Friday, July 10, 2015

WMT Short Premium

Jul 10


IVR: 90

I am initiating an delta neutral trade looking for volatility crush. This is a textbook case. I am selling premium 35d out (just prior to earnings) 64% OTM (32 delta) of the money at current IV. 

Note: 84% OTM is roughly 16 delta.

Looking to close the trade a 50% maximum profit (0.30) in about 20 days.


-2/c Aug 14' 75 Call
+2/c Aug 14' 76.5 Call

-2/c Aug 14' 71 Put
+2/c Aug 14' 69.5 Put

Net Credit 0.65 (just a bit under half the width of the 1.5 wide strikes). The trade log and statistical model are below:


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