A Journey Trough the Universe of. Option Strategies

Transcription

1 A Journey Trough the Universe of Integrating what we know July 15, 2015 Leon Zuercher

2 Pillars of Creation Star Nursery M16 Eagle Nebula 6,500 light years from earth

3 Common Parameters All data from Jul 10, 2015 SPX closing prices. 41 DTE Call Delta Put Delta How can I know if the -strike range that my chosen delta gives me is adequate? Range ATR M $140 $85 $140 $85 $5 $85 $10 $85 $60 $85 $95 $85 Items held constant

4 Trade Metrics Per Share Premium; Negative for Debit, Black for Credit Total Planned $ Maximum Gain at Trade Open The end goal is action, not eyeballs. - Jay Baer Net Total $ Maximum Risk at Trade Open Initial (Planned) Return On Capital Upper Break- Even Point Range Lower Break-Even Point Break-Even Point Range Metrics are for doing, not for staring. Never measure just because you can. Measure to learn. Measure to fix. - Stign Debrouwere Monthly Average True Range $ Distance Between two (2) Strikes (if applicable) Probability of Profit at initial trade open. The (Gross) impact to Cash Balance of putting on the trade. You can t improve what you don t measure and generally, whatever you measure improves - HP Motto What gets measured gets managed - Peter Drucker

5 Long Call -$10.65 ~ $1,065 #VALUE! $2,145 $0 $2,145 $140 $ % $0 SPX Long Call

6 Long Put -$10.65 ~ $1,065 #VALUE! $2,145 $0 $2,145 $140 $ % $0 -$20.25 $46, $2,025 2,319% $1,975 $0 $1,975 $140 $ % $0 SPX Long Put

7 (Naked) Call $10.65 $1,065 ~ #VALUE! $2,146 $0 $2,146 $140 $ % $23,588 SPX (Naked) Call

8 (Naked) Put $10.65 $1,065 ~ #VALUE! $2,146 $0 $2,146 $140 $ % $23,588 $19.35 $1,935 $195, % $1,975 $0 $1,975 $140 $ % $199,500 SPX (Naked) Put

9 Vertical Call Spread $2.85 $2.85 $ % $2,138 $0 $2,138 n.a. $ % $1,000 SPX Vertical Call Spread

10 Vertical Put Spread $1.85 $1.85 $ % ~ $1,993 #VALUE! n.a. $ % $1,000 SPX Vertical Put Spread

11 Iron Condor $2.85 $2.85 $ % $2,138 $0 $2,138 n.a. $ % $1,000 $1.85 $1.85 $ % ~ $1,993 #VALUE! n.a. $ % $1,000 $4.70 $4.70 $ % $2,140 $1,991 $149 $140 $ % $1,000 SPX Iron Condor

12 Call Calendar -$2.60 $11.53 $ % $2,174 $2,098 $76 $140 $ % $0 SPX Call Calendar

13 Put Calendar -$2.60 $11.53 $ % $2,174 $2,098 $76 $140 $ % $0 -$3.30 $18.28 $ % $2,060 $1,934 $126 $140 $ % $0 SPX Put Calendar

14 Double Calendar -$2.60 $11.53 $ % $2,174 $2,098 $76 $140 $ % $0 -$3.30 $18.28 $ % $2,060 $1,934 $126 $140 $ % $0 -$5.90 $15.68 $ % $2,160 $1,935 $225 ** $140 $85 ** 38.81% $0 SPX Double Calendar

15 Double Calendar (Diagonal) -$2.60 $11.53 $ % $2,174 $2,098 $76 $140 $ % $0 -$3.30 $18.28 $ % $2,060 $1,934 $126 $140 $ % $0 -$5.90 $15.68 $ % $2,160 $1,935 $225 ** $140 $85 ** 38.81% $0 -$6.25 $13.69 $ % $2,157 $2,007 $150 ** $90 $85 ** 47.82% $0 SPX Double Calendar (Diagonal)

16 Double Calendar (Adjusted) SPX Double Calendar (Diagonal)

17 Call Diagonal -$1.00 $17.03 $ % $2,161 $2,088 $73 $140 $ % $0 SPX Call Diagonal

18 Put Diagonal -$1.00 $17.03 $ % $2,161 $2,088 $73 $140 $ % $0 -$2.35 $20.63 $ % $2,064 $1,951 $113 $140 $ % $0 SPX Put Diagonal

19 Double Diagonal -$1.00 $17.03 $ % $2,161 $2,088 $73 $140 $ % $0 -$2.35 $20.63 $ % $2,064 $1,951 $113 $140 $ % $0 -$3.35 $14.52 $1.05 1,383% $2,206 $1,983 $223 $140 $ % $0 SPX Double Diagonal

