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  • #8,961
  • Jun 6, 2015 12:46pm Jun 6, 2015 12:46pm
30yr UST bond looking to retrace the path it has taken over the last 1-2 years. Unless there is a systemic shock & we see flight to safety (UST's get bought) then I'd bet TYX hits 3.50%, then pushes to 4% in the Fall. TYX 3.50% would push TLT down to around $111, I might set up a Jul 1 put diagonal, $112/111, as shown below.
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,962
  • Jun 6, 2015 12:53pm Jun 6, 2015 12:53pm
maxP on the $0.01 debit diagonal above is around $380, but to get that, TLT has to finish in a narrow band around $112.50 in the last day or so b4 expiry. Diagonals are dicey trades. Looking at put verticals short out into July, I'm not seeing enough juice to justify the risk. So, not sure I'd want to tie up some margin on a long put diagonal & not seeing what I want for short put verticals. Never mind....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,963
  • Jun 7, 2015 1:19pm Jun 7, 2015 1:19pm
Quoting The Fool
maxP on the $0.01 debit diagonal above is around $380, but to get that, TLT has to finish in a narrow band around $112.50 in the last day or so b4 expiry. Diagonals are dicey trades. Looking at put verticals short out into July, I'm not seeing enough juice to justify the risk. So, not sure I'd want to tie up some margin on a long put diagonal & not seeing what I want for short put verticals. Never mind....
I'm kinda of looking ahead towards earnings in July with this trade, i'm still a believer in this market seeing some sort of a decent pullback/correction ahead. The strong USD may have some affect on companies earning especially those exporting but the kicker may be that NFP we've just had, consistent monthly job growth but yet we see the unemployment% tick up slightly, that doesn't makes sense and those weekly charts in the indices looking very bearish to me including that big cap APPLE stock and there are some long outstanding bearish gaps to fill, and just add that Greek fiasco to the mix.
Anyway I found a long bear vertical spread for first week July expiration and that is for the week after Greece payment is due I think.

Below is Fridays closing prices and it shows a net Debit of ZERO but come Monday opening I should be able to get in for 2 - 4c net Debit on this

SPY Jul 2015 196.000 put (SPY150702P00196000)
-OPR
0.50 0.07(12.28%) 5 Jun 20:50

SPY Jul 2015 190.000 put (SPY150717P00190000)
-OPR
0.50 0.03(5.66%) 5 Jun 20:37
  • #8,964
  • Jun 7, 2015 3:02pm Jun 7, 2015 3:02pm
not sure what the snafu is above, Cecil, but a Jul SPY $196/$190 put spread'll cost ya about $0.43
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,965
  • Jun 7, 2015 3:06pm Jun 7, 2015 3:06pm
Quoting The Fool
not sure what the snafu is above, Cecil, but a Jul SPY $196/$190 put spread'll cost ya about $0.43 {image}
prices will be different, will know for sure when market opens on Monday, 43 seems a little to high when looking at other combo's
  • #8,966
  • Jun 7, 2015 3:11pm Jun 7, 2015 3:11pm
Quoting Cecil Gee
{quote} I'm kinda of looking ahead towards earnings in July with this trade, i'm still a believer in this market seeing some sort of a decent pullback/correction ahead. The strong USD may have some affect on companies earning especially those exporting but the kicker may be that NFP we've just had, consistent monthly job growth but yet we see the unemployment% tick up slightly, that doesn't makes sense and those weekly charts in the indices looking very bearish to me including that big cap APPLE stock
That was quite a bullish NFP. The unemployment rate went up because (so they say) more people have come back into the workforce to seek the better jobs that are there for the taking. Honestly, I think the only chance we have of a sharp correction will be some kind of shock to the system - a messy Greek default drama of course comes to mind. If we have a Grexit and an accompanying sovereign debt shock in the Eurozone then, yes, I'd bet we might see SnP in the $190's or lower this Summer. But if Greece gets "fixed", I'd bet we continue to grind sideways or higher.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,967
  • Jun 7, 2015 3:16pm Jun 7, 2015 3:16pm
Quoting Cecil Gee
{quote} prices will be different, will know for sure when market opens on Monday, 43 seems a little to high when looking at other combo's
well, that is a wide spread and there's lots of time value left in them options...no way that spread can be got for anywhere near $0.00. If I wanted to bet on a big drop I might look at calendars or diagonals, they'd be cheaper and you would not be out much if big drop never came....I'll look...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,968
  • Jun 7, 2015 3:21pm Jun 7, 2015 3:21pm
Quoting The Fool
{quote} well, that is a wide spread and there's lots of time value left in them options...no way that spread can be got for anywhere near $0.00. If I wanted to bet on a big drop I might look at calendars or diagonals, they'd be cheaper and you would not be out much if big drop never came....I'll look...
check for me if you can on cals or dags, I'm looking round for pennies that could yield multiples in hundreds because the IV is low for them at the moment
  • #8,969
  • Jun 7, 2015 3:25pm Jun 7, 2015 3:25pm
Quoting The Fool
{quote} well, that is a wide spread and there's lots of time value left in them options...no way that spread can be got for anywhere near $0.00. If I wanted to bet on a big drop I might look at calendars or diagonals, they'd be cheaper and you would not be out much if big drop never came....I'll look...
they were closing prices from Friday and the time stamp suggests no one made a bid on them so the price will be different on Monday but I'm hoping the difference is pennies and not more than 15c max, i may well be wrong but we shall see tomorrow
  • #8,970
  • Edited 4:17pm Jun 7, 2015 3:26pm | Edited 4:17pm
Quoting Cecil Gee
{quote} check for me if you can on cals or dags, I'm looking round for pennies that could yield multiples in hundreds because the IV is low for them at the moment
OK, there are lots of possibilities. If you want to spend just pennies way out in July, you will have to tighten your strikes, maybe just a $1 vertical, and look down in the $190's - let's see....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,971
  • Jun 7, 2015 3:30pm Jun 7, 2015 3:30pm
For Jul SPY verticals, the closest thing I see under 10c now is a $196/$195 vertical for $0.09 debit, would pay about 8x if SPY dropped to $193 or lower...

