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 Profit: 115/contract*
Max Loss/Buying Power Effect: 385/contract
Break Evens: 140.85/158.65 (at 1 standard deviation, both sides)
Theta: 7.34
Delta: .56
* -- Paying less than one-third the width of the wings.
UAA announces earnings Tuesday before market open
Aug 11th 19.5 short straddle
Probability of Profit: 58%
Max Profit: 221/contract
Max Loss/Buying Power Effect: Undefined
Break Evens: 17.29/21.71 (between expected move and 1 standard deviation, both sides)
Theta: 8.82
Delta: -4.03
Aug 11th 15.5/19.5/19.5/23.5 iron fly
Probability of Profit: 53%
Max Profit: 199/contract
Max Loss/Buying Power Effect: 201/contract
Break Evens: 17.51/21.49 (at expected move, both sides)
Theta: 5.11
Delta: .05
Broad Market Exchange Traded Funds
QQQ currently has the highest background implied volatility, followed by IWM, SPY, and DIA.
QQQ Sept 15th 136/149 20-delta short strangle
Probability of Profit: 66%
Max Profit: 177/contract
Max Loss/Buying Power Effect: Undefined
Break Evens: 134.23/150.77 (Wide of 1 standard deviation on the put side; between the expected and 1 standard deviation, call side)
Theta: 4.62
Delta: -2.01
QQQ Sept 15th 133/136/149/151 20-delta iron condor
Probability of Profit: 60%
Max Profit: 73/contract*
Max Loss/Buying Power Effect: 227/contract
Break Evens: 135.27/149.73 (at 1 standard deviation on the put; between expected and 1 standard on the call)
Theta: 1.08
Delta: -3.78
* -- Paying less than one-third the width of the widest wing.
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 Profit: 115/contract*
Max Loss/Buying Power Effect: 385/contract
Break Evens: 140.85/158.65 (at 1 standard deviation, both sides)
Theta: 7.34
Delta: .56
* -- Paying less than one-third the width of the wings.
UAA announces earnings Tuesday before market open
Aug 11th 19.5 short straddle
Probability of Profit: 58%
Max Profit: 221/contract
Max Loss/Buying Power Effect: Undefined
Break Evens: 17.29/21.71 (between expected move and 1 standard deviation, both sides)
Theta: 8.82
Delta: -4.03
Aug 11th 15.5/19.5/19.5/23.5 iron fly
Probability of Profit: 53%
Max Profit: 199/contract
Max Loss/Buying Power Effect: 201/contract
Break Evens: 17.51/21.49 (at expected move, both sides)
Theta: 5.11
Delta: .05
Broad Market Exchange Traded Funds
QQQ currently has the highest background implied volatility, followed by IWM, SPY, and DIA.
QQQ Sept 15th 136/149 20-delta short strangle
Probability of Profit: 66%
Max Profit: 177/contract
Max Loss/Buying Power Effect: Undefined
Break Evens: 134.23/150.77 (Wide of 1 standard deviation on the put side; between the expected and 1 standard deviation, call side)
Theta: 4.62
Delta: -2.01
QQQ Sept 15th 133/136/149/151 20-delta iron condor
Probability of Profit: 60%
Max Profit: 73/contract*
Max Loss/Buying Power Effect: 227/contract
Break Evens: 135.27/149.73 (at 1 standard deviation on the put; between expected and 1 standard on the call)
Theta: 1.08
Delta: -3.78
* -- Paying less than one-third the width of the widest wing.
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