TSLA strangle 195c / 85p
Updated
Trade thesis
- theta collection
- current IV rank and percentile are at historical highs aggregating past 252 trading days
- near delta neutral options strangle position of 195c/85p on Feb 17 monthly expiry
- 85p short leg represent a -32% price buffer to the downside
- 195c forms a nearly delta neutral trade on call side (+.02 delta)
- 56 DTE / ideal duration to sell premium
Position
- entry: $123.95
- strategy: strangle
- structure:
- cost: $500 credit
- delta: 2.96
- theta: 13.867
- gamma: -0.86
- vega: -18.13
Targets
- Profit target: $250 total profit (50% of credit collected)
- SL target: -50% loss
- management strategy:
- theta collection
- current IV rank and percentile are at historical highs aggregating past 252 trading days
- IV rank: 95%
- IV %: 99%
- near delta neutral options strangle position of 195c/85p on Feb 17 monthly expiry
- 85p short leg represent a -32% price buffer to the downside
- 195c forms a nearly delta neutral trade on call side (+.02 delta)
- 56 DTE / ideal duration to sell premium
Position
- entry: $123.95
- strategy: strangle
- structure:
- short 02/17 195c (.10 delta)
- short 02/17 75p (.12 delta)
- cost: $500 credit
- delta: 2.96
- theta: 13.867
- gamma: -0.86
- vega: -18.13
Targets
- Profit target: $250 total profit (50% of credit collected)
- SL target: -50% loss
- management strategy:
- roll unchallenged side to higher delta to maintain at least .10 delta on each side
- roll unchallenged side to higher delta (5 strikes) to collect additional credit (10% minimum of roll width)
- exit position before earnings on 01/25/23
Trade active
Trade management (1)- rolled call side down from 195c to 175c as the strangle became too delta positive and not enough premium was left on the call leg
- resulting delta change: 195c (.08 delta) to 175c (.14 delta)
- filled @ 1.00 credit
- wasn't able to stick to 10% minimum roll width rule due to the skew favoring put side currently on the underlying
- went more aggressive on the call side to account for the put skew
Updated position
- managed structure:
- short 02/17 175c (.14 delta)
- short 02/17 85p (.11 delta)
- total cost: $600 credit
- delta: -3.09
- theta: 16.589
- gamma: -1.07
- vega: -19.38
Targets
- Profit target: $300 profit (50% of total credits collected)
- SL target: -50% loss
Trade active
Trade management (2)- rolled call side down once more 175c to 155c to rebalance the strangle position
- resulting delta change: 175c (.07 delta) to 155c (.14 delta)
- filled @ 1.00 credit
Updated position
- managed structure:
- short 02/17 155c (.14 delta)
- short 02/17 85p (.14 delta)
- total cost: $700 credit
- delta: +1.40
- theta: 16.174
- gamma: -1.40
- vega: -17.15
Targets
- Profit target: $350 profit (50% of total credits collected)
- SL target: -50% loss
Trade closed: target reached
Trade management (3)- position closed
- exit citeria: profit target reached
- filled @ 3.50 debit (50% of total credits collected)
Final position:
- structure:
- short 02/17 155c (.17 delta)
- short 02/17 85p (.07 delta)
- delta: -8.53
- theta: +15.457
- gamma: -1.33
- vega: -14.81
Trade stats:
- entry price: $123.95
- exit price: $122.40
- DTE: 35 days
- trade duration: 21 calendar / 14 trading days
- profit: $350
- Return on Risk (RoR): 100%
- Return on Capital (RoC): 17.89%
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