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KRE: 02.24.20 – 03.23.20

ETF | Banking Fund | Status: Closed

Adjustment #5

View original trade
03.12.20
KRE has been one of the weakest products in my portfolio, crumbling by nearly 40% since I first established the position. My original
was so deep
that I was at high risk of taking
Assignment of shares wouldn't change my risk level in any way but it would tie up quite a bit of capital which I would like to avoid under these conditions. I decided to
my put down to the 39
leaving me with a 39
Doing so allowed me to reduce my directional risk as well as cut away the
that was unattainable due to the
. The
I collected allowed me to uninvert my $12-wide strikes for $10.65 – essentially a $1.35 discount. This actually improves my best-case scenario by that same amount ($1.35). The straddle is still
so if we do get a rebound, I will still have the opportunity to win back some intrinsic value as well.

Risk Profile:

Figure 6

Strategy: Roll Down Put

btc 1 apr 17 51 put
sto 1 apr 17 39 put
Fill Price: $10.65 debit

Position Analysis

U/L Price: $33.22
IV: 109.4%
IVR: 104.6
Liquidity: 4/4
Position: Short APR 17 39 Straddle
POP: 0%
Cost Basis: -$2.23
Risk: Undefined
BPR: $1820
Max Profit: -$2.23
Max Loss: Unlimited
Extrinsic Value: $362.00
Net Delta: 33.47
Net Theta: 9.041

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