I sold some near the close at $55.00 with vols touching 64%. Amazing day. We should see gains from the vol-smile when we see some upside ticks. Better to be neutral, but a move to 410-415 will reduce strip vols as well as earn us some skew-gains.
riskarb, How did today affect the positions you opened in this journal, especially your naked straddles?
Yeah I was patting myself on the back for selling the straddle at the high if the day but it popped a little more at the end . Nice entry.
I want to play too have some considerations/questions for RA and the group. 1) trying to figure out how to implement this strategy in IRA where I cannot sell naked calls. I can buy the stock and set aside the $$ for the put and at first thought I show ratio it like sell 1 call/2puts then realized that owning the stock is irrelevant to the option strategy (as long as you don't mind owning it of course)...once the wings are bought then you can sell the stock at will...so you are only tying up the stock/buying power for 10 days or less. 2) the stock I'm interested in is CME which I have followed and wouldn't mind owning. I noticed that you sold the 180 combo when the vol's were 35. Initially you said you were looking for greater than 40??? 3) stock is abt 376...one option esp since I would be buying the stock is the strangle 370/380 price is 24.5 (morphing into the IC)...or would it be better to wait until stock closes in on 370 or 380. The vol on 370 is 35.61 $30 vs 34.85 and $29 actually I guess thats fairly close so doesn't really matter? thanks again for the thread!
I don't trade anything in an IRA, so I assume that shorting stock would be prohibited as well. If not, the short stock/short 2 puts will give you a synthetic straddle at your strike. There is no way to avoid buying wing premium unless you can sell the synth put straddle. Otherwise, you may buy the 400 call and hold-off on the 360 put, if bullish. Obviously your intent is working these in an IRA as we're attempting in the journal, and I don't know if it's possible in an IRA. CME is releasing earnings shortly. I don't think we'll see a lot of decay into the number, and the vols will likely hit 40 pre-release. You'll need to hold through earnings.
I haven't looked beyond taking a quick glance at my quote page, but it looks as though some of the -delta positions like TIE went to neutrality, while others such as PD inverted to +delta. All in all, more than likely a wash. I will take a look later today and post a follow-up.
thx...I think I can do it on a sm scale...anyway if earnings is going to raise vol then isn't it best to wait until vol does increase before selling the straddle?