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SHORT VOLATILITY RELOAD: SVXY DEC 16TH 62/65 SHORT PUT VERTICALUsing the Bollinger bands as a guide, I'm looking to reload a short volatility play should I be able to get a fill for the right price ... . Here, I'm looking for the basic 1/3rd the width of the spread for a fill price (i.e., 1/3rd of 3 = 1 or $100). I'm setting it up as a GTC order that will expire some time next week. I'll then have another look at the Bollinger Bands, see if they've changed and tweak my spread accordingly. If it gets filled at some point, I'll look to manage it at 50% max profit or $50/contract. As always, these short volatility plays are a "money, take, run" proposition.
CBOE:SVXYLong
by NaughtyPines
OPENING: SVXY NOV 25TH 72/74 SHORT PUT VERTICALI did this one on Friday on the volatility pop we had, but didn't get a chance to post ... . I got it filled for an $87/contract credit, but could have done better were I to have had time to do some price discovery. SVXY isn't the most liquid thing in the world, so it pays to be patient and fiddle with getting a fill $5-$15 above the stated mid price. Here, I'm looking for volatility to collapse going forward from these levels which, for SVXY, means that it will move upward with both the combination of VIX collapse and contango. If I'm unable to take profit at 50% max of the setup at expiry, I will roll it forward for duration and credit ... . Notes: Variations on this play: look to sell an ATM short call vertical in either VIX, VXX, or UVXY, assuming that VIX remains at this level for a period of time (e.g., a VXX Nov 25th 33/36 short call vert; $93 credit at the mid; max loss/buying power effect: $207/contract).
CBOE:SVXYLong
by NaughtyPines
BOUGHT TO COVER GLD AUG 19TH 119/124 SHORT PUT VERTContinuing to work the call side up on this setup one strike at a time ... . With 7 DTE, and the put side of this setup nearing worthless, I thought I would close it out here for near max profit, which I did for a .04 ($4)/contract debit. I then proceeded to roll the Aug 19th 121/126 short call vert out to the Sept 2nd expiration, which I did for a small debit (.08/$8 per contract), after which I proceeded to sell the Sept 23rd 119/122 short put vertical against it for a .26 ($26)/contract credit. Unfortunately, I fat fingered the expiration on the short put side (which should have also been Sept 2nd), but I'll probably just leave it there for now (although it's going to bug me a ton every time I look at it). Important thing is: I'm net credit for the roll ... . Naturally, the setup looks like a fierce hot tranny mess here, but I would point out that I'm not necessarily looking for price to finish below 122 by expiration (although I''d love that): I'm looking for price to break the short call side's break even , which is at 126.19. This will, in all likelihood, allow me to roll the short call side again for another credi, narrowing of the spread, and/or improvement of the short call strike, all good things ... .
AMEX:GLD
by NaughtyPines
BOUGHT TO COVER SPX AUG 19TH 2015/2025 SHORT PUT VERTAlthough I still have a little bit of time on this, it's too little time to effectively roll the short put side up of this setup here without pushing it in too tight to the call side for my taste, so I'm closing the put side out for a .10 ($10)/contract debit here and leaving the call side to dangle for a bit. As always, hope springs eternal that price will break my 2155 short call by expiry so that I can exit the call side. I'll otherwise roll it out as I did this week's SPX setup ... .
TVC:SPX
by NaughtyPines
CLOSING: GLD JULY 29TH 118.5/121.5 SHORT PUT VERTThis was my only "Bremain" bet trade, and it's taking its sweet time coming off the highs ... . The trade started out as a directional spread -- a short call vertical, that was soon breached post-Brexit. My recollection is that I proceeded to sell a short put vert against the call side (completing an iron condor) to protect the call side from further upmove. Here, I'm closing out that protection at near worthless, rolling out the short call side from 119/122 to 120/124 for a .18 credit and then selling a short put vert against the call side for an additional .28 credit. The resulting setup is basically an iron fly, albeit with the short put above the short call. The perfect outcome would be for the underlying to move right to 120.5 or so at expiry, which is unlikely to occur. Rather, the notion here is to lather, rinse, repeat with the net credit rolling while keeping track of my scratch point to eventually exit the position at scratch or better ... .
AMEX:GLD
by NaughtyPines
DELTA HEDGE: SOLD RUT/IUX AUG 29TH 1120/1130 SHORT PUT VERTICAL... for a 1.10 ($110) credit. Here, I'm adding a touch of long delta into an existing RUT position (an iron condor) for which I do not feel comfortable rolling the short put side up further to protect that particular setup from further upside. Additionally, I get the side benefit of just adding a little long delta to my entire portfolio, which (no surprise) is a bit more net delta short than I'd like at the moment with this up move. Naturally, this creates an imbalance between call side units and put side units in my RUT position. However, I'll keep an eye on the entire RUT positions' net delta and match this put side up with a short call vert in the same expiry should price roll back to the put side and cause my net RUT position to skew delta long.
I
by NaughtyPines
ROLLING SPX JULY 22ND 1920/1930 SPV TO 1965/1975Rolling toward current price on this iron condor, as well as on the RUT and NDX ones, too. Basically, I'm rolling to as close to the 85% probability out-of-the-money strike for the expiry ... . I don't want to get in crazy close if this is short-term, short squeeze price action. Know Your Scratch Point: The original setup was put on for a $280 credit; I rolled the call side down a bit on the down move for an $80 credit; and rolling this side up I brought in an additional $55 credit, for a total of $415 in credits so far (that's my scratch point, exclusive of fees and commissions. I'm still shooting for a profit of 50% of the original setup ($140/contract), so my take profit will be at $415 minus $140 or a $275 debit. A Side Note: There's a little lesson here ... . Post-Brexit, I put on SPX, RUT, and NDX iron condors in fairly quick succession (days after one another, although in slightly different expiries; this one's July 22nd, the RUT is July 29th, and the NDX is August 5th). Unfortunately, by doing this "all at once" and not spacing them out in time, they're all basically in the same shape, with price on the verge of testing the call side in all three. I'm fine with that, but it would have probably been better given market circumstances post-Brexit to put one on, wait a week, consider putting a second one on, wait another week as opposed to impatiently piling into them in quick succession ... .
