My credit remaining after closing out the 30 straddle on 3/20 gave me $6.29. Now volatility is crushing so I am out completely.
BOT +13 STRADDLE EXM 100 APR 08 25 CALL/PUT @6.70
6.29-6.70= $0.41 loss
0.41/ 12.87 total credit+ 6 margin = 2.2% loss
Showing posts with label Straddle Spreads. Show all posts
Showing posts with label Straddle Spreads. Show all posts
Thursday, March 27, 2008
Thursday, March 20, 2008
CLOSE: AMP Short Straddle +5%
On 3/19/08 I opened this trade for a credit of $7.17.
Today, volatility has started to deflate as you can see in the chart below, so I am closing out early and taking my profits.
I exited the trade for a debit of $6.50.
7.17-6.50= 0.67 net profit
0.67/13.33 risk= 5% in 1 day!
Today, volatility has started to deflate as you can see in the chart below, so I am closing out early and taking my profits.
I exited the trade for a debit of $6.50.
7.17-6.50= 0.67 net profit
0.67/13.33 risk= 5% in 1 day!
ADJUST: EXM Short Straddle 30 call/put
Today, volatility is starting to deflate and the stock has shifted lower, so I am removing my topside 30 straddle.
BOT +13 STRADDLE EXM 100 APR 08 30 CALL/PUT @6.58
Original credit on 3/17 = $12.87
12.87 - 6.58 = $6.29 credit remaining
BOT +13 STRADDLE EXM 100 APR 08 30 CALL/PUT @6.58
Original credit on 3/17 = $12.87
12.87 - 6.58 = $6.29 credit remaining
Wednesday, March 19, 2008
CLOSE: FMCN Short Straddle +18.7%
Yesterday, I opened this just before market close with a credit of $5.75.
Today, I decided to close it out to not risk anything by holding out and getting assigned since I had the March call & put and today is expiration day. Today was a nasty day in the market so I wanted to mitigate loss as much as possible in my portfolio!
I got out for a debit of $3.25.
(5.75-3.25)Net Profit/(5.75 credit + 7.58 margin)Risk =18.7% ROI in 1 day
Today, I decided to close it out to not risk anything by holding out and getting assigned since I had the March call & put and today is expiration day. Today was a nasty day in the market so I wanted to mitigate loss as much as possible in my portfolio!
I got out for a debit of $3.25.
(5.75-3.25)Net Profit/(5.75 credit + 7.58 margin)Risk =18.7% ROI in 1 day
Tuesday, March 18, 2008
OPEN: FMCN Short Straddle Mar 35
With the news today of the Fed rate 3/4 point drop as well as the volatility craziness leftover from Bear Sterns' (BSC) news, one of our fellow traders found this straddle today.
We did the March 35 short straddle bringing in a credit of $5.75.
Mojo at Insanemoney and I did the March's because we are planning to let this expire and get assigned on Monday morning unless this goes against us between tomorrow and Thursday's expiration. Normally, the brokerages give you 3-4 hours in negative cash in your account when you get assigned to come up with the money, so our goal is to turn right around and sell the stock back for a profit.
We did the March 35 short straddle bringing in a credit of $5.75.
Mojo at Insanemoney and I did the March's because we are planning to let this expire and get assigned on Monday morning unless this goes against us between tomorrow and Thursday's expiration. Normally, the brokerages give you 3-4 hours in negative cash in your account when you get assigned to come up with the money, so our goal is to turn right around and sell the stock back for a profit.
Monday, March 17, 2008
OPEN: EXM Short Straddle
I did a double short straddle today for extra probability and protection. This is a new strategy we are testing so we will see how it goes. The double straddle gives me a wider breakeven range with higher probability.
SOLD APR 08 30 CALL/PUT @7.25
SOLD APR 08 25 CALL/PUT @5.62
7.25 + 5.62 = $12.87 credit
SOLD APR 08 30 CALL/PUT @7.25
SOLD APR 08 25 CALL/PUT @5.62
7.25 + 5.62 = $12.87 credit
Friday, March 14, 2008
OPEN: AMP Apr 50 Short Straddle
Mojo got this trade from his friend Matt, and since volatility is looking great on this stock for a straddle, I am placing the trade as well.
The probability of this trade is around 57% and our trading breakeven range is from 42.82-57.16.
I sold the Mar call & put for a net credit of $7.17. This is over a risk of $16.43 (credit plus margin).