20 Double Diagonal SPX Double Diagonal

21 Strangle Strangle Straddle $30.00 $3,090 ~ #VALUE! $2,166 $1,964 $202 $140 $ %? SPX Strangle

22 Long Strangle Strangle Straddle $30.00 $3,090 ~ #VALUE! $2,166 $1,964 $202 $140 $ %? $76.20 $7, ~ #VALUE! $2,156 $2,004 $152 $0 $ %? SPX Long Strangle

23 Long Straddle SPX Long Straddle

24 Call Butterfly -$0.10 $ $10 4,900% $2,140 $2,129 $11 $5 $ % $0 SPX Call Butterfly

25 Put Butterfly -$0.05 $ $10 4,899% $2,000 $1,990 $10 $5 $ % $0 -$0.10 $ $10 4,900% $2,140 $2,129 $11 $5 $ % $0 -$35.28 $4, $4,768 99% $2,182 $1,984 $199 $140 $ % $0 SPX Put Butterfly

26 Double Butterfly -$0.05 $ $10 4,899% $2,000 $1,990 $10 $5 $ % $0 SPX Double Butterfly

27 The Options Universe Review Put Butterfly Straddle Double Calendar Put Calendar Call Call Vertical Premium Call Diagonal Put Diagonal Put Vertical Put Iron Condor Call Calendar Double Diagonal Strangle Call Butterfly A Strategy for every Market

28 Greeks and The Options Universe Put Butterfly Put Calendar Straddle Double Calendar Call Call Vertical Premium Call Diagonal Put Diagonal Put Vertical Put Iron Condor Double Diagonal Call Calendar Strangle Call Butterfly Time (Theta) keeps on ticking, ticking, ticking

29 The Greeks Make the World Go Around Theta decays as time progresses. Vega is the HEAT that reaches the planet, and is tied to Delta is the Distance from the heat Source (Sun) that the orbit is in. The Amount of Premium that reaches a strategy is a mix of all three inter-related Greeks:

30 Options Universe Strategy Map Put Diagonal Double Diagonal + Call Diagonal Put Calendar Double Calendar + Call Calendar Double Butterfly Put Butterfly + Call Butterfly Long Put Put Iron Condor + = Put Spread = Call Spread Long Call Straddle Strangle Call

31 The Options Universe Summary Strategy Long Call -$10.65 ~ $1,065 #VALUE! $2,145 $0 $2,145 $140 $ % Long Put -$20.25 $46, $2,025 2,319% $1,975 $0 $1,975 $140 $ % Call $10.65 $1,065 ~ #VALUE! $2,146 $0 $2,146 $140 $ % Put $19.35 $1,935 $195, % $1,975 $0 $1,975 $140 $ % Call Vertical $2.85 $2.85 $ % $2,138 $0 $2,138 n.a. $ % Put Vertical $1.85 $1.85 $ % ~ $1,993 #VALUE! n.a. $ % Iron Condor $4.70 $4.70 $ % $2,140 $1,991 $149 $140 $ % Call Calendar -$2.60 $11.53 $ % $2,174 $2,098 $76 $140 $ % Put Calendar -$3.30 $18.28 $ % $2,060 $1,934 $126 $140 $ % Double Calendar -$5.90 $15.68 $ % $2,160 $1,935 $225 ** $140 $85 ** 38.81% Double Calendar, Adjusted -$6.25 $13.69 $ % $2,157 $2,007 $150 ** $90 $85 ** 47.82% Call Diagonal -$1.00 $17.03 $ % $2,161 $2,088 $73 $140 $ % Put Diagonal -$2.35 $20.63 $ % $2,064 $1,951 $113 $140 $ % Double Diagonal -$3.35 $14.52 $1.05 1,383% $2,206 $1,983 $223 $140 $ % Strangle $30.00 $3,090 ~ #VALUE! $2,166 $1,964 $202 $140 $ % Straddle $76.20 $7, ~ #VALUE! $2,156 $2,004 $152 $0 $ % Long Call butterfly $5 -$0.10 $ $10 4,900% $2,140 $2,129 $11 $5 $ % Long Call butterfly $10 -$0.55 $940 $55 1,710% $2,145 $2,125 $20 $10 $ % Long Call butterfly $95 -$41.48 $5, $4, % $2,186 $2,084 $101 $95 $ % Long Put butterfly $5 -$0.05 $ $10 4,899% $2,000 $1,990 $10 $5 $ % Long Put butterfly $10 -$0.10 $ $5 19,495% $2,005 $1,985 $20 $10 $ % Long Put butterfly $60 -$6.20 $5, $1, % $2,049 $1,940 $109 $60 $ % Double Butterfly Combined $35.28 $4, $4,768 99% $2,182 $1,984 $199 $140 $ % Double Butterfly $86 $460 $2, $ % $2,121 $2,035 $86 $45 $ % Double Butterfly $86 $2,370 $2,130 $ % $2,126 $2,039 $88 $45 $ % If you re not learning, you re dying.

32 Options Universe Strategy Summary

33 Options Universe Strategy: Other Resources