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August 29, 2014

$IWM - 8/27/14

  • Strategy: Bearish Put Calendar
  • Underlying: IWM
  • Trade: BUY +1 CALENDAR IWM 100 (Weeklys) OCT1 14/SEP 14 115 PUT @.65 LMT
  • Trade Price: $65 debit per spread
  • Margin: $65 per spread
  • DTE: 23
Risk Profile:
IWM (Russell 2000 ETF) rallied 6.5% from 8/4 and we're looking for a bit of reversion here. We're selling IWM 115 put that expires in September (Sep) and buying 115 put that expires on first Friday of October (Oct1). This trade benefits from being short delta, long vega and long theta, that means if IWM goes down short deltas will make money, long vega will make money from increase in Implied Volatility and theta will be making money from Sep options decaying faster than Oct1 options. We'll look to make 25% ROR, if IWM continues higher we'll look to add another round of calendars around 118 strike.

August 22, 2014

$SPX - 8/21/14

  • Strategy: Bear Call spread
  • Underlying: SPX
  • Trade: SELL -1 VERTICAL SPX 100 SEP 14 2045/2050 CALL @.40 LMT
  • Trade Price: .40¢ credit per spread
  • Margin: $4.60 per spread
  • Return on Risk: 8.69%
  • Stop loss: P/L down 1.5 X credit (-$60)
  • DTE: 28
Risk Profile:

August 8, 2014

$VXX - 8/8/14

  • Strategy: Bearish Put Calendar
  • Underlying: VXX
  • Trade: BUY +1 CALENDAR VXX 100 SEP 14/AUG5 14 32 PUT @.90 LMT
  • Trade Price: $90 debit per spread
  • Margin: $90 per spread
  • DTE: 21
Risk Profile:

We're selling Aug5(W) 30 put and buying Sep 30 put. Aug5 is a weekly option that expires in 21 days. This trade benefits from time decay in short option and increase in volatility because our long option has more time until expiry.