Stock / Symbol: SPDR DOW Jones Industrial Avg ETF / DIA
Option Strategy: double calendar
Price at trade post: $161.27
Reasoning: Putting on a delta neutral trade here on DIA. The Greeks on this DIA double calendar are: delta of 2.4, a positive theta of 1.4 and a positive vega of 56. [private_monthly]PLEASE NOTE: We are using the MarWk1 expiring options for our short options. These options expire on Mar 7 [/private_monthly]. If we hit our upside stop, we'll close out the call portion of the trade early. If we hit our downside stop, we'll close out the put portion of the trade early. If DIA hasn't moved much by the short option expiration, we'll look to roll the short options out to the Mar expiration options.
Trade Details:[private_monthly]
BTO 2 DIA Apr14 165 calls
STO -2 DIA MarWk1 165 calls
BTO 2 DIA Apr14 155 puts
STO -2 DIA MarWk1 155 puts
for a max net debit of $2.15 per contract (day order, limit order). Mid is currently at $2.10. If not filled today, ok to try again tomorrow.
Requirements:
Cost/Proceeds $430
Option Requirement $0
Total Requirements $430
Estimated Commission $12
[/private_monthly]
Max Risk: $430
Max Reward: $180 / 41% at [private_monthly]$155[/private_monthly] (or) $90 / 20% at [private_monthly]$165[/private_monthly] (at current volatility level) by Mar 7
Profit Range: 152.50 to 158.50 and 163.50 to 165.75 by Mar 7
Suggested Upside stop: [private_monthly]@ $165.25[/private_monthly]
Suggested Downside stop: [private_monthly]@ $155.00[/private_monthly]
[/private_monthly]
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