Stock / Symbol: Amazon.com / AMZN
Option Strategy: double calendar
Price at trade post: $326
Reasoning: putting on delta neutral trade to play Amazon's earnings announcement tonight. I'm setting the option strikes based on the street's expected move of +/- 22. The Greeks on this double calendar are: delta of 1.4, a positive theta of 213 and a positive vega of 37. Two things to note: with a positive Vega, we're going to take a hit on trade's potential profit tomorrow when volatlity drops following the earnigns event. Also note, for the short options, I'm using this weeks expiration.
Trade Details:[private_monthly]
BTO 1 AMZN Nov13 350 call
STO -1 AMZN OctWk4 350 call
BTO 1 AMZN Nov13 305 put
STO -1 AMZN OctWk4 305 put
for a max net debit of $4.60 per contract (day order, limit order). Mid is currently at $4.45.
Requirements:
Cost/Proceeds $460
Option Requirement $0
Total Requirements $460
Estimated Commission $6
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Max Risk: $460
Max Reward: $250 or 54% (at current volatility level) between 305 and 350 by Oct 25
Suggested Upside stop: [private_monthly]@ $350
Suggested Downside stop: @ $305
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