A Journey Trough the Universe of Option Strategies Journey Through Option Strategies Rev1.pdfA...

A Journey Trough

the Universe of

Option Strategies

Integrating what we know

Option Strategies

Leon Zuercher

07-15-2015

July 15, 2015

Pillars of Creation Option Strategies

07-15-2015

Star Nursery M16 – Eagle Nebula – 6,500 light years from earth

Common Parameters Option Strategies

Items held constant 07-15-2015

• All data from Jul 10, 2015 SPX closing prices.

• 41 DTE

• Call Delta 0.2378

• Put Delta –0.2508

• How can I know if the Short-strike range

that my chosen delta gives me

is adequate ? Short

Range ATRM

$140 $85

$140 $85

$5 $85

$10 $85

$60 $85

$95 $85

Trade Metrics Option Strategies

What gets measured gets managed - Peter Drucker 07-15-2015

Short

Premium MG MRnet ROCP BEPU BEPL BEPR Range ATRM POPinitial BP

The (Gross) impact to

Cash Balance of

putting on the trade.

Probability of Profit

at initial trade open.

Monthly

Average True Range

$ Distance Between

two (2) Short Strikes (if

applicable)

Break-Even

Point Range

Lower

Break-Even

Point

Upper Break-

Even Point

Range

Initial

(Planned)

Return On

Capital

Net Total $

Maximum Risk at

Trade Open

Total Planned $

Maximum Gain

at Trade Open

Per Share Premium;

