SELL -5 STRANGLE NTAP 100 (Weeklys) MAY4 14 36/34.5 CALL/PUT @1.23 LMT
Days to exp. = 2
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.
SELL -1 STRANGLE /NQM4 1/20 JUN 14 /NQM4 3770/3300 CALL/PUT @28.75 LMT
Days to exp. = 46
POP =~ 74.8%
Max. profit = $575(exc. commissions)
Buying power effect = $1,719
ROC = 480/991 =~ 33.4%
SOLD -1 /CLN4 1/1000 JUL 14 /LON4 93 PUT @.48
Days to exp. = 55
POP = 88.9%
Max. profit = $480 (exc. commissions)
Buying power effect = $991
ROC = 480/991 =~ 48%
This is purely a short term technical play. The fed chairman is maintaining a dovish stance, so from a macro standpoint, interest rates are not expected to rise any time soon.
Long around the 64.5 area.
GDXJ Implied Volatility @ upper end of range. Looking to sell premium.
Note: Price down over 16% in the last 2 weeks.
SELL -5 STRANGLE GDXJ 100 MAY 14 44/30 CALL/PUT @1.05 LMT (# of contracts to be tailored to match desired position size)
Note: Might have to lower the amount of credit collected (possibly .98 to 1.00), since spreads are a bit wide.
Short Strikes =~ 84% or next higher strike OTM
Probability of profit for strangle =~ 78%
Expected return on capital over a 48 day period (if held to expiration) = 510/1,864.50 =~ 27% (using mark value of 1.05 for credit received).
Worst case ROC with current price (0.9 ask) = 435/1,939.50 =~ 22%
CRM has fallen around 14% since it’s latest high at the end of Feb – earning were on 2/27. Implied Volatility is high making premium selling attractive. Price is also around the 618.8% fib retracement of the AB up move (around 56.5), with another support level around the 38.2% fib retracment of the larger CB up move (around 55).
SELL -5 CRM 100 MAY 14 50 PUT @.84 LMT ( (# of contracts to be tailored to match desired position size)
Return on capital of 16.8% over 55 days.
Note: Generally I wouldn’t hold the trade to expiration. Would look to take profits earlier.
If CRM continues falling, options include …
(1) Purchasing CRM at 50 if the stock gets put (below 50 at expiration). Cost basis would be 50-0.84 = 49.16
(2) Rolling the trade to the next expiration cycle if your view around CRM appreciating remains
(3) Closing the trade for a loss
TLT Implied Volatility @ lower end of range (25%). Looking to initiate a long calendar with a few embedded rolls.
Note: Looking for price to be somewhat range bound (106 – 109.75). This is a +ve vega trade – an increase in IV would help.
BUY +10 CALENDAR TLT 100 MAY 14/APR1 14 108 CALL @.61 LMT (# of contracts to be tailored to match desired position size)
RSX Implied Volatility @ upper end of range. Looking to sell premium.
Note: Price down over 10% in the last 2 weeks, possibly triggered by Ukraine jitters.
SELL -10 STRANGLE RSX 100 APR 14 26/19 CALL/PUT @.45 LMT (# of contracts to be tailored to match desired position size)
Short Strikes =~ 86% OTM
Probability of profit for strangle =~ 75%
Expected return on capital over a 40 day period (if held to expiration) = 420/2500 =~ 16.8%
The market has proven all doubters wrong repeatedly and conceivably could continue to beat up any bear out there, if the recent or not so recent trend is to serve as a precedent. Having said that, there is merit to playing the odds, banking on some sort of mean reversion. The weekly chart of the broad market (S&P500) looks interesting … @ 127.2 Fib extn. of the last significant down move, with a developing bearish divergence. I’ll probably take a small position banking on a pull back.
Volatility is very low, making premium selling quite tough. Could look at strategies such as bear put spread (debit spread), or a directional calendar/diagonal (also benefiting form a pop in volatility were it to occur) to the downside.