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NaughtyPines
27 มิถุนา 2017 เวลา 18 นาฬิกา 27 นาที

OPENING: VIX AUG 16TH 9/12.5/12.5/16 IRON FLY 

VOLATILITY S&P 500TVC

คำอธิบาย

Going to bite on an August setup here ... .

Metrics:

Max Profit: 190/contract
Max Loss/Buying Power Effect: 160/contract
Break Evens: 10.40/14.40
Theta: .94
Delta: 17.02

Notes: Previously, the recommendation was to shoot for 25% max profit on these. If you do that, however, you'll have to wait until the very last moment, generally, so shooting for 10% max on these instead. It hardly seems worth the effort, but there isn't much to play in this market with the VIX at sub-12 levels. Naturally, if the front month future was higher up the ladder, the fly would be wider and probably pay more, making a 10% take profit more enticing.

Another minor thing of note: it still pays to put these on a "pop" even if it's not to 15. VIX implied volatility rises as its price increases, so you'll get some volatility contraction if price declines somewhat after you put these on.

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Weirdly enough, filled above the mid at 1.93 ... .

ปิดการเทรด: ถึงเป้าหมายการทำกำไร

Covering the 12.5/12.5/16 for a 1.75 db here. The 9 long put is no bid, so will just let it expire worthless.
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Delta10
good luck with your lottery trade !
NaughtyPines
@Delta10, Not sure it qualifies as a lottery trade. A lottery trade would be VIX at >25 by July expiry. This requires a finish between 10.6 and 14.4.
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