Stock / Symbol: iShares Russell 2000 Index / IWM
Option Strategy: [private_monthly]double diagonal[/private_monthly]
Price at trade post: $111.06
Reasoning: Putting on a [private_monthly]double diagonal on IWM with the short legs expiring in January[/private_monthly]. The Greeks are a delta of 16.2, a positive theta of 4.8 and a vega of 11.8. We'll look to adjust or exit at each of the short strikes [private_monthly](117 & 107)[/private_monthly].
Trade Details:[private_monthly]
BTO 4 IWM JanWk5 118 calls
BTO 4 IWM Janwk5 105 puts
STO -4 IWM Jan16 117 calls
STO -4 IWM Jan16 107 puts
for a max net debit of $0.15 per contract (GTC order, limit order). The current mid is 0.12. Try for the mid +0.01. If not filled today, ok to try again tomorrow.
Requirements:
Cost/Proceeds $60
Total Requirements $840
Estimated Commission $24
[/private_monthly]
Max Risk: $840
Max Reward: $440 or 52% (at current volatility level) at[private_monthly] $107 [/private_monthly]by 15 Jan
Profit Range: $105 to $118.75 by 15 Jan
Suggested Downside stop: @ $107
Suggested Upside stop: @ $117
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