Wednesday, May 27, 2015

IYR - Strangle

May 27

Analysis

IYR (real estate ETF)

High IVR (70+)

The 71.5 and 78 strikes with 31 DTE are looking to be sold for close 1 dollar, and statistically are have about 20% chance ITM at expiration. These are close to 1 SD.

Trade will be managed to 50% profit, closing at about 0.40, which should happen within 20 days.

Opening Trade

Sold the Jun 26 71.5 - 78 strangle for 0.85 credit/c

Individual Legs
June 26 78 Call 0.35 (delta: 19)
June 26 71.5 Put 0.50 (delta: 22)

-End


Jun 1

Individual Legs Market Value
Jun 26' 78 Call 0.28
Jun 26' 71.5 Put 0.41

-End

Jun 8

Rolled down calls 78 to 75 for additional 0.29 credit.
Closed Jun 26' 78 Call @ 0.06
Sold Jun 26' 75 Call @ 0.35

Total Trade Credit:
0.85/c + 0.29/c = 1.15/c

-End

Jun 10

Individual Legs Market Value
June 26' 75 Call 0.55
June 26' 71.5 Put 0.33

GTC order to manage at 50% is 0.57

-End 


Jun 17

Closing Trade

GTC order closed the trade at 0.57

Net P/L for this trade: 1.15 - 0.57 = 0.58 profit

Duration of trade approximately 20d

-End

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