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Ironfly

Apr 18 - CELGCELG 18-Apr-19 IV30: 48.2, IVR: 98% Short Iron Condor +0.05D Long 1 Call: 100 Strike @ $0.15 -0.19D Short 1 Call: 95 Strike @ $1.00 -0.07D Long 1 Put: 65 Strike @ $0.62 +0.15D Short 1 Put: 70 Strike @ $1.40 -0.06D Credit: $1.63 PCR: 41:59 --------------------------------------------- CELG 18-Apr-19 IV30: 48.2, IVR: 98% Short Iron Butterfly +0.53D Long 1 Call: 85 Strike @ $6.23 -0.65D Short 1 Call: 80 Strike @ $9.15 -0.24D Long 1 Put: 75 Strike @ $2.62 +0.35D Short 1 Put: 80 Strike @ $4.38 -0.01D Credit: $4.68 PCR: 41:59 Highest OI @ 80 Strike
C
by imzeeshan
THE WEEK AHEAD: NIO EARNINGS; XOP, EWZ PREMIUM SELLINGMy screeners aren't showing me a ton of things for either earnings-related volatility contraction plays and/or just Plain Jane premium selling, so I'm largely looking just to work what I have on, do any adjustments that are necessary, and wait for a higher volatility environment (VIX is at sub-15 here) to deploy capital back into premium selling. The Chinese "Tesla killer" NIO (82/136) announces in two days and with a background implied clocking in at 136, who can resist putting something on. Pictured here is a fairly delta neutral 11 Short Straddle in the April expiry that is paying a whopping 4.18 at the mid (1.04 at 25% max) with break evens that encompass most of the underlying's whole data set -- 6.82 to 15.18. Even skewed to the call side, the net delta is -2.59 with a theta metric of 4.08. Obvious alternative plays: April 18th 7/11/11/15 iron fly: 3.10 at the mid, max loss of .90 versus max profit of 3.10 (.78 at 25% max), delta -.97, theta 1.43. I would note the rarity of the substantially better than risk one to make one metrics of this setup. April 18th 7 short put, .72 at the mid with a downside break even of 6.28. On the exchange-traded fund front, the vast majority of underlyings are at the very low end of their 52-week ranges, with the highest implied underlyings in XOP (16/30) and EWZ (10/30), which again militates in favor of not putting on a ton of nondirectional premium selling stuff here. I did look at ASHR, which did stick out at 75/34, but the options chains in April, May, and July have wanky strikes (i.e., the April 28th 27.71 (WTF?) short straddle), and I don't like having to roll from "wanky" to an even Steven strike if I have to. If I'm going to play China, it's going to be in the more liquid FXI (16/21), which doesn't suffer from similar oddities that make trading it potentially harder than it has to be.
NYSE:NIO
by NaughtyPines
OPENING: VIX AUG 16TH 9/12.5/12.5/16 IRON FLYGoing to bite on an August setup here ... . Metrics: Max Profit: $190/contract Max Loss/Buying Power Effect: $160/contract Break Evens: 10.40/14.40 Theta: .94 Delta: 17.02 Notes: Previously, the recommendation was to shoot for 25% max profit on these. If you do that, however, you'll have to wait until the very last moment, generally, so shooting for 10% max on these instead. It hardly seems worth the effort, but there isn't much to play in this market with the VIX at sub-12 levels. Naturally, if the front month future was higher up the ladder, the fly would be wider and probably pay more, making a 10% take profit more enticing. Another minor thing of note: it still pays to put these on a "pop" even if it's not to 15. VIX implied volatility rises as its price increases, so you'll get some volatility contraction if price declines somewhat after you put these on.
TVC:VIX
by NaughtyPines
2
OPENING: VIX JULY 21ST 9/12.5/12.5/16 IRON FLYWithout a ton of stuff to do here premium selling wise that meets my standards, layering on some more VIX fly in the July expiry (35 DTE). July /VX futures contract is currently trading at 12.45, so that's where I set up the short straddle body of the set up. Metrics: Max Profit: 1.82/contract Max Loss/Buying Power Effect: 1.68/contract Break Evens: 10.70/14.30 Notes: I actually got filled slightly above the mid at 1.82 and will look to manage at 25% max.
TVC:VIX
by NaughtyPines
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: 1.39 Delta: 18.16 Notes: Like a short straddle, I'll shoot to take this off at 25% max.
TVC:VIX
by NaughtyPines
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 length. Metrics: Max Profit: $205 Max Loss/Buying Power Effect: $95 Break Evens: 11.95/16.05 Notes: I'll look to manage at 25% max profit, as I would with any other short straddle or iron fly.
TVC:VIX
by NaughtyPines
VIX IronFly for a neutral bet on volatilityAfter a a little upside on the VIX we got another fast contraction in volatility. Got the idea from the guys at tastytrade and I liked the trade. This is a neutral bet on the VIX and we make money if it stays between 15.50 and 11.50. Sold the 13.5 Straddle and bought the 17 Call and 10 Put wings to make an Iron fly for a $2 credit per contract and reducing our buying power requirements. I will look to manage these very early at 10% of the credit received. Backtest data done by tastytrade 2006 to present managed at 10% of the credit received had a 89% Success Rate
TVC:VIX
by AlexanderGotay
TRADE IDEA: AA MAY 5TH 28/32/32/36 IRON FLYAA (implied volatility rank 73/implied volatility 48) announces earnings on Monday after market close, so look to put on a play before the end of the session to take advantage of the post-announcement volatility crush. Metrics: Max Profit: $210/contract Max Loss/Buying Power Effect: $190/contract Break Evens: 29.90/34.10 Theta: 4.96 Delta: 3.51 Notes: This is a preliminary setup that may require some tweaking once NY opens. As with all short straddles/iron flies, I would look to manage this at 25% max profit. Currently, the setup is bid 1.75/mid 2.10/ask 2.45, which is not exactly "tight." Personally, I will look for a fill at or slightly above the mid price. The fly's an 8-wide, so I would have to get 1/4th the width of the wings out of it to make it worthwhile anyhow (i.e., >2.00).
NYSE:AA
by NaughtyPines
OPENING: DKS MARCH 17TH 43/50/50/57.5 IRON FLY... for a 4.35 ($435)/contract credit. I put this on earlier in the week, but neglected to post it here ... . (High implied volatility rank; high implied volatility; it's in the 95th percentile of where implied volatility has been in the past six months; its background implied volatility is at 47%). Metrics (Currently): Max Profit: $418/contract Max Loss/Buying Power Effect: $332/contract Break Evens: 45.82/54.18 Theta: 5.66/contract Delta: 1.33/contract Notes: DKS earnings are currently scheduled for March 14th. The notion here was to play the underlying for sideways chop leading up to earnings, but take it off shortly before. We'll see how that works out .... . If I get an opportunity to close it out in profit before earnings, I may play it again for the earnings announcement ... .
NYSE:DKS
by NaughtyPines
XRT Iron FlyStill looking for any IV in the market - XRT had a 35 IVP, so I thought I would put something small on. Focused on minimal BP exposure during these tough times in IV, but I have to keep a decent # of occurrences up regardless. Trade Setup: - 1 XRT Mar 17 42/44/44/46 Ironfly @ $1.34 DTE: 30 Max Win: $134 Max Loss: $66 Breakevens : 42.66 and 45.34 Trade Management: Look to take around 25% or $35 in the trade; Full loser on the trade or I may roll out the ITM/tested side if on the dance floor near exp. Green is profit zone; Vertical black bar is expiration.
AMEX:XRT
by Benji