Tuesday, July 10, 2012

Sell IWM strangles

Sell IWM strangles @80.6
Sell Aug 86 calls & Aug 73 puts for credit

Again, a short strangle is a bet on a trading range bound by the two strike prices. I am heavy in cash, light on positions, so added this near delta neutral position. As far as tactics, I place the order at the mid and it doesn't get filled until that price becomes the nat. Nat is the rough equivalent of selling at the bid for both options. Mid would be hoping that the bid/ask spread gets split down the middle.

Net long LGF
Net neutral IWM SPY TLT

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