... for a 2.24/contract debit. Snuck 'er in on that a.m. weakness ... . Max Profit: $76/contract Max Loss: $224/contract Break Even: 27.76
... for a 2.20/contract debit at the close on this little bump up in price here. Max Profit: $80/contract Max Loss: $220/contract Break Even: 26.80 Notes: Going out a little farther than I'd like, but it's a bit crowded in February with the setups I currently have on.
... for a 2.25/contract debit. Metrics: Max Profit: $75/contract Max Loss: $225/contract ROC%: 33.3% (at max profit) Break Even: 28.25 Notes: I've been sticking these three-wides out there for fills at 2.25, but in any event don't want to pay any more than 2.30 (30% ROC). This one filled at 11 minutes after open, so I didn't have to fiddle. I'll rotate back...
... 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...
... for a 2.21/contract debit. Max Profit: $79/contract Max Loss: $221/contract Break Even: 26.79 Notes: I wasn't completely satisfied with the fill price of my 25.5/28.5 entry yesterday, so decided to put on one more in Feb if I could get a fill of a 26/29 for less than 2.25/contract ... .
As I thumb twiddle a bit here waiting for another VXX weekly expiry to open up and for a UVXY reverse split, I'm pondering potential long-dated plays in UVXY I can put on immediately post-split that are basically "set and forget" plays. I have seen evidence in both open interest and volume of people playing both ends of the stick at split when the price of the...
Another mechanical short volatility trade put on in the weeklies in VXX (while I wait for UVXY to do "the splits"). The February 9th weekly should open tomorrow and with VXX trading slightly below the 28 handle, I'm going to look at filling some 28/31's in that expiry for a 2.25/contract debit. Given the fact that the February 16th 28/31's are trading around...
... for a 2.28/contract debit. Frankly, was somewhat surprised that this appeared to have a 2.27 mid at open, since 28 is right at the money, and the market doesn't usually accommodate that kind of fill unless the short put is deeper ... . I was going to wait for the February 9th's to open, but I have a "spot" within the nooks and crannies of my February 16th...
As 2017 comes to a close as one of -- if not the -- lowest volatility years ever on record for the S&P and Nasdaq, I'm not hopeful that this low volatility won't continue for some time to come. To be honest, though, no one really has any way of knowing or predicting volatility going forward, except in the most obtuse of ways, such as forecasting market...
... 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...
Since there's no February 2nd weekly available for me to use, I'm going out to the monthly to put on my weekly short volatility product play. Here, I'm going narrower with the spread, but doubling the number of contracts to show how to scale trade size with both width of the spread and the number of contracts. As compared to the 3-wides, which I normally get...
With the trading year winding down here, I'm not keen to pile into a great number of trades, but there are a few underlyings that may be worth playing here if holiday frivolity just doesn't provide you with enough and/or you're just a hard core trading addict that has to put something on in order to satisfy your need for market engagement ... . BBBY announces...
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...
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.
... 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 ... .
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...
... 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.
... 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.