OPENING: EWZ JUNE 19TH 37/50 SHORT STRANGLE

... for a 1.26 credit.

Metrics:

Max Profit: $126
Max Loss/Buying Power Effect: Undefined/$440
Credit Received/Buying Power Effect Ratio: 28.6%
Delta/Theta: -1.53/1.32

Notes: Selling a directionally neutral short strangle in the first expiry in which the at-the-money short straddle pays greater than 10% of the stock price with the intention to delta under hedge to maintain net delta < theta if possible.

Trade active:

Sold the 36/48 15 delta put/19 delta call for 1.18 to delta under hedge; scratch at 2.44; delta/theta 5.17/2.57.

Trade active:

Sold the 47C to under hedge for .38; delta/theta 20.18/3.16; scratch at 2.82.

Trade active:

Sold the 45C to under hedge for .57. Scratch at 3.39.

Trade active:

Taking off the 45 for .03. The remaining calls have gone no bid, but will take those off at the earliest opportunity, since they're tying up buying power. Selling a 38 against for .49. Scratch at 3.88 with the resulting setup: 36/37P-38/47/48/50C.

Trade active:

(Late Post): My best guess is that price doesn't come back above my short put strikes by expiry, so will likely be assigned on the 36's and 37's with a cost basis of 34.56. In preparation for this, went out to September (there is no June, currently) to sell the 32's against for a .60/contract credit with a resulting cost basis of 33.96, so slightly below cost basis.

Trade active:

Pulled off the September 32's for .20/contract, opting to sell something closer in time -- the June 24's for 1.10/contract. I haven't been assigned shares yet, but when I do, they'll have a cost basis of 33.96 + .20 - 1.10 = 33.06. The strike selection is naturally quite aggressive and below cost basis.

Trade active:

Rolling the June 24's out to the July 25's and selling the July 24 puts against for a .01/contract debit to finance. Clearly got a smidge too aggressive with the short call. Lol. Scratch at 33.07.

Comment:

Rather, 33.05 scratch ... .

Trade active:

As expected, assigned 200 shares with a cost basis of 33.05 that is partially covered with a 25 short call out in July, along with a 24 short put that was used to finance strike improvement. Will proceed to cover the remaining shares shortly ... .

Trade active:

Selling the July 33's for .59, which covers the rest of my shares. Cost basis is 33.05 - .59/2 (since I'm covering only half the total number of shares with this partial) or 32.74.

Trade active:

And ... managing the 24/25 covered strangle aspect by rolling it out to August (the July 24P doesn't have much juice left in it) to the 25/26 for a .10 credit. Cost basis of 32.74 - .10/2 = 32.69.

Trade active:

Rolled the July 33 to the August 33 for a .74 credit. Cost basis of 32.69 - .74/2 = 32.32. Will continue to work the other short call up over time.

Trade active:

With very little extrinsic left in the 25/26 covered strangle aspect of this trade, rolling from the August 21st 25/26 to the October 16th 27 short straddle for .25. Cost basis of 32.32 - .25/2 = 32.20.

Trade active:

Rolled the August 21st 33's as is to September today for a .55 credit on traverse of the short call strike. Cost basis of 32.20 - .55/2 = 31.93. I'm fine with being called away, but wanted to milk a smidge more out of it before that happens. Assuming it does, that will leave me with the October 27P/27C covered straddle with a cost basis of 31.93.