Conservative Options trades

[danshirley]

Got filled on the TM spread at 2.10.

Price..........P/L
65..............290
70..............290
75.............(210)
80.............(210)
85.............(210)
--------------------------
Potential yield = 290/210 = 138%

 

[TheoHornsby]

Quote from danshirley:

One of the nasty boys (there are so many on this board, most of whom I have on ignore) had said that choosing far out strikes was idiotic because "theta was zero and would stay zero" so we wouldn't be compensated for the longer hold periods. Lets look at that issue:

If you want to be truthful, you were told in reguard to your GIS condor that there's no point selling an iron condor with 450 days to expiration because time decay will be virtually zero for the next 400 days (see page 5 of this chain). Perhaps now that it's 4-1/2 months later, you can update how that's working out for you? Or would you rather put the facts on IGNORE too?

 

[danshirley]

PDE:
http://online.barrons.com/article/SB126817608194059041.html?mod=BOL_hpp_dc

Trade: Buy July 32.50 calls and sell July 37.50 calls for a net debit of 1.25
Using price distibution from the past:

....................P/L........Prob>
15...............(125)........99%
20...............(125)........94%
25...............(125)........74%
30...............(125)........46%
32.5............(125)........34%
35................126..........24%
37.50............375..........16%
------------------------------------
Pot.Return: 300%
Prob of win: 24%
Expectation: .24(126) + .16(375) - .6(125) = + 15
A little better than breakeven.

 

[danshirley]

POT:
http://www.investors.com/NewsAndAnalysis/Article.aspx?id=527198
http://blogs.barrons.com/stockstowa...oars-on-revised-q1-forecast/?mod=yahoobarrons

http://ichart.finance.yahoo.com/z?s=POT&t=1y&q=c&l=off&z=m&a=v&p=s

Sell the June 85 put and buy the June 80 put for a net of 25.
Yield = 25/475 = 5.3 % in 97 days or 19.8% annualized.
Prob > = 96%
Expectation = .96(25) - .019(237) - .02(475) = 10
Expected annualized yield = 7.9%

 

[danshirley]

MOS follows POT:
http://ichart.finance.yahoo.com/z?s=POT&t=1y&q=c&l=off&z=m&c=MOS&a=v&p=s

Sell the June 45 put and buy the June 40 put for a net of 30.
Yield = 30/470 = 6.4 % in 97 days or 24% annualized.
Prob > = 92%

 

[danshirley]

http://finance.yahoo.com/news/Treasurys-Rumors-of-Demise-cnbc-176347967.html?x=0

http://finance.yahoo.com/q/bc?s=IEF&t=2y&l=on&z=m&q=l&c=

with IEF at 90.48:
Sell the Sept IEF 85 put and buy theSept IEF 80 put for a net of $60.
Yield = 60/440 = 13.6% in 186 days= 27% annualized.
Prob> = 92%

 

[traderlux]

dan,these options for ief seem to have wide b/a spreads, low volume and low oi.

do you have limits you look for?

tnx

 

[danshirley]

I don't expect to trade in and out of the options, but rather to hold the position to expiration. With that in mind they look fine to me... I've seen a lot worse.

 

[Bben1006]

Dan

Do you have any tally of the win/loss todate?

Quote from danshirley:
I don't expect to trade in and out of the options, but rather to hold the position to expiration. With that in mind they look fine to me... I've seen a lot worse.

 

[danshirley]

win/loss to date:

unfortunately my real life portfolio and this thread are not exactly the same. I have real trades that are not here and vice-versa. Also the real trades may no be exactly as proposed. e.g. I think I have turned some bull put spreads into Iron Condors.

I have started to tally just what is here a couple of times but it takes a while and I have been called away each time and didn't get it finished.

One day I will get it done.

I should have kept a running tally but didn't.

currently on my real portfolio I have 13 that are in the money one that is even (SO) and one that is losing money(AMGN).

Of course this doesn't prove anything because the market has been going steadily up ever since I started this thread and any bullish strategy would be in the money at this point.

anyone is welcome to review the thread and make a tally.