Stock / Symbol: SPDR DOW Jones Industrial Avg ETF / DIA
Option Strategy: double calendar
Trade entry date / price: Feb 19 / $161.27
Price at closing: $164.10
Current position:
Long 2 DIA Apr14 165 calls
Short -2 DIA MarWk1 165 calls
Long 2 DIA Apr14 155 puts
Short -2 DIA MarWk1 155 puts
for a net debit of $2.12 per contract.
Reasoning: Our short options are expiring today and we're nearly at the full profit potential for the upside portion of the trade. Closing out the trade here for a nice, quick 20% or so gain. Current Greeks on this DIA double calendar are: delta of 35, a positive theta of 22 and a positive vega of 65.
Trade Details:
STC 2 DIA Apr14 165 calls
BTC -2 DIA MarWk1 165 calls
STC 2 DIA Apr14 155 puts
BTC -2 DIA MarWk1 155 puts
for a min net credit of $2.50 per contract (day order, limit order). Mid is currently at $2.58.
Max Risk: $430
Max Reward: $180 / 41% at $155 (or) $90 / 20% at $165 (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: @ $165.25
Suggested Downside stop: @ $155.00
Realized Profit / Loss: $92 or 21.3%
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