Neutral trade on GLD with positive Vega

已更新

After the strong move up the last couple of days, I expect GLD to make a small correction. With an IV Rank at less than 1%, is not a good idea to try any of my favorite trades, so I am doing a double diagonal that would benefit in an increase in volatility (long Vega).

I sold the 120/115 Strangle on the april expiration and bought the 121/114 Strangle on May.

My break evens will vary with an IV expansion, but if I am wrong I would be able to roll the short sides for the next cycle and reduce my cost basis.

I paid $1 per contract and I want the price to stay between my short strikes on the front month.

交易开始

Rolled the short strikes for the next expiration and collected $40 per contract, reducing my risk a little more.

交易开始

We are in our break even on the trade. IV has increased and I decided to add another trade on top. A Call Ratio spread, it gives me a .50 cents credit per contract and a max win of $250 per contract at 125 price. Our break even on the new trade is way above the expected move and if it continues to go up, I will roll up the short put to decrease my max loss on the double diagonal.

交易开始

Rolled the put side up to the 18 strike and out to the may expiration cycle. Collected an additional .97 credit reducing my cost basis. By moving up to the 18 strike I am adding risk to the downside, but by leaving the Ratio spread on, I move my total break even to the downside at around 116.

交易结束：到达止损

With the Gap down on GLD, I decided to close this trade for a small loss (Given that I increased my risk to the downside) With the Ratio spread this trade is basically a break even scratch.