Stock / Symbol: iShares Russell 2000 Index / IWM
Option Strategy: [private_monthly]double calendar[/private_monthly]
Price at trade post: $114.80
Reasoning: Putting on an off ratio double calendar to play IWM with a downside bias. I'm looking to exit the trade in about 2 weeks for around a 15% profit. The Greeks currently show a delta of -19, a positive theta of 3 and a vega of 25. If IWM trades [private_monthly]up to $117.40, we'll either close out the trade for a slight loss or just close out the call calendar and see if we get a pullback; if IWM trades down to 112.50 or lower, we'll close out the trade for a nice, quick gain.[/private_monthly].
Trade Details:[private_monthly]
BTO 3 IWM Apr14 110 puts
STO -3 IWM Mar14 110 puts
for a max net debit of $0.92 per contract (day order, limit order). The current mid is 0.87. Try for the mid +0.01. If not filled today, ok to try again tomorrow.
Then,
BTO 1 IWM Apr14 117 call
STO -1 IWM Mar14 117 call
for a max net debit of $0.77 per contract (day order, limit order). The current mid is 0.69. Try for the mid + 0.01.
Requirements:
Cost/Proceeds $335
Total Requirements $335
Estimated Commission $12
[/private_monthly]
Max Risk: $335
Max Reward: $350 or 104% (at current volatility level) at[private_monthly] $110 [/private_monthly]by Mar 21
Profit Range: $106.75 to $116.75 by Mar 21
Suggested Downside stop: @ $110.50
Suggested Upside stop: @ $117.38
[/private_monthly]
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