NaughtyPines

X EARNINGS SHORT STRANGLE/IRON FLY

NYSE:X   UNITED STATES STEEL CORPORATION COMMON STOCK
X announces earnings tomorrow (Tuesday) after market close, and with its implied volatility rank and implied volatility metrics, it's ripe for a volatility contraction play. Here are two possible setups, which naturally might need to be tweaked this way or that depending on price movement intraday tomorrow.

Feb 17th 29/38 Short Strangle

Metrics

Probability of Profit: 68%
Max Profit: $130/contract
Buying Power Effect/Max Loss: Broker Dependent/Undefined
Break Evens: 27.70/39.30

Notes: (1) Here, as is my habit, I'm selling the 20 delta call and put. (2) I went out a little bit farther in time to the monthly, since things are generally more liquid there, so I would be more likely to get a fill at the mid without too much diddling around. (3) Look to manage at 50% max profit or about $65/contract.

Feb 17th 25.5/33/33/41 Iron Fly

Metrics:

Probability of Profit: 50%
Max Profit: $392/contract
Max Loss/Buying Power Effect: $408/contract
Break Evens: 29.08/36.92

Notes: (1) The first thing I did was check to see what a three-wide iron condor would pay with the short options at the 20 delta strikes. It was less than 1/3rd the width of the strikes, so I switched to putzing with a fly. (2) Look to manage this setup at 25% max profit (~$98/contract). (3) While the setup looks "sexier" from a max profit standpoint, you'll also notice that the profit zone is narrower than that of the short strangle. Nevertheless, is defined risk going in, so I know what my max loss is if the thing blows up in my face.
评论: Had to tweak, naturally, given the movement of the underlying today and went with the fly: 23.5/32/32/40 for a 3.81 credit.
评论: Post-announcement, AH tape: low bid 32.01, high ask 32.4. If it stays there, that will be "bueno" for the fly at NY open.
交易手动结束: Covering here for a 3.14 db; .67 ($67) gross profit per contract.
I am short X while long XME as a hedge.
回复
@baerrus, I looked at a short strangle, as well as an iron condor with a 20-delta short strangle body. Wasn't hugely excited about what those would bring in, so I settled on basically a short straddle with some cheap ass wings to lower buying power effect ... .
回复
wow that is a large Bfly. This is essentually a short straddle since your wings are so wide. Delta ~5. Collecting $3.81 is not bad. the straddle is pricing 9% move.
回复
ZH 简体中文
EN English
EN English (UK)
EN English (IN)
DE Deutsch
FR Français
ES Español
IT Italiano
PL Polski
SV Svenska
TR Türkçe
RU Русский
PT Português
ID Bahasa Indonesia
MS Bahasa Melayu
TH ภาษาไทย
VI Tiếng Việt
JA 日本語
KO 한국어
ZH 繁體中文
AR العربية
HE עברית
首页 股票筛选器 外汇筛选器 加密货币筛选器 财经日历 如何运作 图表功能 网站规则 版主 网站 & 经纪商解决方案 插件 图表库 功能请求 博客 & 新闻 常见问题 帮助 & 维基 Twitter
概述 个人资料设置 账号和账单 我的支持通知 联系支持 已发表观点 粉丝 正在关注 私人消息 聊天 退出