OPENING: EWZ JUNE 19TH 37/50 SHORT STRANGLE

已更新

... for a 1.26 credit.

Metrics:

Max Profit: $126
Max Loss/Buying Power Effect: Undefined/$440
Credit Received/Buying Power Effect Ratio: 28.6%
Delta/Theta: -1.53/1.32

Notes: Selling a directionally neutral short strangle in the first expiry in which the at-the-money short straddle pays greater than 10% of the stock price with the intention to delta under hedge to maintain net delta < theta if possible.

交易進行

Sold the 36/48 15 delta put/19 delta call for 1.18 to delta under hedge; scratch at 2.44; delta/theta 5.17/2.57.

交易進行

Sold the 47C to under hedge for .38; delta/theta 20.18/3.16; scratch at 2.82.

交易進行

Sold the 45C to under hedge for .57. Scratch at 3.39.

交易進行

Taking off the 45 for .03. The remaining calls have gone no bid, but will take those off at the earliest opportunity, since they're tying up buying power. Selling a 38 against for .49. Scratch at 3.88 with the resulting setup: 36/37P-38/47/48/50C.

交易進行

(Late Post): My best guess is that price doesn't come back above my short put strikes by expiry, so will likely be assigned on the 36's and 37's with a cost basis of 34.56. In preparation for this, went out to September (there is no June, currently) to sell the 32's against for a .60/contract credit with a resulting cost basis of 33.96, so slightly below cost basis.

交易進行

Pulled off the September 32's for .20/contract, opting to sell something closer in time -- the June 24's for 1.10/contract. I haven't been assigned shares yet, but when I do, they'll have a cost basis of 33.96 + .20 - 1.10 = 33.06. The strike selection is naturally quite aggressive and below cost basis.

交易進行

Rolling the June 24's out to the July 25's and selling the July 24 puts against for a .01/contract debit to finance. Clearly got a smidge too aggressive with the short call. Lol. Scratch at 33.07.

評論

Rather, 33.05 scratch ... .

交易進行

As expected, assigned 200 shares with a cost basis of 33.05 that is partially covered with a 25 short call out in July, along with a 24 short put that was used to finance strike improvement. Will proceed to cover the remaining shares shortly ... .

交易進行

Selling the July 33's for .59, which covers the rest of my shares. Cost basis is 33.05 - .59/2 (since I'm covering only half the total number of shares with this partial) or 32.74.

交易進行

And ... managing the 24/25 covered strangle aspect by rolling it out to August (the July 24P doesn't have much juice left in it) to the 25/26 for a .10 credit. Cost basis of 32.74 - .10/2 = 32.69.

交易進行

Rolled the July 33 to the August 33 for a .74 credit. Cost basis of 32.69 - .74/2 = 32.32. Will continue to work the other short call up over time.

交易進行

With very little extrinsic left in the 25/26 covered strangle aspect of this trade, rolling from the August 21st 25/26 to the October 16th 27 short straddle for .25. Cost basis of 32.32 - .25/2 = 32.20.

交易進行

Rolled the August 21st 33's as is to September today for a .55 credit on traverse of the short call strike. Cost basis of 32.20 - .55/2 = 31.93. I'm fine with being called away, but wanted to milk a smidge more out of it before that happens. Assuming it does, that will leave me with the October 27P/27C covered straddle with a cost basis of 31.93.