TRADE IDEA: VIX DEC 28TH 11.5/13.5/13.5/14.5 BROKEN WING BTRFLY
已更新
For various reasons I won't get into here, I don't do butterflies very often. This is a variation on a butterfly, however -- a "broken wing" butterfly.
In this case, the play is made up of a 2-wide long call vert (the 11.5 plus one of the 13.5's) and a 1-wide short call vert (one the 13.5's plus the 14.5). It's considered "broken" because flies are ordinarily symmetrical setups; here, one spread is wider than the other, so it's "broken."
In this particular case, I'm looking for volatility to increase going into FOMC/rate hikes, and I figure with a break even of 12.40 and about three weeks to go until expiry, I have a pretty good chance of making some money on the setup.
Metrics:
Probability of Profit: 42%
Max Profit: $110
Max Loss: $90
Break Even: 12.40
In this case, the play is made up of a 2-wide long call vert (the 11.5 plus one of the 13.5's) and a 1-wide short call vert (one the 13.5's plus the 14.5). It's considered "broken" because flies are ordinarily symmetrical setups; here, one spread is wider than the other, so it's "broken."
In this particular case, I'm looking for volatility to increase going into FOMC/rate hikes, and I figure with a break even of 12.40 and about three weeks to go until expiry, I have a pretty good chance of making some money on the setup.
Metrics:
Probability of Profit: 42%
Max Profit: $110
Max Loss: $90
Break Even: 12.40
注释
Getting a fill for this setup may be one of those "easier said than done" type of things, however. The bid/ask on the entire setup is somewhat wide ... .注释
Ugh. The market would have none of the "giving me a fill" business. May tweak and have another go at it, particularly since vol has crushed down here even further.
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