Stock / Symbol: SPDR Dow Jones Industrial Average / DIA
Option Strategy: [private_monthly]double calendar[/private_monthly];
Price at trade post: $171.76
Reasoning: Between now and the expiration of the OctWk5 options, the standard deviation calculation for DIA is between [private_monthly]168 to 176. I'm going to use a Double Calendar[/private_monthly] which has a delta of 5.8, a positive theta of 2.3 and a positive vega of 37.2. [private_monthly]If DIA either trades up to $176 or down to $168, we'll either exit the trade or adjust the position.[/private_monthly]
Trade Details:[private_monthly]
BTO 1 DIA Dec15 176 call
BTO 1 DIA Dec15 168 put
STO -1 DIA OctWk5 176 call
STO -1 DIA OctWk5 168 put
for a max net debit of $3.85 per contract (GTC order, limit order). Try to get filled near the mid, currently at 3.8.
Requirements:
Cost/Proceeds $385
Total Requirements $385
Estimated Commission $6
[/private_monthly]
Max Risk: $385
Max Reward: $70 or 18% [private_monthly]at $168 by Oct 30th
Profit Range: $166.65 to $176.50 by Oct 30th
Suggested Upside stop: @ $176
Suggested Downside stop: @ $168
[/private_monthly]
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