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

Short Strangle – E-mini Nasdaq 100 Index Futures


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%
Posted in /NQ, Futures, Indices, NDX, Options, Short Strangle | Leave a comment

Short Put – Light Sweet Crude Oil Futures


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%
Posted in /CL, Commodities, Futures, Oil, Options, Short Put | Leave a comment

TBT (ProShares UltraShort Lehman 20+ YrETF) – Short term Long


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.

TBT_4_13_2014

Posted in ETF, Fibonacci, Fixed Income, Misc. Setups, TBT | Leave a comment

GDXJ (Market Vectors Junior Gold Miners ETF) Short Strangle


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%
GDXJ
Posted in Commodities, GDXJ, Gold, Misc. Underlyings, Options, Short Strangle | Leave a comment

CRM (Salesforce.com) naked (short) put


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
crm
Posted in CRM, Fibonacci, Implied Volatility, Misc. Setups, Misc. Underlyings, Options, Short Put | Leave a comment

TLT (iShares Barclays 20+ Yr Treas.Bond ETF) – Calendar


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)

TLT

Posted in Calendar, ETF, Options, TLT | Leave a comment

RSX (Market Vectors Russia) – Short Strangle


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%

RSX

Posted in ETF, Options, Premium Selling, RSX, Short Strangle | Leave a comment

S&P 500 – Broad Market Perspective


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.

sp500weekly_1122014

Posted in Calendar, Diagonal, Divergence, Fibonacci, Indices, Misc. Setups, Options, SPX, Vertical Spread | Leave a comment