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Ironcondor

CLOSING: SPX JULY 29 2085/2095 SHORT PUT VERTThis is one of a trio of post-Brexit trades in RUT, NDX, and SPX that I put on post-Brexit and that moved, well, a little more than I'd like ... . Today (with 2 DTE to go), I closed out the put side for a .15 debit, and then rolled the call side from 2115/2125 to the 2145/2160 for a .30 credit and then sold the Aug 12th 2100/2115 for a 1.50 credit (giving me the pictured setup). As with my GLD and RUT trades (and soon, my NDX iron condor if price doesn't peel off substantially from the highs), I'm looking to lather, rinse, repeat with net credit rolls (i.e., credit received exceeds any debit paid for rolling) until I'm able to exit the setup for scratch or better ... . Notes: Some people choose to allow the side approaching worthless to expire that way if there is a "high likelihood" that will occur (there was here with the put side). I generally choose to close it out "just in case" something unexpected occurs ... . It's just not worth the extra $5-$15 you'll make, Weird stuff has been known to happen.
TVC:SPX
by NaughtyPines
CLOSING: GLD JULY 29TH 118.5/121.5 SHORT PUT VERTThis was my only "Bremain" bet trade, and it's taking its sweet time coming off the highs ... . The trade started out as a directional spread -- a short call vertical, that was soon breached post-Brexit. My recollection is that I proceeded to sell a short put vert against the call side (completing an iron condor) to protect the call side from further upmove. Here, I'm closing out that protection at near worthless, rolling out the short call side from 119/122 to 120/124 for a .18 credit and then selling a short put vert against the call side for an additional .28 credit. The resulting setup is basically an iron fly, albeit with the short put above the short call. The perfect outcome would be for the underlying to move right to 120.5 or so at expiry, which is unlikely to occur. Rather, the notion here is to lather, rinse, repeat with the net credit rolling while keeping track of my scratch point to eventually exit the position at scratch or better ... .
AMEX:GLD
by NaughtyPines
EARNINGS PLAY: NFLX JULY 29TH 85.5/111 SHORT STRANGLEUnfortunately, the only underlying announcing earnings next week that has sufficient implied volatility to consider selling premium in is NFLX, with an implied volatility of 52%. It announces earnings on Monday after market close, so look to put on a play some time on Monday, preferably right before the NY close. Preliminarily (I'm checking this crap in off hours, so it's rarely spot on), here are the metrics for the two setups I would consider doing: NFLX July 29th 85.5/111 short strangle Probability of Profit: 74% Max Profit: $215/contract Max Loss: Undefined Break Evens: 83.35/113.15 NFLX July 29th 81.5/85.5/111/115 iron condor Probability of Profit: 70% Max Profit: $99/contract Max Loss: $301/contract Break Evens: 84.51/111.99 Naturally, strikes may need to be tweaked slighly depending on price movement on Monday.
NASDAQ:NFLX
by NaughtyPines
ROLLING: NDX/IUXX AUG 5TH 4350/4375 SPV TO 4400/4425Rolling up the put side yet again (I've basically rolled the thing into an "iron butterfly" (filled for a .90 credit ($90)) to defend the call side. I generally don't like to "invert" condors (here, roll the put side beyond the call side), so I'll probably just leave the setup alone running into expiry, but keep an eye on the setup's net delta and make a decision as to whether I want to erect a separate delta hedge (in this case, most likely another short put vertical set up in a separate expiration) to protect the position from further upside and/or mitigate call side loss. Otherwise, I'll just do my usual close out the worthless side, roll out the tested side for minimal strike improvement, and sell a put side against for a credit that exceeds the price to roll the tested side.
NASDAQ:NDX
by NaughtyPines
BOUGHT SPX JULY 22ND SPV TO CLOSE, ROLLED CALL SIDE FOR DURATION1. Closed the July 22nd 2020/2030 short put vertical for a .15 debit, as it's near worthless and done its job. 2. Rolled the July 22nd 2110/2120 call side out a week to the July 29th 2115/2125 and slight strike improvement for a .75 debit. The improvement isn't much, but I like to do these improvements small and over time until I get the required movement to exit the entire setup. 3. Sold the July 29th 2085/2095 short put vert to finance the call side roll for a 1.05 credit. As with my NDX setup, what I need now is some movement back toward the call side to exit the entire setup at or above my "scratch point."
TVC:SPX
by NaughtyPines
3
NOTABLE HIGH IV STOCKS WITH IV > 50%1. P, 79% 2. FCX, 76% 3. X, 75% 4. TWTR, 67% 5. STX, 57% 6. ABX, 56% 7. NFLX, 56% 8 GG, 53% 9. SLW, 52% Naturally, we are coming into earnings season here, so there's a reason that some of these have high IV here (e.g., NFLX announces in a week and a half). Ordinarily, I like IV to be >50% and IVR (current IV's level relative to where it's been for the past 52 weeks to be high, too), but I may not find a great deal of 70%+ IVR plays here with broad market volatility so low (VIX finished the week below 15). Neverthless, it may be worthwhile to churn through this small list for premium selling plays (iron condors, short strangles, short straddes), assuming there's sufficient time before earnings to sneak a play in. Otherwise, it's probably best just to wait to do the standard volatility contraction play surrounding earnings ... .
