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  • #761
  • Mar 29, 2017 6:23pm Mar 29, 2017 6:23pm
Quoting The Fool
{quote}how are you liking the TW so far? I funded the account a month or 2 ago and have not placed a single trade....my volume way down as I have been buried in dayjob workload. But I am seeing daylight & need to start trading that account.....
Well, you haven't missed much, to be honest ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #762
  • Mar 29, 2017 6:46pm Mar 29, 2017 6:46pm
Quoting ZebraSquirl
In the end, though, it's literally all about the fees ... .
Word...that & if they will not scramble my spread legs....(ooohlala....)....I have been making some spare change on SPY & SPX weekly spreads, a little GLD, when I am super busy that's all I can keep up with...

Well, here's to more "interesting" times & Happy Spring, bro....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #763
  • Mar 30, 2017 5:31pm Mar 30, 2017 5:31pm
Quoting The Fool
{quote}Word...that & if they will not scramble my spread legs....(ooohlala....)....I have been making some spare change on SPY & SPX weekly spreads, a little GLD, when I am super busy that's all I can keep up with... Well, here's to more "interesting" times & Happy Spring, bro....
Right back atchya ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #764
  • Apr 2, 2017 2:26pm Apr 2, 2017 2:26pm
The week ahead: KRE, GDXJ, EWZ. Metrics, etc., here: https://www.tradingview.com/chart/VI...-KRE-EWZ-GDXJ/
Fireworks are fun ... as long as you don't blow your fingers off.
  • #765
  • Apr 2, 2017 3:55pm Apr 2, 2017 3:55pm
Upcoming earnings: STZ (4/6) -- monthlies only, 5 wides; not worth dicking with; KMX (4/6) -- monthlies only (same); AA (4/10) -- has the right metrics/liquidity currently for an April 13th or 21st expiry play; C, JPM, WFC (11 days out) generally do not get enough IV to f with. NFLX, the first one I play in earnest -- 4/17 AMC.

Broad Index ETF's: SPX/SPY has the highest IVR, followed by DIA, QQQ, and RUT/IWM. Ranked by IV alone: RUT/IWM, QQQ, SPX/SPY, DIA.
Currently, the highest IV broad index ETF (IWM), is not bringing in 1/3rd the width of the wings, 45 DTE where the short options are setup nearest the 20 delta strike (May 19th 128/131/144/147, .84/contract at the mid) (a sign that it's not worth playing).

The May 19th 128/137/145 iron fly (17 wide) is bringing in 1/4 of the width of the longs bought at the 15 delta (4.99 at the mid with a BPE of 4.01 and theta of 2.53).
Fireworks are fun ... as long as you don't blow your fingers off.
  • #766
  • Apr 4, 2017 9:47am Apr 4, 2017 9:47am
Rolling: XOP April 21st 33.5 short put to May 5th 35.5 short put for a .44 credit. This is part of a put diagonal, the back month of which is in June: https://www.tradingview.com/chart/XO...-PUT-DIAGONAL/

At this point, largely biding my time until earnings ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #767
  • Apr 4, 2017 10:56am Apr 4, 2017 10:56am
Covering: VIX June 17/20 short call vert for a .35 db. 50% max profit with 77 DTE: https://www.tradingview.com/chart/VI...CALL-VERTICAL/

Short volatility ... . The gift that keeps on giving ... .

I think I've done about 5 or 6 of these so far this year, largely in expiries <90 DTE with the short call strike set up at the 50 delta when that's >the 16 strike. Haven't had to roll one ... . Yet.

Still have a July 16/19 on.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #768
  • Apr 4, 2017 11:41am Apr 4, 2017 11:41am
Trade Idea: KMX April 21st 50/52.5/60/62.5 IRON CONDOR.

