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Due to FAZ and FAS almost at the same price ($8-8.5).
Sell FAS 7 put at $0.75 (HV: 29, IV: 179, Delta: -0.287).
Sell FAZ 7.5 Put at $0.75 (HV: 29, IV: 176, Delta: -0.3.4).
Using 60% credit to
Buy FAZ 10 call at $0.85 (HV:29, IV: 192, Delta: 0.425).
(Total Delta: -0.202).
Worst case: Have to buy FAZ at $6.85 (assigned 7.5 put) at May OE or rotate the position to June.
Best case: Make more money if financial has a big drop. |
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