TSLA strangle 195c / 85p

2022年12月23日

Trade thesis
- theta collection
- current IV rank and percentile are at historical highs aggregating past 252 trading days

• IV rank: 95%
  
• IV %: 99%
  

- near delta neutral options strangle position of 195c/85p on Feb 17 monthly expiry
- 85p short leg represent a -32% price buffer to the downside
- 195c forms a nearly delta neutral trade on call side (+.02 delta)
- 56 DTE / ideal duration to sell premium

Position
- entry: $123.95
- strategy: strangle
- structure:

• short 02/17 195c (.10 delta)
  
• short 02/17 75p (.12 delta)
  

- cost: $500 credit
- delta: 2.96
- theta: 13.867
- gamma: -0.86
- vega: -18.13

Targets
- Profit target: $250 total profit (50% of credit collected)
- SL target: -50% loss
- management strategy:

• roll unchallenged side to higher delta to maintain at least .10 delta on each side
  
• roll unchallenged side to higher delta (5 strikes) to collect additional credit (10% minimum of roll width)
  
• exit position before earnings on 01/25/23
  

2022年12月30日

交易進行

Trade management (1)
- rolled call side down from 195c to 175c as the strangle became too delta positive and not enough premium was left on the call leg
- resulting delta change: 195c (.08 delta) to 175c (.14 delta)
- filled @ 1.00 credit
- wasn't able to stick to 10% minimum roll width rule due to the skew favoring put side currently on the underlying
- went more aggressive on the call side to account for the put skew

Updated position
- managed structure:

• short 02/17 175c (.14 delta)
  
• short 02/17 85p (.11 delta)
  

- total cost: $600 credit
- delta: -3.09
- theta: 16.589
- gamma: -1.07
- vega: -19.38

Targets
- Profit target: $300 profit (50% of total credits collected)
- SL target: -50% loss

2023年1月6日

交易進行

Trade management (2)
- rolled call side down once more 175c to 155c to rebalance the strangle position
- resulting delta change: 175c (.07 delta) to 155c (.14 delta)
- filled @ 1.00 credit

Updated position
- managed structure:

• short 02/17 155c (.14 delta)
  
• short 02/17 85p (.14 delta)
  

- total cost: $700 credit
- delta: +1.40
- theta: 16.174
- gamma: -1.40
- vega: -17.15

Targets
- Profit target: $350 profit (50% of total credits collected)
- SL target: -50% loss

2023年1月14日

交易結束：目標達成

Trade management (3)
- position closed
- exit citeria: profit target reached
- filled @ 3.50 debit (50% of total credits collected)

Final position:
- structure:

• short 02/17 155c (.17 delta)
  
• short 02/17 85p (.07 delta)
  
• delta: -8.53
  
• theta: +15.457
  
• gamma: -1.33
  
• vega: -14.81
  

Trade stats:

• entry price: $123.95
  
• exit price: $122.40
  
• DTE: 35 days
  
• trade duration: 21 calendar / 14 trading days
  
• profit: $350
  
• Return on Risk (RoR): 100%
  
• Return on Capital (RoC): 17.89%