Metrics:

Probability of Profit: 50%
Max Profit: $113/contract
Max Loss/BP effect: $137/contract
Break Evens: 51.37/61.13
Theta: 2.90
Delta: .45 (neutral)

Notes: Here, I've gone in a little bit tighter (around 30 delta for the shorts) to bring in a little more credit and am keeping the wings somewhat tight because, well, it's a piece of crap with monthlies only, so I don't want to hang a lot of BP out there if it causes me trouble because I'll have to roll from month to month.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #769
  • Apr 4, 2017 5:20pm Apr 4, 2017 5:20pm
Quoting ZebraSquirl
Trade Idea: KMX April 21st 50/52.5/60/62.5 IRON CONDOR. Metrics: Probability of Profit: 50% Max Profit: $113/contract Max Loss/BP effect: $137/contract Break Evens: 51.37/61.13 Theta: 2.90 Delta: .45 (neutral) Notes: Here, I've gone in a little bit tighter (around 30 delta for the shorts) to bring in a little more credit and am keeping the wings somewhat tight because, well, it's a piece of crap with monthlies only, so I don't want to hang a lot of BP out there if it causes me trouble because I'll have to roll from month to month.
No fill on the KMX IC and wasn't going to chase. Bid/ask was a bit wider than I'd like anyhoo ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #770
  • Apr 7, 2017 7:43pm Apr 7, 2017 7:43pm
Some mild backwardation in VIX:

Attached Image (click to enlarge)
Click to Enlarge Name: VIX TERM.jpg Size: 96 KB


Likely to be short term as April drops off in the next several days. Also, this isn't being "felt" much in the back months; the structure remains quite shallow with Nov at sub-17 ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #771
  • Apr 7, 2017 7:53pm Apr 7, 2017 7:53pm
The first, highly liquid underlying with earnings coming up that usually is a "good play" -- NFLX, 10 days out ... . Not seeing much on the radar until then unless I just want to put on a trade to put on a trade, which is usually not the best reason to put on a trade ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #772
  • Apr 9, 2017 2:01pm Apr 9, 2017 2:01pm
The Week Ahead for Premium Selling: https://www.tradingview.com/chart/NF...T-FOR-QUALITY/

Trade Idea: VIX May 17th 11/14/14/17 iron fly: https://www.tradingview.com/chart/VI...4-17-IRON-FLY/ I stole this idea from a TastyTrade segment, the link to which is posted in this link. Not something I would've thought of doing, but I like the metrics, so gonna piddle with it ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #773
  • Apr 10, 2017 6:30pm Apr 10, 2017 6:30pm
Quoting ZebraSquirl
The Week Ahead for Premium Selling: https://www.tradingview.com/chart/NF...T-FOR-QUALITY/ Trade Idea: VIX May 17th 11/14/14/17 iron fly: https://www.tradingview.com/chart/VI...4-17-IRON-FLY/ I stole this idea from a TastyTrade segment, the link to which is posted in this link. Not something I would've thought of doing, but I like the metrics, so gonna piddle with it ... .
Filled the VIX iron fly for 2.05. Will manage at 25% max.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #774
  • Apr 10, 2017 7:18pm Apr 10, 2017 7:18pm
Covering: SPY April 21st 230/233/240/243 for a .48 db (50% max profit).

Rolling: ATVI May 19th 46 short put to August 18th 48 short put for a 1.76 credit, increasing cost basis of short shares to 47.76. Rolling up and out to give myself some more protection and increasing my cost basis to something closer to current price.

Rolling: VRX May 19th 10 short call to July 21st 10 call for a .58 credit. Cost basis in shares now 8.40. The May 19th 10 short calls were reaching 50% of what I originally put them on for. Rolling out here adds duration, but also reduces cost basis.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #775
  • Apr 11, 2017 12:37pm Apr 11, 2017 12:37pm
OPENING: SPY JUNE 16 222/226/240/241 IRON CONDOR for a 1.00 credit.

... for a 1.00 credit.

I'm doing this little fella as an adjustment trade to pick up a little long delta in a current SPY position. However, it could also be a fairly decent standalone trade if you're slightly bullish to neutral on SPY above 226.

