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  • #361
  • Dec 5, 2016 7:18pm Dec 5, 2016 7:18pm
Quoting ZebraSquirl
Rotating into ETF's here ... . EWZ and XBI appear to have the best IVR/IV combos (>70 IVR/>35 IV) (six month IVR). I already have an EWZ on, so XBI, it is: {image} Max loss/buying power effect is 3.00 ($300)/contract, BE's at 56.38/66.96. Still has those oddball strikes post-split ... .
Did not get a fill on this ... . When I briefly looked at it today, the bid/ask for the entire setup was wide. I don't know if this is due to my using those oddball strikes or something else. I'll adjust the setup to use "standard" strikes and see if that improves the bid/ask any ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #362
  • Dec 6, 2016 11:01am Dec 6, 2016 11:01am
Opening: EWZ 28.5/32/32/36 Jan 6th iron fly for a 2.22 credit (High IVR/High IV). Shooting for 25% max profit on this puppy. Ain't much premium to be sold out there.

Opening: IWM Dec 16th 132/134 long put vert. Low IV environment here, so going directional (bearish assumption running into FOMC). Filled for an .86 db, it has a max profit potential of $114/contract. If price breaks to the top side, I'll roll out for duration and consider "flipping" it to a credit spread.

Opening: IWM Jan 20th 123/126 short put vert for a .41 cr. This is to unit/delta balance in that expiry ... . I don't like doing that in a low vol environment, but I'm a little shorter in delta than I like on the entire IWM position (excluding that long put vert, which added short delta).

Trade idea: VIX Jan 18th 11/12.5/12.5/13 broken wing butterfly. Shooting for a fill for an .80 db. With a break even at 11.80, max profit potential is $70. With the bid/ask in that expiry for the entire setup, I'm doubtful I'll get filled and won't chase.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #363
  • Dec 6, 2016 11:14am Dec 6, 2016 11:14am
Covering: EWZ Dec 16th 28.5/33.5/33.5/37 iron fly for a 1.79 db here. In for 1.81 credit; rolled the original 30.5 long put to the 28.5 for a .50 credit: total credits received = 2.31. Out here for 1.79: net profit of $37, after fees/comms.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #364
  • Dec 6, 2016 1:42pm Dec 6, 2016 1:42pm
Opening: LULU Dec 16th 49/52/64/67 iron condor for a .92 credit. Earnings announcement tomorrow after market close. Will look to manage at 50% max.

Opening: IYR Jan 20th 70/75/75/79 iron fly for a 2.79 cr. Will look to manage at 25% max. Core fly positions in ETF's with high IVR.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #365
  • Dec 6, 2016 3:06pm Dec 6, 2016 3:06pm
An example of the kind of VIX derivative play I was talking about in earlier posts regarding UVXY, VXX, and (inversely) SVXY contango:

Attached Image


Unfortunately, he is rowing against an incredibly steep contango rate here:

Attached Image (click to enlarge)
Click to Enlarge Name: Contango Rate.jpg Size: 35 KB
Fireworks are fun ... as long as you don't blow your fingers off.
  • #366
  • Dec 6, 2016 3:10pm Dec 6, 2016 3:10pm
Quoting ZebraSquirl
An example of the kind of VIX derivative play I was talking about in earlier posts regarding UVXY, VXX, and (inversely) SVXY contango: {image} The only way this works out is if there is a pop in volatility such that UVXY increases in price before contango has eaten away at the value of the long stock to such a degree that his "monied" 9 short call (a mere .19 below current price) is still in the money. He is literally rowing against an incredibly steep contango rate here: {image}
That being said, you'll notice that his break even is at 7.55 (what he paid for the setup), so it has a max profit potential of about 1.45 ($145) (the diff between the 9 strike and what he paid) ... . I can only assume he'll cover at or before it gets to 7.55 if it goes that way ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #367
  • Dec 6, 2016 5:53pm Dec 6, 2016 5:53pm
A reattempt at that VIX broken wing butterfly that didn't get filled today:

Attached Image (click to enlarge)
Click to Enlarge Name: VIX BWB.jpg Size: 397 KB