Negative for Debit,

Black for Credit

The end goal

is action,

not eyeballs. - Jay Baer

You can’t improve

what you don’t

measure and

generally, whatever

you measure…

improves - HP Motto

Metrics are for doing,

not for staring. Never

measure just because

you can. Measure to

learn. Measure to fix. - Stign Debrouwere

Long Call Option Strategies

SPX Long Call 07-15-2015

BP

Short

Premium MG MRnet ROCP BEPU BEPL BEPR Range ATRM POPinitial

-$10.65 ~ $1,065 #VALUE! $2,145 $0 $2,145 $140 $85 27.15% $0

Long Put Option Strategies

SPX Long Put 07-15-2015

BP

Short


-$10.65 ~ $1,065 #VALUE! $2,145 $0 $2,145 $140 $85 27.15% $0

-$20.25 $46,967.40 $2,025 2,319% $1,975 $0 $1,975 $140 $85 19.09% $0

Short (Naked) Call Option Strategies

SPX Short (Naked) Call 07-15-2015

BP

Short


$10.65 $1,065 ~ #VALUE! $2,146 $0 $2,146 $140 $85 72.93% $23,588

Short (Naked) Put Option Strategies

SPX Short (Naked) Put 07-15-2015

BP

Short


$10.65 $1,065 ~ #VALUE! $2,146 $0 $2,146 $140 $85 72.93% $23,588

$19.35 $1,935 $195,574 0.989% $1,975 $0 $1,975 $140 $85 80.37% $199,500

Short Vertical Call Spread Option Strategies

SPX Short Vertical Call Spread 07-15-2015

BP

Short


$2.85 $2.85 $7.15 40% $2,138 $0 $2,138 n.a. $85 70.62% $1,000

Short Vertical Put Spread Option Strategies

SPX Short Vertical Put Spread 07-15-2015

BPShort


$1.85 $1.85 $8.15 23% ~ $1,993 #VALUE! n.a. $85 76.15% $1,000

Iron Condor Option Strategies

SPX Iron Condor 07-15-2015

BP

Short


$2.85 $2.85 $7.15 40% $2,138 $0 $2,138 n.a. $85 70.62% $1,000

$1.85 $1.85 $8.15 23% ~ $1,993 #VALUE! n.a. $85 76.15% $1,000

$4.70 $4.70 $5.30 89% $2,140 $1,991 $149 $140 $85 47.99% $1,000

Call Calendar Option Strategies

SPX Call Calendar 07-15-2015

BP

Short


-$2.60 $11.53 $2.60 443% $2,174 $2,098 $76 $140 $85 21.93% $0

Put Calendar Option Strategies

SPX Put Calendar 07-15-2015

BP

Short


-$2.60 $11.53 $2.60 443% $2,174 $2,098 $76 $140 $85 21.93% $0

-$3.30 $18.28 $3.41 536% $2,060 $1,934 $126 $140 $85 34.36% $0

Double Calendar Option Strategies

SPX Double Calendar 07-15-2015

BP

Short


-$2.60 $11.53 $2.60 443% $2,174 $2,098 $76 $140 $85 21.93% $0

-$3.30 $18.28 $3.41 536% $2,060 $1,934 $126 $140 $85 34.36% $0

-$5.90 $15.68 $6.01 261% $2,160 $1,935 $225 ** $140 $85 ** 38.81% $0

Double Calendar (Diagonal) Option Strategies

SPX Double Calendar (Diagonal) 07-15-2015

BP

Short


-$2.60 $11.53 $2.60 443% $2,174 $2,098 $76 $140 $85 21.93% $0

-$3.30 $18.28 $3.41 536% $2,060 $1,934 $126 $140 $85 34.36% $0

-$5.90 $15.68 $6.01 261% $2,160 $1,935 $225 ** $140 $85 ** 38.81% $0

-$6.25 $13.69 $6.36 215% $2,157 $2,007 $150 ** $90 $85 ** 47.82% $0

Double Calendar (Adjusted) Option Strategies

SPX Double Calendar (Diagonal) 07-15-2015

BP

Short


Call Diagonal Option Strategies

SPX Call Diagonal 07-15-2015

BP

Short


-$1.00 $17.03 $7.46 228% $2,161 $2,088 $73 $140 $85 22.09% $0

Put Diagonal Option Strategies

SPX Put Diagonal 07-15-2015

BP

Short


-$1.00 $17.03 $7.46 228% $2,161 $2,088 $73 $140 $85 22.09% $0

-$2.35 $20.63 $4.65 444% $2,064 $1,951 $113 $140 $85 32.85% $0

Double Diagonal Option Strategies

SPX Double Diagonal 07-15-2015

BP

Short


-$1.00 $17.03 $7.46 228% $2,161 $2,088 $73 $140 $85 22.09% $0

-$2.35 $20.63 $4.65 444% $2,064 $1,951 $113 $140 $85 32.85% $0

-$3.35 $14.52 $1.05 1,383% $2,206 $1,983 $223 $140 $85 78.96% $0

Double Diagonal Option Strategies

SPX Double Diagonal 07-15-2015

BP

Short


Short Strangle Option Strategies

SPX Short Strangle 07-15-2015

BP

Short


$30.00 $3,090 ~ #VALUE! $2,166 $1,964 $202 $140 $85 61.64% ?Short Strangle

Short Straddle

Long Strangle Option Strategies

SPX Long Strangle 07-15-2015

BP

Short


$30.00 $3,090 ~ #VALUE! $2,166 $1,964 $202 $140 $85 61.64% ?

$76.20 $7,618.68 ~ #VALUE! $2,156 $2,004 $152 $0 $85 51.62% ?

Short Strangle

Short Straddle

Long Straddle Option Strategies

SPX Long Straddle 07-15-2015

BP

Short


Call Butterfly Option Strategies

SPX Call Butterfly 07-15-2015

BP

Short


-$0.10 $489.95 $10 4,900% $2,140 $2,129 $11 $5 $85 3.11% $0

Put Butterfly Option Strategies

SPX Put Butterfly 07-15-2015

BP

Short


-$0.05 $489.92 $10 4,899% $2,000 $1,990 $10 $5 $85 2.84% $0

-$0.10 $489.95 $10 4,900% $2,140 $2,129 $11 $5 $85 3.11% $0

-$35.28 $4,731.24 $4,768 99% $2,182 $1,984 $199 $140 $85 34.24% $0

Double Butterfly Option Strategies

SPX Double Butterfly 07-15-2015

BP

Short


-$0.05 $489.92 $10 4,899% $2,000 $1,990 $10 $5 $85 2.84% $0

The Options Universe Review Option Strategies

A Strategy for every Market 07-15-2015

Call

Put

Vertical

Iron

Condor

Put

Calendar

Call

Calendar

Double

Calendar

Double

Diagonal

Put

Diagonal

Call

Diagonal

Call

Butterfly

Put

Butterfly

Straddle

Strangle

Put

Call

Vertical

Premium

Greeks and The Options Universe Option Strategies

Time (Theta) keeps on ticking, ticking, ticking… 07-15-2015

Call

Put

Vertical

Iron

Condor

Put

Calendar

Call

Calendar

Double

Calendar

Double

Diagonal

Put

Diagonal

Call

Diagonal

Put

Butterfly

Straddle

Strangle

Put

Call

Vertical

Premium

Call

Butterfly

Option Strategies

07-15-2015 The Amount of Premium that reaches a strategy is a mix of all three inter-related Greeks:

The Greeks Make the World Go Around

• Delta is the Distance from the heat Source (Sun) that the orbit is in.

