Diagonals are considered a low volatility strategy that look for volatility expansion going forward, and with VIX finishing the week in sub-10 territory, there probably isn't a better time to put one on. Here the legs of the setup are around the 20 delta strike, although a variation is to go for a small net credit where the credit received for the short options exceeds the debit paid for the longs, a more buying power heavy enterprise (e.g., the June 30th/Aug 18th 121/132/142/147, .04 credit at the mid; the put side -- the widest of the two sides -- is an 11-wide).

The object is to collect sufficient credits with rolls of the short options to pay for the longs. This particular setup costs a 1.13 db to put on, so you will want to collect at least 1.13 in credits for the rolls to be able to exit the trade in profit.

Intratrade, there are variations on how to work the setup:

(a) Roll the short options/strangle aspect of the setup out for duration as a unit for a credit. This is probably the cleanest way to roll, as you can recenter the short strangle around current price and potentially reduce risk to one side of the setup by narrowing the width of the spread to that side. Ideally, you want to do this when the short strangle as a unit has decreased in price.

(b) Treat each side as a separate trade, rolling that side's option out for duration and a credit. The best time to roll a short is when it is has decreased in value, as that as when you can lock in profit, and this decrease in value invariably occurs at different times for each side, since as one side's short is decreasing in value, the other is probably increasing in value.

(c) Roll the long options/strangle aspect of the setup intratrade where it's profitable to do so and/or where it can potentially decrease risk to one side of the trade. I generally don't putz with the longs a great deal during the trade. However, it's always worth a look as to whether you should do a risk reducing adjustment, such as where a long has decreased so substantially in value that you can roll it in cheaply and narrow that side's diagonal and risk.

As with all diagonals, the probability of profit and max profit/loss metrics are unknowns up front, although I look at the risk of these as that attributable to the widest side, with the worst case scenario being that price rips dramatically lower and through the long put of the setup such that the short put is substantially in the money at expiry in August ... .
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