OPENING: XLE JULY 20TH 67 LONG/APRIL 27TH 71 SHORT CALL DIAGONAL

2018年3月13日

... for a 3.14/contract debit (78.5% width of spread).

Another neutral to bullish assumption setup with plenty of time to reduce cost basis. Currently, it looks like you could get a better fill than I did (mid currently at 3.00, 75% of the width of the spread, which is what you're looking for in these setups).

Here, I'm shooting for 20% of what I put the trade on for.

Metrics:

Max Profit: .86/contract*
Max Loss: 3.14/contract
Theta: .37
Delta: 32.33

* -- Assuming no rolls of the short call and finish of the underlying above the short call strike at expiry.
** -- Assuming no rolls of the short call and finish of the underlying below the long call strike at expiry.

2018年3月15日

交易進行

Well, the bottom fell out of that fairly quickly. Rolling the April 27th 71 short call to the May 18th 70 for a .52/contract credit. Cost basis is now 3.18 - .52 = 2.66.

2018年4月2日

交易進行

Continued weakness ... . Rolled the May 18th 70 down to the May 18th 69 (30 delta) for a .23/contract credit; cost basis at 2.43. Although I've rolled down the spread to a two-wide (which is narrower than my cost basis), we haven't seen $69 for a while here ... .

2018年4月12日

手動結束交易

Rather than attempt to "fix" my overly aggressive roll-down to the 69 strike, I'm covering the entire diagonal here for 2.35, resulting in a small loss (.08/$8). I'll re-up on weakness and try to be a little more patient, a little less knee jerk next time around.