Short Strangle – 10 Year US Terasury Notes Futures


SELL -5 STRANGLE /ZNH5 1/1000 JAN 15 /OZNF5 132.5/121 CALL/PUT @0”09 LMT
Credit – max profit (including commissions) = $672.43
Initial margin = $1,885
ROC =~ 35%
Look to take off trade at 50% of max profit.
POP =~ 90%
Posted in 10 Year US Treasury Notes, Fixed Income, Options, Short Strangle | Leave a comment

Short Strangle – 30 Year US Terasury Bond Futures


SELL -3 STRANGLE /ZBZ4 1/1000 OCT 14 /OZBV4 145/129 CALL/PUT @0”12 LMT GTC
Days to exp. = 59
ROC (max. profit) = 562.5/1654.13 =~ 34%
The idea would be to take off the spread around 50% of max. profit.  Hence the actual ROC would be actually around 17%, since maximum profit will not be collected.

ZB-7_29_2014

 

Posted in 30 Year US Tresury, Fixed Income, Options, Short Strangle | Leave a comment

VIX – Bull Call Spread


VIX is at the lower of it’s range as has been then case for a while.  Looking for a pop in volatility as we approach earnings season.  Taking a bullish position via  call vertical.
BUY +10 VERTICAL VIX 100 AUG4 14 12/13 CALL @.40 LMT
VIX_3
 VIX_2
Posted in Bull Call Spread, Indices, Options, VIX | Leave a comment

Short Strangle – 30 Year US Terasury Bond Futures


SELL -4 STRANGLE /ZBU4 1/1000 SEP 14 /OZBU4 142/129 CALL/PUT @0”09 LMT
Days to exp. = 47
ROC (max. profit) = 562.5/2279.00 =~ 24.7%
The idea would be to take off the spread around 50% of max. profit.  Hence the actual ROC would be actually around 12%, since maximum profit will not be collected.

ZB-7_6_2014

Posted in /ZB, 30 Year US Tresury, Fixed Income, Futures, Options, Short Strangle | Leave a comment

Bullish positions in UNG (US NAT GAS Fund ETF)


Underlying chart …
UNG-6_29_2014
A few different approaches to initiating a bullish position.  Each one has it’s nuances in terms of capital required, P&L.
- A call debit spread, financed by the sale of cash secured puts.
UNGPos1-6_29_2014
- A synthetic covered call – call diagonal initiated by the purchase of a far out deep ITM call (simulating the purchase of the underlying) & the sale of a near term call.  There are multiple rolls embedded within this position. i.e. you can sell calls with different expiration cycles as time passes.  The capital requirement is much more favourable than a regular covered call.
UNGPos2-6_29_2014
- A regular covered call – purchase of underlying and sale of calls against it.  Calls could be sold against this position with multiple expiration cycles as time progresses.  This position requires the highest capital requirement.
UNGPos3-6_29_2014
Posted in Bull Call Spread, Commodities, Covered Write, Diagonal, Natural Gas, Options, Short Put, UNG | Leave a comment

Short Strangle – Light Sweet Crude Oil Futures


SELL -3 STRANGLE /CLQ4 1/1000 AUG 14 /LOQ4 115/92 CALL/PUT @.27
Days to exp. = 51
ROC (max. profit) = 810/1980 =~ 40.9%
The idea would be to take off the spread around 50% of max. profit.  Hence the actual ROC would be actually around 20%, since maximum profit will not be collected.
CL_5_27_2014
Posted in /CL, Commodities, Futures, Oil, Options, Short Strangle | Leave a comment

GLD Calendar


GLD IV is at the lower end of it’s range.  Looking for an increase in IV.

BUY +10 CALENDAR GLD 100 JUL 14/JUN 14 124 PUT @.77 LMT

GLD_5_23_2014

Posted in Calendar, Commodities, Gold, Options | Leave a comment

Earnings play on Netapp Inc. – Closing trade


BUY +5 STRANGLE NTAP 100 (Weeklys) MAY4 14 36/34.5 CALL/PUT @.24 LMT
Opening credit = $610 (open trade link)
Closing cost = $135
Profit = $475

NTAP_5_22_2014

 

Posted in Earnings, NTAP, Options, Short Strangle | Leave a comment

Earnings play on Netapp Inc.


Earnings play on Netapp Inc …
SELL -5 STRANGLE NTAP 100 (Weeklys) MAY4 14 36/34.5 CALL/PUT @1.23 LMT
(short strikes around the anticipated market maker move … can use cost of ATM straddle for estimation as well)
Days to exp. = 2
POP =~ 90.0%
Max. profit = $625(exc. commissions)
Buying power effect = $3,438
ROC (max. profit) = 480/991 =~ 18%
The idea would be to take off the spread tomorrow after the earnings announcement tonight EST.  Hence the actual ROC would be lower, since maximum profit will not be collected.

NTAP_5_21_2014

Posted in Earnings, NTAP, Options, Short Strangle | 1 Comment

Earnings play on Autodesk Inc.


Earnings play on Autodesk Inc …
SELL -3 STRANGLE ADSK 100 MAY 14 50/44 CALL/PUT @.95 LMT
Days to exp. = 1
POP =~ 98.9%
Max. profit = $285(exc. commissions)
Buying power effect = $2,083.50
ROC = 480/991 =~ 13.6%
The idea would be to take off the spread tomorrow after the earnings announcement tonight EST.
ADSK_5_15_2014
Posted in ADSK, Earnings, Options, Short Strangle | Leave a comment