Stock / Symbol: SPDR DOW Jones Industrial Avg ETF / DIA
Option Strategy: double calendar
Price at trade post: $153.60
Reasoning: With 35 days to October expiration, I'm putting on a delta neutral trade on DIA. The Greeks on this double calendar are: delta of 2, a positive theta of 0.50 and a positive vega of 59. At the upside stop, I'll close out the call calendar and at the downside stop, I'll close out the put calendar. [private_monthly]IMPORTANT: We using the SepWk5 expiring options for our short options. These options expire on Sep 27 [/private_monthly]
Trade Details:[private_monthly]
BTO 2 DIA Nov13 157 calls
STO -2 DIA SepWk5 157 calls
BTO 2 DIA Nov13 148 puts
STO -2 DIA SepWk5 148 puts
for a max net debit of $2.55 per contract (day order, limit order). Mid is currently at $2.45. If not filled today, ok to try again on Monday.
Requirements:
Cost/Proceeds $510
Option Requirement $0
Total Requirements $510
Estimated Commission $12
[/private_monthly]
Max Risk: $510
Max Reward: $120 or 23% (at current volatility level) at $148 by Sep 20
Profit Range: 146.50 to 150.50 and 156.50 to 157 by Sep 20
Suggested Upside stop: [private_monthly]@ $156.50
Suggested Downside stop: @ $148
[/private_monthly]
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