TVC:SPX
by NaughtyPines
DELTA HEDGE: SOLD GLD AUG 5TH 115/118 SPVI took off one of my GLD short call spreads in profit pre-Brexit; this is the one I "let ride." Rather than wait for a dip in price to get back into the put side, I'm putting it on here in the event that we see further strength in gold or, alternatively, it just doesn't come off these highs with the speed I would like it to. (I got a fill for a $31/contract credit; that ain't great, but if I move it in closer to get more credit, the put side will end up overlapping with the call side strikes, which is less than ideal). Additionally, I'm using a somewhat oddball expiry here. You'll see it doesn't match the call side (the call side is the July 29th expiry; the put side, the August 5th). The reason I went a touch farther out in time is to use a short put strike around the 85% strike out-of-the-money without having the put wing "on top" of the call wing. It's not much extra room, but it'll do ... . Here, I'm basically looking to just get out for scratch, but will need to go back through the options chain to see what that is ... .
AMEX:GLD
by NaughtyPines
BOUGHT SPY JUNE 10TH SHORT PUT VERTS TO CLOSEWith 10 DTE left in these June 10th SPY iron condors, I'm closing out the put sides at near worthless, leaving me with short call sides to deal with running into expiration. One was a 199/202 (sold for $29/contract; covered for a $5 debit) short put vertical; the other, a 198/201 (sold for $46/contract; covered for $4). With so little time left, I figured I'd just ride out the short call sides (they're close; one has a short strike at 211, the other at 210), rather than adding the put side back in here ... . Naturally, I need a dip to have those call sides work out; otherwise, I'll roll them up and out next week ... .
AMEX:SPY
by NaughtyPines
BOUGHT TO CLOSE IWM JUN 17TH 102/105 SHORT PUT VERTICALClosed out this side for near worthless (a $10 debit). The alternative was to just roll it up toward current price (since I have a day job, I generally just set up a GTC order to close a spread for $10; the fact that it has closed is basically an alert to me that "Hey, you should look at this setup? Should you roll the other side out? Or just replace the spread and see how it goes?" ... All things best done when you've had a chance to sit down, ponder it a bit, work through possibilities on the full options platform ... .) I'll probably look to replace it tomorrow with an 85% probability out-of-the-money put spread to protect the call wing of the setup (see Post below) from possible further upside.
AMEX:IWM
by NaughtyPines
BOUGHT TO CLOSE SPY MAY 27TH 197/201 SHORT PUT VERTICALWith 7 days to go, I'm closing this iron condor wing at 50% max profit ($24/contract), leaving me with the short call wing (the short option of which is at 208) to deal with going into expiration. Because the short call side is a rolled spread for which I paid a debit, I'm looking to get out of that side at near max ... . Naturally, I'll roll that side again and sell and oppositional side against to finance it or otherwise delta balance it.
AMEX:SPY
by NaughtyPines
BOUGHT TO CLOSE GLD JUNE 17TH 112/115 SHORT PUT VERTICALThis is part of a core GLD position I'm working ... . Originally put on for a $82/contract credit, I covered it today for a $20 debit, yielding a net profit of $62/contract. I considered merely rolling the spread up to approximately the 75% probability out-of-the-money strike (for the short put), but I decided to close it out instead, lock in the profit, and then open up a new spread in the same expiration (June 17th 113/116, filled for a $29/contract credit). Having taken off most of the core position over time, I'm now only left with a June 17th 113/116/117/120 iron condor. Naturally, I'll have to deal with rolling the 117/120 short call vertical at some point ... . I've also turned my attention to higher volatility gold plays, like GDX, so I probably won't be adding much to my GLD position except to work off the "troubled" short call side, unless the volatility in it pops hugely, making it worthwhile again ... .
AMEX:GLD
by NaughtyPines
TRADE IDEA: SPY JUNE 17TH 193/197 SHORT PUT VERTICALThis is not an ideal place to be adding long delta, but my core SPY position's net delta is skewing a touch farther negative than I'd like, so I'm adding in a little long delta with small brush strokes ... . The other thing is that by doing this, my units on the call side versus the put side become imbalanced, which is something you want to keep an eye on generally. This is because in an oppositional setup like an iron condor, the buying power effect of the entire setup is the same for the widest wing (you basically get the oppositional wing "buying power free"), so having an imbalance in units on the call side versus the put side isn't capital efficient. Additionally, I'm putting this on in an extremely low volatility environment, so the premium I'm bringing in for the spread isn't great (it's about $43/contract). But ya gotta do what ya gotta do ... .
AMEX:SPY
by NaughtyPines
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TRADE IDEA: UVXY JUNE 17TH 10/13 SHORT PUT VERTICALSince I have a "virtual gaggle" of VXX trades on, I'm turning my attention to UVXY setups (in spite of its warts) to go long volatility here. Metrics: Probability of Profit: 64% Max Profit: $120/contract Max Loss/Buying Power Effect: $180/contract Notes: The mid price for this setup is $115, but bid/ask is wide in this instrument, so I'd putz with a fill above mid, particularly since price may back into the setup from where it's currently at (17.03). Look to take the money and run at 50% max profit ($60/contract) should you get filled.
CBOE:UVXYLong
by NaughtyPines