Will see if it fills tomorrow when I'm not "staring at it."
Fireworks are fun ... as long as you don't blow your fingers off.
  • #368
  • Dec 6, 2016 8:27pm Dec 6, 2016 8:27pm
Some people (they know who they are) refuse to learn how to trade spreads so they just buy UVXY calls at the bottom of the chain (ie, highest strike) - you always see the oi out there. Just buy dirt cheap and wait for a big vol pop to swell the call values.
Attached Image (click to enlarge)
Click to Enlarge Name: 2016-12-06_1818UVXY2.png Size: 83 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #369
  • Dec 6, 2016 10:19pm Dec 6, 2016 10:19pm
Quoting The Fool
Some people (they know who they are) refuse to learn how to trade spreads so they just buy UVXY calls at the bottom of the chain (ie, highest strike) - you always see the oi out there. Just buy dirt cheap and wait for a big vol pop to swell the call values. {image}
Lovin' that OI in the 60 strike ... . I want what they're smoking. Must be something way better than "ditch weed" ... . I assume they're waiting for it to go to, what, .06? Lol.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #370
  • Dec 6, 2016 10:26pm Dec 6, 2016 10:26pm
Quoting The Fool
Some people (they know who they are) refuse to learn how to trade spreads so they just buy UVXY calls at the bottom of the chain (ie, highest strike) - you always see the oi out there. Just buy dirt cheap and wait for a big vol pop to swell the call values. {image}
Also, not sure I completely understand the 205 OI on the put side at the 60 strike (I assume they're mostly longs). The only point at which they'll probably be able to unload is at expiry, at which time price of the underlying could be, well, sorta anything ... . My guess is that they did some basic calculations as to average contango over the life of the option, but still, kind of a crap shoot ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #371
  • Dec 6, 2016 10:34pm Dec 6, 2016 10:34pm
the calls will swell, ebb & flow with iv's even out to the end of the chain. The chart is .UVXY170120C60, the last week of Jan $60 call - it will move, note it popped a double last Thursday. As always, the trick is buy low, sell high.....I like a nickel bet....
Attached Image (click to enlarge)
Click to Enlarge Name: 2016-12-06_203060.png Size: 67 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #372
  • Dec 6, 2016 11:46pm Dec 6, 2016 11:46pm
do you ever watch the Time & Sales? There's quite a bit of deep in the money options trading going on in there, often some of the largest trades, something they never talk about on tt. I'm not sure I always understand what those trades are, but somebody sold this itm UVXY put vert today, for 80c...80c on a $1 spread means you're risking 20c to net 80c, not bad, but ballsy even so given what UVXY will always do. Looks like they traded 1,000 of them or so...
Attached Image (click to enlarge)
Click to Enlarge Name: 2016-12-06_2142nn.png Size: 69 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #373
  • Dec 7, 2016 7:53pm Dec 7, 2016 7:53pm
Quoting The Fool
do you ever watch the Time & Sales? There's quite a bit of deep in the money options trading going on in there, often some of the largest trades, something they never talk about on tt. I'm not sure I always understand what those trades are, but somebody sold this itm UVXY put vert today, for 80c...80c on a $1 spread means you're risking 20c to net 80c, not bad, but ballsy even so given what UVXY will always do. Looks like they traded 1,000 of them or so... {image}
On occasion, I look at stuff that seems to "stick out" and/or is obvious ... . Not sure I completely understand an ITM short put vert in UVXY, given contango and all that, although they may be simply looking for a vol expansion on a pop and taking profit "early."
Fireworks are fun ... as long as you don't blow your fingers off.
  • #374
  • Dec 7, 2016 7:58pm Dec 7, 2016 7:58pm
Quoting The Fool
the calls will swell, ebb & flow with iv's even out to the end of the chain. The chart is .UVXY170120C60, the last week of Jan $60 call - it will move, note it popped a double last Thursday. As always, the trick is buy low, sell high.....I like a nickel bet.... {image}
The additional trick is being able to unload those "timely." If there isn't someone out there to take them off your hands ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #375
  • Dec 7, 2016 8:08pm Dec 7, 2016 8:08pm
Rolling: IWM Dec 16th 128/132 to Dec 23rd 130/135 short call vert. I goofed up on this roll, or, rather, with the selling of a put side against. It's a long story, but I'm fixing it here so that I have a full iron condor in the Dec 23rd expiry and not some goofy setup breaking across a couple ... . Filled for a .25 cr.

