Stock / Symbol: SPDR DOW Jones Industrial Avg ETF / DIA
Option Strategy: [private_monthly]double calendar[/private_monthly]
Price at trade post: $152.6
Reasoning: Looking to take advantage of the long weekend with a delta neutral trade on the DOW using a [private_monthly]double calendar on DIA. However, instead of using a short 154 call, I'm using a 154.5 call to balance out the upside / downside risk.[/private_monthly]. The Greeks on this trade are: delta of 12, a positive theta of 8.25 and a positive vega of 88. This trade will benefit on an increase in volatility, and suffer on a volatility decrease. Setting stops at each of the short option strikes.
Trade Details:[private_monthly]
BTO 2 DIA Aug13 154 calls
STO -2 DIA MayWk5 154.5 calls
BTO 2 DIA Aug13 151 puts
STO -2 DIA MayWk5 151 puts
for a max net debit of $5.45 per contract (day order, limit order). The mid is currently at $5.42.
Requirements:
Cost/Proceeds $1090
Option Requirement $0
Total Requirements $1090
Estimated Commission $12
[/private_monthly]
Max Risk: $1090
Max Reward: $65 or 4% (at current volatility level) at $151 or $154 by May 31
Profit Range: 150.50 to 154.75 by May 31
Suggested Upside stop: [private_monthly]@ $154.50
Suggested Downside stop: @ $150.50
[/private_monthly]
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