put verticals get cheaper below that, but SPY would have to drop lower also to hit the large payout
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,972
  • Jun 7, 2015 3:31pm Jun 7, 2015 3:31pm
Quoting The Fool
{quote} OK, there are lots of possibilities. If you want to spend just pennies way out in July, you will have to tighten your strikes, maybe just a $0.50 vertical, and look down in the $190's - let's see....
long butterflies maybe a better option
  • #8,973
  • Jun 7, 2015 3:41pm Jun 7, 2015 3:41pm
I think you might look a little closer, too. The Greek situation may come to a head by the end of June, when all of their IMF loans (now bundled together) come due. In fact, Greece has lots of other debt due in June, their own short term treasuries - those payments are larger than the IMF debt payments - if/when they start missing those, the shtf even before the end of June. So for SPY put calendars and diagonals I have set up on the Jun4/Jun5 spread....

http://graphics.wsj.com/greece-debt-timeline/

....they owe 3.6 billion euros on short term treasury notes next Friday......
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,974
  • Jun 7, 2015 3:47pm Jun 7, 2015 3:47pm
Quoting Cecil Gee
{quote} long butterflies maybe a better option
perhaps, the Jun5 (that's June 30th - the quarterly options expiry) $200/$197/$194 bfly might be got for $0.10, pays $1.40+ if you nailed it, good profit zone, as below
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,975
  • Jun 7, 2015 4:01pm Jun 7, 2015 4:01pm
so, if things really start to drop and drop hard, how low do you think the SnP will go? Tough to call that and be right on time, too - which is why I would prolly rather spend a little more for verticals - in the vert spreads if you drop below your b/e, you're always in profit lower, but in the time spreads (calendars, diagonals, bflys) you can end up losing money if the drop is too far and/or too fast. The diagonals are especially tricky that way.

That said, I have a Jun4/Jun5 SPY $202/$201 diagonal that I got for $0.00 a while back, and I have Jun/Jun5 $200 calendar that I paid $0.34 for...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,976
  • Jun 7, 2015 4:02pm Jun 7, 2015 4:02pm
Quoting The Fool
{quote} perhaps, the Jun5 (that's June 30th - the quarterly options expiry) $200/$197/$194 bfly might be got for $0.10, pays $1.40+ if you nailed it, good profit zone, as below
If you can get in these so cheap, it might not be a bad idea to gang up on them, do them at $5 intervals maybe...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,977
  • Jun 7, 2015 4:11pm Jun 7, 2015 4:11pm
Quoting The Fool
so, if things really start to drop and drop hard, how low do you think the SnP will go? Tough to call that and be right on time, too - which is why I would prolly rather spend a little more for verticals - in the vert spreads if you drop below your b/e, you're always in profit lower,...
maybe more my speed, for $0.12 the Jun4 $205.5/$205 nets $0.35 if SPY drops below $202...b/e around $206.40

Well, we will see, won't surprise me at all to see SPY bounce back to $212.xx in the next few days, in which case I will rather be selling call spreads out past the end of June...
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,978
  • Edited 10:26pm Jun 7, 2015 4:25pm | Edited 10:26pm
Quoting The Fool
30yr UST bond looking to retrace the path it has taken over the last 1-2 years. Unless there is a systemic shock & we see flight to safety (UST's get bought) then I'd bet TYX hits 3.50%, then pushes to 4% in the Fall. TYX 3.50% would push TLT down to around $111, I might set up a Jul 1 put diagonal, $112/111,
with IVR kinda high on TLT, not the best time for long calendars, but some cheapies could be worth a shot still - the Jul/Jul4 $110 puts
go for $0.10, can pay 5x with a good finish, upside b/e almost to $114
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,979
  • Jun 7, 2015 10:30pm Jun 7, 2015 10:30pm
Quoting The Fool
{quote} with IVR kinda high on TLT, not the best time for long calendars, but some cheapies could be worth a shot still - the Jul/Jul4 $110 puts go for $0.10, can pay 5x with a good finish, upside b/e almost to $114
a one-month time spread gets you a huge profit zone. You have to drop way down to get in cheap, but the $102 TLT put calendar has >$15 profit zone at expiry, b/e on the upside is about $110, debits $0.23, maxP is $1.60+ for a perfect finish....
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #8,980
  • Jun 7, 2015 10:53pm Jun 7, 2015 10:53pm
lots to like about the long bflys, huge max payoff, wide profit zone, defined risk, not cheap to buy or manage, but if you are close with your forecast, nice returns
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"If The Fool persists in his Folly he will become wise." - William Blake
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