OPENING: EWZ JULY 20TH 33/39/39/45 IRON FLY... for a 3.22/contract credit ... .
Metrics:
Probability of Profit: 50%
Max Profit: $322/contract
Max Loss: $278/contract
Theta: 1.71/contract
Delta: -7.06/contract
Break Evens: 35.78/42.22
Notes: With a background implied of around 31%, it's the highest vol exchange-traded fund out there. As with a short straddle, I'll look to manage the trade early (25% max). If vol comes way in, I'll take profit even earlier ... .
