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Benji
12. Febr. 2018 18:02

XLE Long

SPDR Select Sector Fund - Energy Select SectorArca

Beschreibung

Long via Jun15/Mar16 diagonal for $4.37

POP: 50%
Max Loss: $4.37
Stop Loss: Price at $64.40
Max win: As of right now, $263
Target: Price at $75

Long Jun15 $66 call: 61 delta
Short Mar16 $73 call: 14 delta.

I structured this trade to give me the most profit as close to my target as possible (in the case it shoots straight up), while still having a positive theta trade. For reference try to match the thetas of both options up for choosing a strike for your short.

I will continue to roll the short call each cycle to continue to eliminate basis as well.

Trade ist aktiv

Added to this position on the strength on a pullback.

Feb23 66/67 short put spreads @ $.25

short $67 put: 38 delta
long $66 put: 26 delta

Max win: $50
Max loss: $150

Likely to let these expire worthless, but if we get a sharp reversal through my stop - I'll try to salvage a little bit of them.

Trade ist aktiv

Price is continuing to get favorable, so I am going to dabble just a bit more. I also moved up my stop level to help reduce any risk.

I added a risk reversal for June15 expiration.
long $53 put: 7 delta
short $65 put: 33 delta
long $72 call: 35 delta

Overall trade was for $.04 credit.

Stop loss: Price at $66.50
Target: $72

Trade ist aktiv

Still working with trying to keep this trade neutral to positive theta.

Sold the Apr20 54/64 put spread ($.91 cr) to reduce basis a bit further. This looks to be under some short term support here.

short 64 put: 25 delta
long 54 put: 5 delta

Max loss: $909
Stop loss: 2.5x cr received
Target: 50% cr received.

Kommentar

I've also added a synthetic strangle here to capture some high IV/theta in the process.

Sold Apr20 60/66/72/78 iron condor for $1.69

POP: 51%
DTE: 62
Max Loss: $431
Max Win: $169
Stop loss: $338
Target: 50% of cr received

long 60 put: 13 delta
short 66 put: 32 delta

short 72 call: 25 delta
short 78 call: 8 delta

Trade ist aktiv

The original $73 call on the core call spread position had widdled down significantly over this time and small down move. I rolled it out to the Apr20 $73 call for add'l $.26. The basis on that spread is now $4.11.

Trade ist aktiv

Feb23 66/67 put spreads expired worthless, $50 profit.

Trade geschlossen: Stop wurde erreicht

Stopped out of the risk reversal trade here for $1.28 db, $132 loss.
Kommentare
NaughtyPines
I like the slightly theta positive approach to these, something I haven't thought of before. Traditionally, I've done these 90/30, with the long at the 90, the short at the 30. Doing things that way, however, is more BP heavy: the June 55/March 70.5 would cost 11.90-ish to put on at the mid with 61.42 long delta and a theta of 1.58, with a take profit of 10-20% of the debit you put it on for ... . Seems like a lot of risk to minimize the amount of extrinsic in the long.
Benji
@NaughtyPines, Interesting. I am trying to find ways to get long for medium to long term plays, so I am open to suggestions. At least when IV is high, I think you should still sell something OTM because of the skew curves. In other cases, you could argue that it probably isn't necessary to sell anything against your long because you only need it to move a few cents/day on average to keep the theta numbers in check anyhow.
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