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KRE: 03.26.20 – 05.15.20

ETF | Banking Fund | Status: Closed

Opening Trade

03.26.20
I decided to try something a little different than my usual
strategy. It's a little complex so bear with me... I sold a
made up of 2
26
and 1
29 put. This creates the pyramid-shaped risk profile on the downside as shown in the image below. On the other side is a short
which is made up of 1 long 38
and 2 short 41 calls, creating another pyramid to the upside. I collected a net credit of $0.33 which what I would make if the spread
with the share price between my long
(the green ones). If the share price goes beyond my long strikes, I have the potential to make up to $3.33 at the peak of either pyramid. Basically, I just want the
in the short strikes to decay faster than long strikes to profit.
Another way to think of this strategy is that I am
a really wide strangle to cover the cost of two cheap, far
$3-wide
The debit spreads are what create the pyramid effect that you see in risk profile. If the share price moves beyond either one, I have the potential to make up to $3 on one of those spreads. They also push my
out a full $3 past my short strikes. This makes my probability of profit very high. KRE would have to drop all the way to $22.67, or rise beyond $44.33 for my break-evens to be breached. That's certainly possible in a market like this, but as of right now the odds are fairly low. This is really just an attempt to
my portfolio byway of strategy selection, and give myself a ton of room to be wrong. We'll see what happens XX

Risk Profile:

Figure 1

Strategy: Short MAY 15 26/29/38/41 Double Ratio

sto 2 may 15 26 puts
bto 1 may 15 29 put
bto 1 may 15 38 call
sto 2 may 15 41 calls
Fill Price: $0.33 credit

Position Analysis

U/L Price: $33.96
IV: 77.9%
IVR: 50.8
Liquidity: 4/4
Position: Short MAY 15 26/29/38/41 Double Ratio
POP: 75%
Cost Basis: $0.33
Risk: Undefined
BPR: $980
Max Profit: $333
Max Loss: Unlimited
Target P/L: $1.51
Break Even(s): $22.67 $44.33
Extrinsic Value: $33
Net Delta: 1.34
Net Theta: 3.449

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