Stock / Symbol: iShares Russell 2000 Index / IWM;
Option Strategy: [private_monthly]double calendar[/private_monthly];
Trade entry date / price: 29 Feb / $103.70
Price at trade post: $109.56;
Current Position:
Long 1 IWM MarWk4 105.5 call
Long 1 IWM MarWk4 100.5 put
Short -1 IWM Mar16 105.5 call
Short -1 IWM Mar16 100.5 put
Reasoning: With our short call in the money (ITM), we're going to close out the call calendar here. The short put will expire worthless today and the long put will most likely expire worthless as well next week. Next, with an expectation for an increase in volatility, we're going to add a long iron condor that expires on April 1st. After this adjustment, the Greeks will be: 1.6 delta, -1.4 theta, and 3.2 vega. We'll be able to exit the trade with an overall profit should IWM be trading either under 106 or over 113 by MarWk5 option expiration.
Trade Details:[private_monthly]
STC 1 IWM MarWk4 105.5 call
BTC -1 IWM Mar16 105.5 call
for a max net debit of $0.05 per contract (day order, limit order). The current mid is -0.01. I was filled at $0.00.
Then,
BTO 1 IWM MarWk5 112 call
STO -1 IWM MarWk5 113 call
BTO 1 IWM MarWk5 107 put
STO -1 IWM MarWk5 106 put
for a max net debit of $0.33 per contract (day order, limit order). The current mid is $0.30. IO was filled at $0.32
[/private_monthly]
Max Risk: $82 (increased from $50)
Max Reward: $18 or 22% at/under[private_monthly] $106 [/private_monthly] and at/over [private_monthly] $113 [/private_monthly]by Apr 1st
Profit Range:at/under [private_monthly] $106.18[/private_monthly] and at/over [private_monthly] $112.82 by Apr 1st[/private_monthly]
Suggested Downside stop: NA
Suggested Upside stop: NA
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