• Vega is the HEAT that reaches the planet, and is tied to…

• Theta decays as time progresses.

Options Universe Strategy Map Option Strategies

07-15-2015

Long Put

Short Put

Long Call

Short Call + +

Put Calendar Call Calendar

Call Diagonal Put Diagonal

Iron Condor

Double Diagonal

Double Calendar

Call Butterfly Put Butterfly

Double Butterfly

+

= Put Spread = Call Spread

+

+

+

Straddle

Strangle

+

Short

Strategy Premium MG MRnet ROCP BEPU BEPL BEPR Range ATRM POPinitial

Long Call -$10.65 ~ $1,065 #VALUE! $2,145 $0 $2,145 $140 $85 27.15%

Long Put -$20.25 $46,967.40 $2,025 2,319% $1,975 $0 $1,975 $140 $85 80.56%

Short Call $10.65 $1,065 ~ #VALUE! $2,146 $0 $2,146 $140 $85 72.93%

Short Put $19.35 $1,935 $195,574 0.989% $1,975 $0 $1,975 $140 $85 80.37%

Call Vertical $2.85 $2.85 $7.15 40% $2,138 $0 $2,138 n.a. $85 70.62%

Put Vertical $1.85 $1.85 $8.15 23% ~ $1,993 #VALUE! n.a. $85 76.15%

Iron Condor $4.70 $4.70 $5.30 89% $2,140 $1,991 $149 $140 $85 47.99%

Call Calendar -$2.60 $11.53 $2.60 443% $2,174 $2,098 $76 $140 $85 21.93%

Put Calendar -$3.30 $18.28 $3.41 536% $2,060 $1,934 $126 $140 $85 34.36%

Double Calendar -$5.90 $15.68 $6.01 261% $2,160 $1,935 $225 ** $140 $85 ** 38.81%

Double Calendar, Adjusted -$6.25 $13.69 $6.36 215% $2,157 $2,007 $150 ** $90 $85 ** 47.82%

Call Diagonal -$1.00 $17.03 $7.46 228% $2,161 $2,088 $73 $140 $85 22.09%

Put Diagonal -$2.35 $20.63 $4.65 444% $2,064 $1,951 $113 $140 $85 32.85%

Double Diagonal -$3.35 $14.52 $1.05 1,383% $2,206 $1,983 $223 $140 $85 78.96%

Short Strangle $30.00 $3,090 ~ #VALUE! $2,166 $1,964 $202 $140 $85 61.64%

Short Straddle $76.20 $7,618.68 ~ #VALUE! $2,156 $2,004 $152 $0 $85 51.62%

Long Call butterfly $5 -$0.10 $489.95 $10 4,900% $2,140 $2,129 $11 $5 $85 3.11%

Long Call butterfly $10 -$0.55 $940 $55 1,710% $2,145 $2,125 $20 $10 $85 5.89%

Long Call butterfly $95 -$41.48 $5,009.54 $4,490 112% $2,186 $2,084 $101 $95 $85 30.12%

Long Put butterfly $5 -$0.05 $489.92 $10 4,899% $2,000 $1,990 $10 $5 $85 2.84%

Long Put butterfly $10 -$0.10 $974.76 $5 19,495% $2,005 $1,985 $20 $10 $85 5.78%

Long Put butterfly $60 -$6.20 $5,429.15 $1,360 399% $2,049 $1,940 $109 $60 $85 30.68%

Double Butterfly Combined 19-22 -$35.28 $4,731.24 $4,768 99% $2,182 $1,984 $199 $140 $85 34.24%

Double Butterfly $86 $460 $2,039.15 $460 443% $2,121 $2,035 $86 $45 $85 30.72%

Double Butterfly $86 $2,370 $2,130 $870 245% $2,126 $2,039 $88 $45 $85 31.23%

The Options Universe Summary Option Strategies

If you’re not learning, you’re dying. 07-15-2015

Options Universe Strategy Summary Option Strategies

07-15-2015

Options Universe Strategy: Other Resources Option Strategies

07-15-2015

A Journey Trough the Universe of Option Strategies Journey Through Option Strategies Rev1.pdfA...

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