... for a 2.57/contract credit (cost basis of 212.43/share).
Notes: Here, I'm looking to acquire additional SPY shares, but only at a potential 25% discount from current price. Otherwise, I want to get paid to wait and/or reduce cost basis in the meantime. Because expiries are skip month (March, June, September, December, etc.), will look to roll out for additional cost basis reduction every other month, so this is likely to be a slow trade ... .
Notes: Here, I'm looking to acquire additional SPY shares, but only at a potential 25% discount from current price. Otherwise, I want to get paid to wait and/or reduce cost basis in the meantime. Because expiries are skip month (March, June, September, December, etc.), will look to roll out for additional cost basis reduction every other month, so this is likely to be a slow trade ... .
Comment:
Correction: The expiries are quarterly, not skip month ... .
Trade active:
Selling the March '20 7 delta 340 call against for .93/contract at these all time highs. Total credits collected of 3.50 with a cost basis of 211.50 if assigned, a 27.6% discount over current price with the S&P as reported trailing 12 P/E at 22.21 versus a 15.74 mean (29% overvalued relative to mean). The setup is now a March '20 215/340 short strangle with a net delta value of -.4 and a theta of 1.96. Next cost basis reduction roll at June opex or when an April '20 expiry becomes available.
Trade active:
Rolling post-monthly opex a month early here to the June '20 215/335 to delta balance back to flat for a 1.84 credit; total credits collected of 5.34 with a cost basis of 209.66 if assigned on the 215 shortie, a 26.2% discount over where SPY is currently trading. Extrinsic in the 215/335 of 4.89. Next roll should be in Sept. As previously noted, a sloooowwww trade ... . Looking to collect credits approaching the annualized divvy of 5.24 without actually being in the stock.
Trade active:
Would do this post-monthly opex, but have a vacation planned ... . Rolling the 215 short put intra-expiry to the 225 short put for an .86 credit to delta balance the strangle back to flat. Scratch at 6.20 versus short strangle extrinsic of 5.67 (green by .53 ($53) on the position). Shorties are at the 11 delta; delta/theta -.17/2.53.
Comment:
Cost basis of 218.80 if assigned on the 225, btw, a 25.2% discount over where SPY is currently trading.
Trade active:
Rebalancing via roll for a realized gain and a net credit of .94 to the September 225/345; scratch at 7.14 versus short strangle extrinsic of 5.85 (green by 1.29 ($129) on the position); delta/theta -1.50/2.27.
Trade active:
Post-opex delta balancing: Rolling the 345 short call to the 325 for a 1.01 credit. Scratch at 8.15 versus extrinsic of 7.09; delta/theta -1.41/2.79.
Comment:
Correction: "Rolling to the 335 short call ... ." Currently the Sept '20 225/335 short strangle ... .
Trade active:
September opex check. Given that it's so far out in time and so wide of current price, doing nothing here.
Trade active:
Rolling the 225 short put up to the 230 for a .47 credit post-October opex. I also looked at recentering the whole thing via roll, but would rather do that in a higher volatility environment and with shorter duration. Scratch at 8.62 versus the 230/335 Sept short strangle value of 6.81, -8.09/3.16 delta/theta.
Trade closed manually:
Covering here for 7.23; 1.39 ($139) profit per contract. Opting to deploy the same basic setup in QQQ's in the first expiry in which the at-the-money short straddle pays greater than 10% of the value of the underlying.
