Stock / Symbol: iShares Russell 2000 Index / IWM
Option Strategy: [private_monthly]double calendar[/private_monthly]
Price at trade post: $98.30
Reasoning: Putting on a double calendar to play the expected deviation in IWM between now and next Friday, using weekly options. The Greeks currently show a delta of 9, a positive theta of 17 and a vega of 69. If IWM trades [private_monthly]down to $96, we'll close out the put portion; if IWM trades up to 100, we'll close out the call portion.[/private_monthly].
Trade Details:[private_monthly]
STO -5 IWM MayWk4 100 calls
BTO 5 IWM Jun13 100 calls
STO -5 IWM MayWk4 96 puts
BTO 5 IWM Jun13 96 puts
for a max net debit of $2.00 per contract (day order, limit order). The current mid is 1.92. If not filled today, ok to try again tomorrow.
Requirements:
Cost/Proceeds $1000
Total Requirements $1000
Estimated Commission $30
[/private_monthly]
Max Risk: $1000
Max Reward: $150 or 15% (at current volatility level)at[/private_monthly] $96 and $100 [/private_monthly]by May 24
Profit Range: $95.50 to $100.50 by May 24
Suggested Downside stop: @ $96
Suggested Upside stop: @ $100
[/private_monthly]
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