P
by NaughtyPines
3
TRADE IDEA: RUT/IUX AUG 19TH 1060/1070/1200/1210 IRON CONDORI'm not going to take this particular trade (as I've already got a RUT IC on at the moment), but figured I'd post one anyhoo while I wait for earnings. Metrics: Probability of Profit: (Software's being glitchy here in off hours; should be between 55 and 65%) Max Profit: $331/contract (nearly 1/3rd the width of the wings, which is what you're shooting for generally in these) Max Loss/Buying Power Effect: $669/contract Break Evens: 1067/1203 Theta: 5.15 Delta: -2.61 Notes: Naturally, these are off hours quotes, so you may have to fiddle with strikes and fill price at open. Look to take this off at 50% max profit.
I
by NaughtyPines
WBA EARNINGS PLAYSWBA announces earnings tomorrow before market open, so look to put on a play before today's NY close. Here are the metrics for defined/undefined risk setups: WBA July 15th 76.5/90 short strangle POP%: 76% Max Profit: $106/contract Max Loss/Buying Power Effect: Undefined/$1031/contract WBA July 15th 74/78/89/93 iron condor POP%: 67% Max Profit: $104/contract Max Loss/Buying Power Effect: $296/contract Notes: Shoot to take these off at 50% max profit and move on. For the short strangle, the buying power effect metric is quite "ugly." For the iron condor, I had to bring the wings in to squeeze $100+ out of the setup, which lowers the probability of profit (POP) of the setup heftily. There are always trade offs between max profit potential, buying power effect (defined vs. undefined), and probability of profit ... . To gain with one metric, you inevitably give up ground on another ... .
NASDAQ:WBA
by NaughtyPines
PREMIUM SELLING CANDIDATES FOR TUESDAY -- CY, HOG, POTWith broader market volatility bleeding out of the markets, I'm on the hunt for non-index premium-selling plays, and there are a few that have popped up on my radar. That being said, earnings season is nigh, so it might be best to be particularly selective as to individual underlying plays, keeping powder dry for the actual earnings, rather than pulling the trigger here such that you have to guide the setup around the actual earnings announcement. In any event, here are a few to look at: Individual Underlyings CY: implied volatility rank 100, implied volatility 78. The unfortunate thing about Cypress Semiconductor from a premium selling standpoint is its price, which limits the profitability of iron condor/short strangle setups. Where this is the case, the go-to is a short straddle. Preliminarily (looking at off hours quotes here), an August 19th 10 short straddle will bring in $228 in credit with break evens at 7.72 and 12.28, which would fit in nicely with CY price action. However, if you're looking to take the straddle off at 25% max profit (the usual goal for straddles), you're not looking at a tremendously great play here, even though these little "grounders" add up over time ... . HOG: implied volatility rank 100, implied volatility 63. Preliminarily, an August 19th 42.5/65 short strangle would bring in $168/contract, the drawback being that the underlying only offers monthly expirations ... . POT: implied volatility rank 70, implied volatility 51. Like CY, you won't be able to get much out of a play if you go short strangle or iron condor, leaving you with a short straddle as the go-to setup. The August 19th 17 short strangle will bring in $227/contract credit with break evens of 14.73 on the lowside, 19.27 on the topside which is not a bad fit for what POT is doing on its chart (essentially, sideways chop between 15 and 20). Exchange-Traded Funds The ETF space is not looking particularly attractive here, with the vast majority of them sub-50 in implied volatility rank. The one standout is SLV (coming in at 70), but you won't be able to get much premium out of an SLV play due to fairly low implied volatility (currently 34, which is fairly high for SLV), although it looks enticing for some kind of directional play (bearish assumption).
C
by NaughtyPines
ROLLING SPX JULY 22ND 2140/2150 SCV TO 2110/2120Rolling the call side of my July 22nd SPX iron condor down a few strikes to delta balance here ... . (I basically rolled it to the 75% probability out-of-the-money short call strike). Filled for an $80/contract credit. Scratch Point: The original setup was put on for a $280/contract credit, and I brought in an additional $80/contract for this roll, so my current scratch/break even point for the trade is $360 per contract (exclusive of fees/commissions). Because I'm still shooting for 50% max of the original setup (or $140 per contract), I'll look to take this off for the scratch point ($360) minus the original profit goal ($140) or for about a $220 debit ... .
