Chicago Seminar 2015

Dan Sheridan

Survey: Best Strategy 2015?

• Iron Condor?

• Credit Spread?

• Butterfly?

• Calendar?

• Cash Secured Put?

• Covered write or Long Diagonal?

• Short Strangles?

• Long Calls or Puts or Long Vertical debit Spreads?

What survey tells us? What if IC?

• Multiple vehicles to trade Iron Condor?

• Multiple ways to initiate an Iron Condor?

• Multiple ways to manage Iron Condors?

• Could 30 people be successful trading Iron Condors and 30 people not be successful trading Iron Condors?

SPX $2123 Price Chart Last 6 months

Range $1990- $2134

SPX $2123 Price Chart Last 3 Months

Range: 2045-$2134

SPX $2123 Price Chart over last 12 months

Range : $1820-$2134

SPX $2123 Price Chart last 3 Years

Foundation of how we trade?

• Similar vehicles- relatively few (3-4)

• Relatively Delta Neutral at Beginning of trade except for Credit Spreads

• Trade the trade every duration, whether it’s every 7, 14 , 21, 30, 40, or 60 Days from expiration

• Rely on positive theta , good risk management and plan, and appropriate adjustments each month

Foundation of how we trade?

• Types of vehicles we trade: SPX, RUT, AAPL, TSLA

• Types of Strategies we trade for Income: Iron Condors, Butterflies, Calendars, Credit Spreads , Double Diagonals, Cash Secured Puts, Long Diagonals, Covered Writes, and different modified versions of above strategies

• Duration of above Income Trades includes 4 Days ( Weeklys) to 60 Days.

Foundation of how we trade?

• Types of Strategies we trade for Speculative Strategies: Earnings Plays, Long Straddles, Long Calls and Puts, Long Vertical debit Spreads in both Calls and Puts

• In time we are attempting to build very good Craftsmen

• Successful Business Model in Pit? Steve Chanin? Karen?

Examples of trades we do

• Weekly Calendar

• Monthly Calendar

• Weekly Iron Butterfly

• Monthly Iron Butterfly

• Couch Potato: Credit Spread

• Couch Potato: Modified Credit Spread

• Couch Potato: Broken Wing Butterfly

Examples of trades we do

• Weekly Iron Condor

• Longer Duration Iron Condor

• Cash Secured Put

• Long Diagonal

• Short Strangle??

RUT price Chart last 3 months

Range 1211-1294

Weekly RUT Calendar

Greeks?

Game Plan?

RUT Monthly Calendar

Position really Bullish or bearish? Clue: Look at the Greeks

Tradeoffs versus Weekly Calendar?

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Why start Calendar out-of-the money?

Is this neutral trade?

Weekly Iron Butterfly

Why short deltas? A problem?

Very Similar to Calendar?

Unbalanced Butterfly for Indexes

What do we give up to get deltas neutral?

Contrast versus balanced Butterfly

Longer Duration Iron Butterfly

Inherent problem with Index Butterflies? Is this really a problem? Trade really neutral?

Initiation and Management

Longer Duration Mango

Effective in Market last 3 years?

Longer Duration Butterfly

Is this setup a problem?

We’ve been in Bull Market!

Butterfly with long call set up

Plus and minus of long call?

Plus and minus contrast?

TSLA Butterfly

Delta problem like Indexes at onset of trade?

Game Plan?

Couch Potato: Credit Spread

Adjustments in last 3 years?

Couch Potato: Modified Credit Spread

Why do this?

IV environment to do this?

Comparison

Contrast Greeks

Which would you do?

Couch Potato: BWB

Game Plan?

Weekly Iron Condor

Why different deltas for short options?

Adjustments?

Longer Duration Iron Condor

When would I do this structure?

Game Plan?

Longer Duration Iron Condor

When would I do this structure?

Good set up in Bullish Market?

Low Probability Iron Condor

Contrast versus High Probability Iron Condor?

Contrast versus High Probability IC

Tweak LPC for more downside help

Same short deltas as previous trade

Tradeoffs

Cash Secured Put

Looks like covered write

Long Diagonal

Contrast versus Cash secured Put

AAPL Short Strangle Earnings

Is this the time to sell premium around earnings?

1 Day trade, what’s at stake?

Ching, Ching!! What was the risk?

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