The probability of this trade is around 57% and our trading breakeven range is from 42.82-57.16.
I sold the Mar call & put for a net credit of $7.17. This is over a risk of $16.43 (credit plus margin).
Friday, February 29, 2008
CLOSE: DECK Short Straddle +17.8%
Yesterday, I sold the Mar 125 Call and Put for a total credit of $19.40.
Today, we got a very quick volatility crush, so I got out at 12:33pm for a debit of $14.95.
This gives me an ROI of 19.40-14.95/25.00 risk (credit plus margin)= 17.8% in 1 DAY!
Today, we got a very quick volatility crush, so I got out at 12:33pm for a debit of $14.95.
This gives me an ROI of 19.40-14.95/25.00 risk (credit plus margin)= 17.8% in 1 DAY!
Thursday, February 28, 2008
CLOSE: MORN Short Straddle + 17.4%
On 2/21/08 I sold the Mar 70 Call & Put for a total credit of $6.65. This gives me a yield of 6.65/10.00 risk (credit & margin)= 66.5 % in 1 week!
Today, volatility has squeezed out of this straddle also, so I got out completely for a debit of $4.91.
6.65-4.91 profit/ 10.00 risk= 17.4% in 7 days!
Today, volatility has squeezed out of this straddle also, so I got out completely for a debit of $4.91.
6.65-4.91 profit/ 10.00 risk= 17.4% in 7 days!
OPEN: DECK Short Straddle Mar 125 Call/Put
TraderNate and GMoney were looking at this straddle so I placed it too because I agreed with the analysis. The credit was also very sweet on top of the higher probability of this trade too so we weren't complaining!
I sold the Mar 125 Call and Put for a total credit of $19.40.
19.40/19.40+5.60 (margin)= 77.6% yield in 1 week
The one thing I did wrong on this was place this trade as a GTC from last night to fill after 10:30am and not after 3:30pm. Had I waited until the afternoon, I would have gotten a higher credit as the other 2 got. This is why it's important to initiate the trade at the last possible minute for straddles since the stock can shift dramatically in those last few hours before announcement or market close before the announcement.
I sold the Mar 125 Call and Put for a total credit of $19.40.
19.40/19.40+5.60 (margin)= 77.6% yield in 1 week
The one thing I did wrong on this was place this trade as a GTC from last night to fill after 10:30am and not after 3:30pm. Had I waited until the afternoon, I would have gotten a higher credit as the other 2 got. This is why it's important to initiate the trade at the last possible minute for straddles since the stock can shift dramatically in those last few hours before announcement or market close before the announcement.
CLOSE: GFIG Short Straddle +8.2%
After the volatility crush, I decided to close out this straddle and got a debit of $10.60.
I opened this straddle on 2/21/08 for credit of $13.15. So my net profit is 13.15-10.60= $2.55
My risk was $13.15 credit + $18.00 margin (20% of 90 strike)
2.55/(13.15+18.00) = 8.2% in 8 days
I opened this straddle on 2/21/08 for credit of $13.15. So my net profit is 13.15-10.60= $2.55
My risk was $13.15 credit + $18.00 margin (20% of 90 strike)
2.55/(13.15+18.00) = 8.2% in 8 days
Wednesday, February 27, 2008
CLOSE: SWIM Short Straddle +24.8%
On 2/21/08, I sold the Mar 12.5 Call & Put for a total credit of $2.37.
Today, volatility has finally been squeezed out and is starting to slightly uptrend, so I closed the trade for a debit of $1.13.
$2.37-1.13 profit/5.00 risk (credit plus margin)= 24.8% in 6 days!
Today, volatility has finally been squeezed out and is starting to slightly uptrend, so I closed the trade for a debit of $1.13.
$2.37-1.13 profit/5.00 risk (credit plus margin)= 24.8% in 6 days!
Friday, February 22, 2008
OPEN: MORN Straddle Mar 70 Call/Put
Looking at earnings.com last night, I saw that MORN was about to announce earnings today. Volatility was high and the probabilities looked great.
The 70 gives me a trading range between 62.75 & 77.25...plenty of downside protection as I believe this will head down.
I sold the Mar 70 Call & Put for a total credit of $6.65. This gives me a yield of 6.65/10.00 risk (credit & margin)= 66.5 % in 1 week!
