Thursday, June 11, 2015

FXE - Butterfly

Jun 11

Analysis

FXE (Euro Currency ETF) is ranked 100 in IVR. To capture this high IV, I am going to place a skewed butterfly with no upside risk. FXE has rallied a bit but remains in a wide trading range and has lots of volatility for an ETF.

Trade

Long Jul 10' 110.5 - 108.5 - 103.5 butterfly opening for 0 debit/c, 30 DTE.

The structure is:
+2c Jul 10' 110.5 Put
- 4c Jul 10' 108.5 Put
+2c Jul 10' 103.5 Put

I have a 1 X 2 put ratio spread that makes money as the stock moves down toward the short strike. The tail of the fly is 103.5 Put to reduce capital.

The maximum risk on this spread is the risk of the short put spread 500/c, less maximum profit from the long put spread 200/c for net risk of 300/c.

The maximum reward is right at the short 108.5 Put strike or 200/c.

The breakevens for the trade is between 110.5 and 106.5 at expiration.

-End

Jun 17

Entered GTC order to close (sell) for 0.25
Spread is trading 0.04 by 0.25

-End

Jun 23

GTC order adjusted, postion sold for +0.15/c

-End


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