The additional feature of the setup is the lack of call side risk on setup because the credit received equals the max loss that could be experienced if the call side is broken -- 1.00, the width of the call side spread. Put another way, max loss occurs only if the downside break even is broken; if the upside break even is broken at 241, you basically make nothing on the trade.*

Metrics:

Max Profit: $100/contract
Max Loss: $300/contract
Break Evens: 225/241
Theta: .50
Delta: 2.55

Notes: As a standalone trade, I would look to manage the setup at 50% max.

* -- Both of these scenarios contemplate you're doing absolutely nothing during the life of the setup, such as rolling the untested side toward current price.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #776
  • Apr 12, 2017 6:15pm Apr 12, 2017 6:15pm
Finally, some volatility somewhere (other than earnings plays).

With a six-month implied volatility percentile of 76 and a background IV of 37, throwing a touch of "Brazilian" on here ... .

Metrics:

Max Profit: $247/contract
Max Loss: $253/contract
Break Evens: 34.53/39.47
Theta: 1.77
Delta: -.29

Notes: Will look to manage this at 25% max ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #777
  • Apr 16, 2017 1:10pm Apr 16, 2017 1:10pm
Quoting ZebraSquirl
Finally, some volatility somewhere (other than earnings plays). With a six-month implied volatility percentile of 76 and a background IV of 37, throwing a touch of "Brazilian" on here ... . Metrics: Max Profit: $247/contract Max Loss: $253/contract Break Evens: 34.53/39.47 Theta: 1.77 Delta: -.29 Notes: Will look to manage this at 25% max ... .
Just noticed that I didn't include the symbol with that -- EWZ. In any event, I totally spaced it out that Friday was a market holiday, so cancelled it out. It looks like the volatility is still there, so may reattempt that next week ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #778
  • Apr 16, 2017 1:11pm Apr 16, 2017 1:11pm
The week ahead: https://www.tradingview.com/chart/VI...X-RUT-IWM-QQQ/
Fireworks are fun ... as long as you don't blow your fingers off.
  • #779
  • Apr 16, 2017 2:17pm Apr 16, 2017 2:17pm
Here's how VIX term structure looks at the moment:

Attached Image (click to enlarge)
Click to Enlarge Name: VIX TS.jpg Size: 186 KB


Spot's at 16, May's at 15.22, June at 15.27, etc. April's about to expire, and when that happens, the futures structure will adjust somewhat, as will spot.

For a May or June setup, I think both of these are "decent", although I would lean toward the fly, since it brings in more credit with a smaller risk profile:

VIX May 16/19 short call vert
Max Profit: $55/contract
Max Loss/BPE: $245/contract
Break Even: 16.55
Shooting for 50% max

VIX June 11/16/16/21 iron fly
Max Profit: $360/contract
Max Loss/BPE: $140/contract
BE's: 12.40/19.60
Shoot for 25% max

(I went out to June, since 30 days until expiry's a touch on the short side of duration for me).
Fireworks are fun ... as long as you don't blow your fingers off.
  • #780
  • Apr 18, 2017 11:56am Apr 18, 2017 11:56am
Covering: VIX July 16/19 short call vert for a .65 db ($10 winner). Lol. I'm liking the metrics of the iron flies better. This was far out in time, tying up $225/contract in buying power ... .

Opening: VIX June 21st 10/15/15/20 iron fly for a 3.00 credit; Max Profit: $300; Max Loss/Buying Power Effect: $200; BE's at 12/18; Theta 1.39/contract. Will shoot to take this off at 25% max or about $75 gross profit/contract. Compare that to the straight short call vert which was taking $225/contract, had a max profit potential of $75/contract ... .

Covering: ATVI covered put for a 51.88 db, a gross loss of 4.12. Kinda of makes last earnings season a total wash ... .
Fireworks are fun ... as long as you don't blow your fingers off.
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