The 70 gives me a trading range between 62.75 & 77.25...plenty of downside protection as I believe this will head down.
I sold the Mar 70 Call & Put for a total credit of $6.65. This gives me a yield of 6.65/10.00 risk (credit & margin)= 66.5 % in 1 week!
Thursday, February 21, 2008
OPEN: SWIM Short Straddle Mar 12.5 Call/Put
Also found another straddle opportunity on SWIM. Being a former Investools student, I occasionally check SWIM to see how it's doing. Last night, I found that earnings was today and the volatility and probability were high enough for this straddle to work. Mojo at InsaneMoney found a naked call opportunity, but I prefer the straddle since I am more familiar with them. Not ready to go naked yet! :)
So GMoney and I went in and sold the Mar 12.5 Call & Put for a total credit of $2.37.
This gives us a yield of $2.37/5.00 risk (credit plus margin)= 47.4% in 1 week
Average time to stay in a straddle is 7-10 days, basically, until volatility crushes and you get out by buying it back much cheaper than you sold it!
Take a look at the probability screens below. I chose the 12.5 (top screen) over the 15 (bottom screen) because I had an 84.84 % chance with the 12.5 versus the 70.34% chance with the 15 that the stock would land in my breakeven (B/E) range after the news event. So even though I got a lesser credit of $2.30 versus the $2.70 on the 15, since my probability is much higher, "I'd rather be right than rich" as Mojo like to say!
So GMoney and I went in and sold the Mar 12.5 Call & Put for a total credit of $2.37.
This gives us a yield of $2.37/5.00 risk (credit plus margin)= 47.4% in 1 week
Average time to stay in a straddle is 7-10 days, basically, until volatility crushes and you get out by buying it back much cheaper than you sold it!
Take a look at the probability screens below. I chose the 12.5 (top screen) over the 15 (bottom screen) because I had an 84.84 % chance with the 12.5 versus the 70.34% chance with the 15 that the stock would land in my breakeven (B/E) range after the news event. So even though I got a lesser credit of $2.30 versus the $2.70 on the 15, since my probability is much higher, "I'd rather be right than rich" as Mojo like to say!
OPEN: GFIG Short Straddle Mar 90 Call/Put
Here's a 3rd straddle for the day! This one came from OptionsMonkey from our meeting last night.
We Sold the Mar 90 Call & Put for a total credit of $13.15. The Mar 90 had a better trading range and probability than the 85.
All three straddles today were placed after 3:30pm. This is the best time during the trading day to get into the short straddle so you have little time for the stock to go against you at the last minute BEFORE the news comes out. This can happen a lot since people freak out before the news.
We Sold the Mar 90 Call & Put for a total credit of $13.15. The Mar 90 had a better trading range and probability than the 85.
All three straddles today were placed after 3:30pm. This is the best time during the trading day to get into the short straddle so you have little time for the stock to go against you at the last minute BEFORE the news comes out. This can happen a lot since people freak out before the news.
CLOSE: NTRI Short Straddle -22%
NTRI earnings came out last night and the stock has gapped down well below the breakeven trading range of $18.62- $ 31.38 from my probability analysis on 2/19/08.
It opened this morning at 18 and now it's sitting on support at 17, so if support holds we may get a bounce up. If not then I'll exit the short put and close the trade completely.
So at 11:58am, I closed my short Mar 25 call for a debit of -.13 and set a stop loss on the short Mar 25 put. Near close at 3:40pm, I went ahead and bought back the Mar 25 put for a debit of $8.45 because it kept heading down. This gives me a total debit of $8.58. I got into this trade by selling the 2 options for a credit of $6.42 so I now have a 22% loss ($2.16 loss/$10.00 risk).
Tuesday, February 19, 2008
OPEN: NTRI Short Straddle Mar 25
With my trading group, we have begun to dig deeper with analysis of probabilities with each trade using the Think or Swim (TOS) platform.
NTRI:
I was looking at either the Mar 22.5 or the 25 to do a short straddle, so below are the probability screens from TOS that I used to determine which strike to pick.
Trading the 25 strike gives me a probability of 52% that the stock will land somewhere in the breakeven range of 18.62 and 31.38.
Trading the 22.5 gives me a probability of 55.91% that the stock will land anywhere in the range between 16.50 and 28.49.
Now I am mostly neutral to bearish on my position, but I have decided to go with the 25 strike since the rest of my trading group is.