Rolling: IWM Dec 16th 132 short put to the 133.5 for a .39 credit. This is a leg of a long put vert I setup on the assumption that the Russell would weaken running into FOMC. It's now a 133.5/134 long put vert. There's still a little time here until expiry, but my guess is that I'll be flipping that into a short put vertical if price doesn't move down soon ... .

Rolling: IYR Jan 20th 79 long call to the 81 long call for a .35 credit. This is a leg of an iron fly setup that I'm rolling up to lock in profit on this up move. I figure: why not take advantage of these moves that increase the value of your long options while you're waiting for the short straddle part of the setup to play out. Most of the time, these long options in these flies expire worthless; they're really just there to decrease the buying power that would be used if you were just naked a short straddle.

Covering: XLU Dec 30th 42.5/46.5/46.5/49.5 iron fly for a 1.65 db. In for 2.10; out for 1.65; $33 net profit after fees/comms.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #376
  • Dec 7, 2016 8:32pm Dec 7, 2016 8:32pm
Quoting ZebraSquirl
{The additional trick is being able to unload those "timely." If there isn't someone out there to take them off your hands ... .
YES....I have watched that action and it is often done in some pretty big lots......so ther might be 10,000 oi or whatever but it's only a handful of trades. Also of course on UVXY gotta watch the spreads...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #377
  • Dec 7, 2016 9:40pm Dec 7, 2016 9:40pm
Quoting The Fool
{quote}YES....I have watched that action and it is often done in some pretty big lots......so ther might be 10,000 oi or whatever but it's only a handful of trades. Also of course on UVXY gotta watch the spreads...
I think I had an "ah-hah" moment about those deep ITM puts -- Poor Man's Covered Puts:

Attached Image (click to enlarge)
Click to Enlarge Name: UVXY PWCP.jpg Size: 307 KB


Going with the 60 strike is probably overkill, but they may have done it several months ago on a pop or shortly after the reverse split in July when price was above $30. The short put leg could also very well be ITM (it may not have started out that way), but they've probably rolled it repeatedly for additional credit and could probs bail at any time in profit if they wanted given the way price has come down off the reverse split highs (it's about $23 off the post split highs). I don't know what the math is on just the increase in value of the long put is, but (scratches on back of napkin) it's significant ... . 205 contracts x $23 x 100 = $471k, no?
Fireworks are fun ... as long as you don't blow your fingers off.
  • #378
  • Dec 7, 2016 9:43pm Dec 7, 2016 9:43pm
Quoting ZebraSquirl
{quote} I think I had an "ah-hah" moment about those deep ITM puts -- Poor Man's Covered Puts: {image} Going with the 60 strike is probably overkill, but they may have done it several months ago on a pop or shortly after the reverse split in July when price was above $30. The short put leg could also very well be ITM (it may not have started out that way), but they've probably rolled it repeatedly for additional credit and could probs bail at any time in profit if they wanted given the way price has come down off the reverse split highs (it's about...
Course, it probably cost half a mill to put on in the first place ... . Lol.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #379
  • Dec 8, 2016 6:55pm Dec 8, 2016 6:55pm
Covering: LULU Dec 16th 52 short put for a .02 debit (near worthless); I'll let the long option part of the spread expire worthless on its own (it's "no bid" anyhoo).

Rolling: LULU Dec 16th 64/67 short call vert to Jan 20th 70/77.5 short call vert for a .10 cr and sold the 62.5/70 short put vert for a 2.44 cr against, creating a 62.5/70/70/77.5 iron fly. I figured I'd fly it immediately after the short call was broken in order to take advantage of the IV before it pissed out of the thing ... . As with all these broken earnings plays, will shoot to take this off at scratch.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #380
  • Dec 9, 2016 6:24pm Dec 9, 2016 6:24pm
Rolling: LULU Jan 20th 62.5/77.5 long strangle part of fly to 60/80 for a .71 credit ... . 20-20 hindsight: I paid too much for the longs. This is what happens when you trade on a phone app and attempt to eyeball the 16 delta strike ... . No lo puedo ... .
Fireworks are fun ... as long as you don't blow your fingers off.
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