Wednesday, June 17, 2015

Earnings Trades

Not going with the standard 2SD strangle. Instead putting wings on a strangle making it a iron condor
Sell ATM call / put, buy OTM call / put. Credit is higher looking to engage in pure vol arbitrage.

Most I can lose is 1% of account. Should be interesting.

KR 67.5/72.5/77.5 @ 2.65
ORCL 43/45/47 @ 1.40

both have ~28% POP. This is mostly a learning experience.



Got out of TLT today @ 0.18
FXE looking ok despite total break down of Greek talks. No rate hike probably took some vol out.

1 comment:

  1. The KR trade went well, closed that out for 0.65
    The ORCL trade went horribly bad, but only 0.60 was at risk. So I rolled the ORCL out to July for 1.70 and closed the Jun-19 for 1.70, so therefore (commission aside) the max risk is still 0.60, and now I get some time for ORCL to trade back up.

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