Here is the order screen that helps you determine how to size the straddle trade. You take the credit you're receiving and adding the Buying Power Effect (B/P Effect) or margin required, and this becomes your total risk in the beginning. Now, I am sizing straddles conservatively at 1% of my portfolio, but I highly recommend that you do 1 contract until you get used to straddles and the volatility swings.
So I get a credit of $6.40 with a risk of $10.00.
NTRI:
I was looking at either the Mar 22.5 or the 25 to do a short straddle, so below are the probability screens from TOS that I used to determine which strike to pick.
Trading the 25 strike gives me a probability of 52% that the stock will land somewhere in the breakeven range of 18.62 and 31.38. 
Trading the 22.5 gives me a probability of 55.91% that the stock will land anywhere in the range between 16.50 and 28.49.Now I am mostly neutral to bearish on my position, but I have decided to go with the 25 strike since the rest of my trading group is.
Here is the order screen that helps you determine how to size the straddle trade. You take the credit you're receiving and adding the Buying Power Effect (B/P Effect) or margin required, and this becomes your total risk in the beginning. Now, I am sizing straddles conservatively at 1% of my portfolio, but I highly recommend that you do 1 contract until you get used to straddles and the volatility swings.So I get a credit of $6.40 with a risk of $10.00.
CLOSE: BIDU Short Straddle= +27.5% ROI
I started this short straddle on 2/13 for BIDU.
Today, the volatility has finally crushed completely, meaning days after earnings has been announced, volatility has stopped dropping and is now starting to turn upward. So, I bought back the Mar 250 Call & Put for a total debit of $39.25.
When I opened this trade, I made $54.15 credit, so that gives me an ROI of $14.90/54.15= 27.5%
in 6 days!
Today, the volatility has finally crushed completely, meaning days after earnings has been announced, volatility has stopped dropping and is now starting to turn upward. So, I bought back the Mar 250 Call & Put for a total debit of $39.25.
When I opened this trade, I made $54.15 credit, so that gives me an ROI of $14.90/54.15= 27.5%
in 6 days!
Wednesday, February 13, 2008
OPEN: BIDU Short Straddle
A short straddle is a great strategy traded very close to an earnings announcement. A short straddle consists of selling a call and selling a put at the same strike. This gives you theta (time) and vega (volatility) on your side since you are selling both legs. You normally open the trade the day of the announcement when volatility is at its highest. It is high because the upcoming news typically elicits fear in the market and among shareholders. This is why you can capitalize on this by selling instead of doing a long straddle by buying a call and buying a put.
You then exit the short straddle by buying back both legs a few days after the announcement when the fear is no longer there because the news is out. Just like when news gets old, so does volatility. So, the market maker deflates it back to a normal level. This allows you to buy back the legs much cheaper than what you sold it for.
So, as you can see on BIDU's chart, earnings is tonight at 8:00pm. The stock has pushed up dramatically today causing volatility and option value to be high. So I placed this trade around 3:30pm.
Therefore I sold the Mar 250 Call for $31.00 credit & sold the Mar 250 Put for $23.15 credit giving me a total credit of $54.15! Notice how I sold the Mar options instead of Feb. Since we are right near options expiration day for Feb (2/15), I wanted to give myself a few more days in case it takes longer for volatility to drop.
My breakeven (B/E) is 250 + 54.15=294.15 & 250-54.15= 195.85 so now I have a wide range for this trade to close at in order for me to keep my credit.
You then exit the short straddle by buying back both legs a few days after the announcement when the fear is no longer there because the news is out. Just like when news gets old, so does volatility. So, the market maker deflates it back to a normal level. This allows you to buy back the legs much cheaper than what you sold it for.
So, as you can see on BIDU's chart, earnings is tonight at 8:00pm. The stock has pushed up dramatically today causing volatility and option value to be high. So I placed this trade around 3:30pm.
Therefore I sold the Mar 250 Call for $31.00 credit & sold the Mar 250 Put for $23.15 credit giving me a total credit of $54.15! Notice how I sold the Mar options instead of Feb. Since we are right near options expiration day for Feb (2/15), I wanted to give myself a few more days in case it takes longer for volatility to drop.
My breakeven (B/E) is 250 + 54.15=294.15 & 250-54.15= 195.85 so now I have a wide range for this trade to close at in order for me to keep my credit.
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