TVC:SPX
by NaughtyPines
SOLD TO OPEN: SPX JULY 22ND 1920/1930/2140/2150 IRON CONDOROut of one SPX iron condor ... into another. Did this from my phone, so I don't have the exact metrics on this little fella, but it was supposed to be a "classic" skewed instrument iron condor, with the short call strike at the 75% probability out-of-the-money strike and the short put at the 85% probability out-of-the-money strike for the expiry. I usually like to shoot for getting a fill at 1/3rd the width of the wings (i.e., 1/3rd of $10 or about $3.33). Since I was doing it from my phone (not ideal, lemme tell ya), I wasn't as surgical as I usually am with these setups, and settled for a $280 credit fill ... . As usual, I'll look to take this off at 50% max profit or about $140/contract ... . Next week, I'll probably look at similar setup in RUT, since it is likely to have higher implied volatility than SPX and therefore juicier premium to be had.
TVC:SPX
by NaughtyPines
ROLLING SPX JUNE 24TH 2105/2120 SHORT CALL VERT TO JULY 8THNot every trade works out ... . The original notion of this iron condor was that, pre-Brexit, we'd pin at 2085 or so as traders basically sidelined themselves waiting for the outcome. No such luck with late polling showing a Remain lead. At market open, I closed out the short put side and then rolled out the call side (for a $35/contract credit; this was before price broke 2105) for a couple of more weeks to let the market digest the vote and then go from there. Since it looks like we're going to see more upside, I also sold a put side against for an additional $80 credit (I just noticed that I did a $10 wide; I'll widen it to $15 if there is continued movement to the upside and I can sensibly roll the put side in). Currently, my scratch point is $750/contract (excluding fees/commissions). (The scratch point is calculated by taking the total of the credits received for the original setup, plus any rolls, and subtracting the total of the debits, fees, and commissions paid). The original setup was put on for about a $300/contract credit, at which time I was shooting for 50% max profit or about $150/contract. Consequently, I'll look to take this off at the scratch point ($750) minus that $150 target or about $600/contract.
TVC:SPX
by NaughtyPines
SPX OPTIONS AND BREXIT -- KNOW WHAT YOU'VE GOT, PLAN ACCORDINGLYThe vast majority of SPX options I play are Friday a.m. settled. Ordinarily, this isn't a horribly big deal, but the fact that these are Friday a.m. settled makes it a "horribly big deal" this week. This is because after NY close on Thursday, I won't be able to do anything with them. They will essentially be "locked" and "settled up" on the basis of Friday a.m. prices, taking into account what the market has done overnight. Naturally, this could be a major bummer because Brexit results are likely to be known when NY is closed and futures will move in the overnight hours. What to do? First, know whether the options you have are Friday a.m. or p.m. settled. There are some SPX options that do settle on Friday p.m. (The same goes with RUT and NDX; know your settlement date and time ). Secondly, attempt to avoid taking the setup "down to the wire." Ideally, you should be attempting to either close options setups out in profit with 4-10 DTE or look to roll a tested side or a side that is "too close for comfort" out for duration in this time frame. (In this particular case, I'm waiting to take this iron condor off until the last minute because I think price is going to be pinned here around 2090 running into Brexit). Third, if you're absolutely set on taking the setup down to the wire, know your "drop dead" day and time and plan accordingly (I know I'm basically repeating myself here). For me, Thursday NY close is my "drop dead" date and time. I either have to shut the whole show down or roll something out before then ... . I won't be able to do it on Friday. Good luck around Brexit, everyone!
SP:SPX
by NaughtyPines
ROLLING JUNE 24TH 2045/2055 SHORT PUT VERT TO 2035/2050Figured I'd balance the wings out width wise here, as well as capture some increase in value experienced by the long put (which gave a small strike price improvement assist to the short put), even though I promised myself I wasn't going to touch this bugger with only 9 DTE. Filled for a $75/contract credit ... . Dissatisfied with the resulting net delta of the setup, I also rolled the short call side down from 2120/2135 to 2115/2130 for an additional $45/contract ... . It's about as delta balanced as it's going to get ... . At this point, I will need to look at the entire option chain for this trade (original + rolls) to see what my scratch point is, the notion being to get as flat as possible in advance of Brexit.
SP:SPX
by NaughtyPines
TRADE IDEA: RUT/IUX 1075/1085/1190/1200 IRON CONDORStaying with short duration index setups here, so that I can be flexible if any non index premium selling opportunities come along; going with RUT over SPX due to RUT's higher implied volatility ... . (As a smaller, alternative trade, you can look at a similar setup in IWM). Metrics: Probability of Profit: 62% P50: 71% Max Profit: $340/contract Max Loss/Buying Power Effect: $660 Delta: -3.51/contract Theta: 12.26/day/contract Notes: Naturally, I'm looking at pricing in the off hours, so it may be necessary to tweak the setup a bit in terms of strikes and/or fill price on NY open. I'll look to manage this setup aggressively and take it off at 50% max.
I
by NaughtyPines