I have done several trades where I purchase the Bull Call Spread and Bear Put Spread on the same stock for the same expiration at the same time. It is similar to a straddle or strangle, but without unlimited gains - however, it can be rare for super large gains to be racked up anyway, so the idea here is to make good gains and have closer break-even at expiration points. That is the theory at least. In general, I am going to try to trades where the current HV is higher then the IV, and a Monte Carlo Simulation shows a good percent chance of the stock hitting a price on either side that would generate about a 50% profit. For now, I plan to do the trades for about 1 1/2-2 months so for now for example I am using Dec expiration. I usually like to go closer to the bear put spread for several reasons. Also, these are generally done after a company has reported earnings. Here are 3 trades I started with today. GS - Buy 120/130 Bull Call Spread GS - Buy 110/100 Bear Put Spread Cost = $510 CAT- Buy 100/110 Bull Call Spread CAT - Buy 92.5/82.5 Bear Put Spread Cost = $475 OXY- Buy 100/110 Bull Call Spread OXY - Buy 92.5/82.5 Bear Put Spread Cost = $477 CAT and OXY just happened to use the exact strikes. The profit goal is 50%. I will attempt to close within about 1 month or before a 50% loss. I have attached a picture of the page on ivolatility.com for GS showing the current HV as being much greater then the current IV. In the next post after this one, I will attach a picture showing the Monte Carlo Simulator results for GS. Note that I am showing GS as an example of what I am trying to find, but will not bother showing so much detail for each trade. JJacksET4
Here is the Monte Carlo Simulation picture just to show an example of the numbers I am looking for. JJacksET4
Forgot to report that on Tuesday, I closed the CAT trade for 4.72 (a .03 loss). OXY position still open.