SELL -5 STRANGLE /GCG5 1/100 JAN 15 /OGF5 1360/1040 CALL/PUT @4.40 LMT
Credit – max profit (including commissions) = $2.162
Days to expiration = 37
Initial margin = $3,441
ROC (max profit) =~ 63%
Look to take off trade at approximately 50% of max. profit.
Target ROC =~ 30%
POP =~ 90%
Current price = 1187.90
Upper BE = 1036.60
Lower BE = 1364.40
Delta: -6.48 (Relatively delta neutral)
Theta: 128 (Positive theta – benefits from the passage of time)
Vega: -387 (Negative vega – increase in volatility will have a negative effect)
Look to adjust based on risk appetite or pre-defined delta thresholds i.e. if the position delta reaches a certain number. To neutralize delta – sell calls to generate -ve deltas or sell puts to generate +ve deltas. Delta adjustments can also be accomplished via call or put spreads..