsawed between 29+ and 19 in the short time since its IPO. But I might want to acquire it later once it settles down -- as with all things, preferably at a lower price than 22.74. A Poor Man's Covered Call gives me the flexibility to play SNAP, give me the option ...

NaughtyPines NaughtyPines SNAP, D,
SNAP: THE WEEK AHEAD: SNAP, FEZ, XLV, AND XRT
57 2 8
SNAP, D
THE WEEK AHEAD: SNAP, FEZ, XLV, AND XRT

With four weeks or so until the next batch of earnings, I'm briefly turning my attention to exchange-traded funds to see if there's anything I can play to bridge the gap between earnings seasons. As with the previous several weeks, there isn't much; only three are near or above the 70th percentile for implied volatility over the past six months: FEZ, with an ...

NaughtyPines NaughtyPines VIX, D,
VIX: OPENING: VIX JULY 19TH 16/19 SHORT CALL VERTICAL
30 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 XOP, D, Long ,
XOP: OPENING: XOP APRIL 21ST 33.5/JUNE 16TH 30 PUT DIAGONAL
49 0 7
XOP, D Long
OPENING: XOP APRIL 21ST 33.5/JUNE 16TH 30 PUT DIAGONAL

... for a .03 db. At its outset, you short put is basically completely "financing" the cost of your long put (but for the $3 it cost to put the trade on). Your goal is to roll the short option forward for duration, collecting credits along the way and to exit the setup for a debit that is less than what you collected in credits (as you would do with any credit ...

NaughtyPines NaughtyPines NKE, D,
NKE: OPENING: NKE MARCH 31ST 54.5/58.5/59/63 IRON CONDOR
45 0 9
NKE, D
OPENING: NKE MARCH 31ST 54.5/58.5/59/63 IRON CONDOR

... for a 2.23 credit. (Earnings volatility contraction play). Metrics: Probability of Profit: Coin Flip Max Profit: $223/contract Max Loss/Buying Power Effect: $177/contract Break Evens: 56.27/61.23 Notes: I filled this at open, but price has moved down somewhat, so you may want to adjust the setup by a half strike or so. In any event, this thing's so ...

NaughtyPines NaughtyPines FDX, D,
FDX: OPENING: FDX MARCH 31ST 177.5/182.5/202.5/207.5 IRON CONDOR
23 0 9
FDX, D
OPENING: FDX MARCH 31ST 177.5/182.5/202.5/207.5 IRON CONDOR

... for a 1.40 credit. (Earnings; Volatility Contraction Play). Metrics: Probability of Profit: 60% Max Profit: $140/contract Max Loss/Buying Power Effect: $360/contract Break Evens: 181.10/203.90 Notes: Will look to manage at 50% of max.

NaughtyPines NaughtyPines SPY, D, Long ,
SPY: LONG-TERM ACCOUNTS: 2017 401(K)/IRA SPY SHARE ACQUISITION LEVELS
93 0 13
SPY, D Long
LONG-TERM ACCOUNTS: 2017 401(K)/IRA SPY SHARE ACQUISITION LEVELS

For what seems like eons in the scheme of things, I've been working an IRA that is predominantly made up of SPY covered calls. Each month, I basically just look at selling calls against my shares to reduce cost basis in them and to give me a bit of some downside protection in the event of a sell off. Additionally, every quarter, I look at the long-term charts ...

NaughtyPines NaughtyPines FDX, D,
FDX: THE WEEK AHEAD: FDX, NKE EARNINGS
60 0 9
FDX, D
THE WEEK AHEAD: FDX, NKE EARNINGS

With fourth quarter earnings announcements trailing off majorly here, there isn't much in the way of earnings to play, with the earnings of note for premium sellers being FDX, which announces on 3/21 after market close, and NKE (same). FDX is toward the top of its implied volatility range over the past six months (85), with NKE in the 63rd percentile over that ...

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