You know me, goin' where the volatility takes me, and today it's in the retail space. Metrics: Max Profit: $213/contract Max Loss/Buying Power Effect: $137/contract Break Evens: 42.37/46.63 Notes: As with all flies, I'll look to take profit at 25% max. This is based on after hours quotes, so this setup may not be as sexy as it looks now come NY open, so it may...
There isn't much premium out there to be sold in index or sector exchange traded funds, but this is one of them ... . Metrics: Probability of Profit: 46% Max Profit: $518/contract Max Loss: $415/contract Break Evens: 55.82/66.18 Notes: I'll shoot to take profit at 25% of max ... .
And right back into "the Brazilian," as there isn't much high implied volatility rank/high implied volatility stuff to play out there at the moment ... . Metrics: Probability of Profit: 45% Max Profit: $223/contract Max Loss: $177/contract Break Evens: 29.77/34.23 Notes: Will look to manage at 25% max profit.
Posted here is a live trade example of a LULU iron fly. I started this out as an earnings trade iron condor, looking for classic volatility contraction post-announcement. I got the contraction I wanted, but not the movement, as price immediately broke the short call side of my setup, after which I rolled to an iron fly. (See Post Below). A week after earnings,...
... to JAN 20TH 119/122/125 iron fly for a .01 net credit. With the short put side of the Dec 16th iron condor nearing worthless and rolling intra-expiry to a fly not particularly productive, I'm rolling this out to the Jan expiry, improving the call side a strike and rolling the put side into a fly, "keeping the dream alive." Rolling is never fun, but it's the...
After I pulled off the short call of the Dec 2nd iron fly at near worthless today, I rolled the short put side out to the Dec 23rd expiry to give it a little more time to work out, as well to be able to work the call side of the setup effectively. (I have a setup in the Dec 30th expiry already, so didn't want to roll there; Jan was too far out in time for my...
... for a 2.79 credit. Here, I'm looking to add to core exchange-traded fund fly positions in underlyings whose implied volatility is high relative to where it's been over the preceding six months (>70th percentile) There aren't many out there at the moment, and this is one of them. Notes: Unfortunately, I forgot to write down the metrics for this fella while...
Rotating into exchange-traded funds here ... . EWZ and XBI appear to have the best implied volatility rank/implied volatility percentage metrics. I already have an EWZ fly on, so XBI it is ... . Metrics: Probability of Profit: 44% Max Profit: 5.29 ($529)/contract Max Loss: 3.00 ($300)/contract Break Evens: 56.38/66.96 Notes: I'm going to shoot for a fill...
With the VIX still hovering in sub-15 territory and an examination of broad index exchange-traded funds therefore yielding less premium than I would like,* I'm turning my attention to sector exchange traded funds for possible premium selling plays. Naturally, VIX levels could change in light of the outcome of the Italian referendum (as of the writing of this, Dec...
I had intended to put on a similar setup last week, but got distracted by something else ... . Implied volatility rank remains high here, even though IYR's background implied volatility isn't that great. Metrics: Probability of Profit: 44% Max Profit: $343/contract Max Loss/Buying Power Effect: $357/contract Break Evens: 71.57/78.43 Notes: The probability of...
Going short duration here because I can't find liquidity in the weeklies for the setup and don't really want to go out to Jan. Metrics: Probability of Profit: 45% Max Profit: $187/contract Max Loss: $163/contract Break Evens: 31.63/35.37 Notes: As with a short straddle, I'll look to manage this at 25% of max profit.
... to Dec 9th 124/127/127/131 Iron Fly for a .47 ($47)/contract credit. I figured I had to do something here to improve the prospects of this broken iron condor. I first rolled the short call vert side from the 116.5/119.5 short call vert to the 127/131. The only way to get a credit from this intra-expiry roll was to widen the spread by one strike. And then...
Post-election, there isn't much out there exchange-traded fund wise with both high implied volatility rank/percentile and high implied volatility. This is one of them ... . (I've tried repeatedly to get into an EWW play, but just can't seem to get a fill at the mid price). This isn't the most liquid thing in the world, so I'm going with the most liquid...
Adding to my core exchange traded fund fly positions here with this high implied volatility rank underlying. (I already have some XLU on, so just adding a "smidgeon" here). The implied volatilty in this isn't great, but then it's almost never "great" ... . Metrics: Probability of Profit: 46% Max Profit: $210/contract Max Loss: $190/contract Break Evens:...
Rotating into sector exchange traded funds ... . Although this instrument does not have very high background IV, its IV is on the high end of its 52-week and 6-month ranges. Metrics: Probability of Profit: 44% Max Profit: $335/contract Max Loss: $265/contract Break Evens: 71.65/78.35 Notes: Will look to manage at 25% max profit, if I can get a fill here.
Playing TWTR earnings for volatility contraction here ... . The metrics: Probability of Profit: 47% Max Profit: $217/contract Max Loss/Buying Power Effect: $183/contract Break Evens: 15.83/20.17 Notes: As with a short straddle, I'll look to manage this at 25% max profit. I'm putting this on a touch early so that I don't space it out at the last moment. My...
The underlying implied volatility in XLU is not very high, but it's high relative to where it's been the last 52 weeks (currently, 72 (Dough 52-week implied vol percentile)). Here are the metrics for the setup: Probability of Profit: 43% Max Profit: $175/contract Max Loss/Buying Power Effect: $175/contract Break Evens: 46.75/50.25 Notes: As you can see, this...
While I grind away on various covered call positions (I only have one covered call with an October short call on; the rest are in November or December), I'm looking ahead to some decent earnings for premium selling. Generally, I'm looking for underlyings whose implied volatility is above the 70th percentile for the past 52 weeks and that have background implied...