Stock / Symbol: SPDR DOW Jones Industrial Avg ETF / DIA
Option Strategy: calendar put sprad
Price at trade post: $159.15
Reasoning: Putting this trade on to bring our portfolio Delta closer to neutral. The Greeks on this DIA put calendar are: delta of -16.5, a positive theta of 8 and a positive vega of 17.8. [private_monthly]PLEASE NOTE: We using the JanWk5 expiring options for our short options. These options expire on Jan 31 [/private_monthly]
Trade Details:[private_monthly]
BTO 2 DIA Feb14 157 puts
STO -2 DIA JanWk5 157 puts
for a max net debit of $1.15 per contract (day order, limit order). Mid is currently at $1.08. If not filled today, ok to try again on Monday.
Requirements:
Cost/Proceeds $230
Option Requirement $0
Total Requirements $230
Estimated Commission $6
[/private_monthly]
Max Risk: $230
Max Reward: $190 or 82% (at current volatility level) at $157 by Jan 31
Profit Range: 154 to 159.50 by Jan 31
Suggested Upside stop: [private_monthly]@ $161.75
Suggested Downside stop: @ $156.50
[/private_monthly]
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