저자: TomSosnoff계열진행자/옵션트레이더 · 외국인
요약 보기
2023년 9월 5일 기준 VIX 등 변동성이 매우 낮아 높은 IV 거래 기회가 적다고 진단. 브로드컴(AVGO)은 IV rank 13, 월간 IV 29로 높지 않지만 1~1.5 델타 부근 정의 위험 아이언 콘도르 전략을 소규모로 제시. 주가 약 877달러 기준 800/790 풋과 980/990 콜 체결 가정(순수익 2.82). 방향성 예측이 아닌 변동성 중립 전략 설명.
다듬은 글
welcome to option trades today I'm touring the bat Batiste and I've got a trade idea for you today September 5th 20 23 and with record low volatility it's making it harder and harder to find High ivr trades to place let's take a look at what's going on in the market I just mentioned volatility so let's go to volatility first it's up 20 cents but as you can see from this graph here the last six or eight days have been nothing but lower uh lows in volatility today you do have a little bit of a green bar with the market basically unchanged e-mini s PS down nine NASDAQ trying to lead the group uh up eight dollars Russell down 30 those that's the weakest of the group and the Dow down 67 bonds also leading the market a little bit lower down 107.
I don't know volatility ticking up ever so slightly the NASDAQ trying to make a run for the Roses couple of NASDAQ stocks um doing a little bit better today you're looking at uh Tesla up almost eight dollars and Microsoft up was actually up higher just a moment ago it's up four and change uh Adobe is another one that's uh that that's trading a little bit higher metas up to and change and then on the other side of the coin oh you've got a lot of stocks that are going a little bit uh South here not quite as big a name Home Depot the Goldman Sachs of the world uh your CRM you really got a big tug of war going on with the market but I was able to find a trade today well actually one of my friends Diane who writes me all the time uh mentioned it to to me it's av-g-o and we were looking at this The Ivy rank was closer to 16.
I have the s p 100 up here right now I want to show you here just by going uh to Ivy rank and when you look at avgo although the ivx five-day change is now down six percent with the stock only up two dollars it was just up higher a moment to go it is the one two three fourth highest ivr or IV rank in the s p 100 that's uh for you older Traders out there that's the old oex where I made my uh living in from 1983 to approximately 2005.
it's amazing how that product is now completely dead the oex has basically no volume in it let's take a look at it right now at one time it was the most widely traded index uh in the world you look here there's absolutely no volume uh in the oex well days have gone by let's go back to avgo if we could you also know it as broadcom let's take a look at um the chart of broadcom it's been having a nice rally a matter of fact a rally that it hasn't uh taken a stop from ever since uh back in June when it had that nice Rally from 600 and change all the way to almost 800.
now this is a high priced big product so you're going to want to use to find risk and that's what I was telling uh Diane when when I was talking to her via um uh via email today you can always reach me if you want to At Bat at Tasty live.com that's b-a-t boy Apple Tom at Tasty live.com you know um when we're looking at a trade we're going to go into October uh with 45 days I told you I'm gonna look for defined risk and we just did a nice little um uh Market measure a moment ago about how when implied volatility is low around that 1516 Delta seems to be the sweet spot and you don't get paid more for taking on more risk so I'm going to try to go and simulate that with a defined risk trade so I'm going to go down to um approximately the 800 put which now has a 19 Delta when I put this on the stock was a little bit um higher and it had around a 17 Delta I'm going to Define my Risk by going to the 790 puts so I'm selling the 800 790s that's 10 dollars wide and then I'm going to go up to the 980 call which uh before when the stock was about uh six or or seven dollars higher had around a 17 Delta but I'm going to go to the uh 980 calls and buy the 990s I was able to do this for uh two dollars and 82 cents you can see here on the follow page and you go down to Bob the trader or I just happen to be the last one that's there I did this um at 10 28 with the stock trading um at 8.77 just under 877 the ivr was 13.
a 66 pop and I got filled at 2.82 cents I would imagine on a trade like this uh volatility is going to expand on the way up and contract a little bit on the way down kind of the opposite of what happens in ETFs like spy or cues here I am I'm reducing my size I think that's the key here not only am I reducing the strategy by doing the find risk trade as opposed to a strangle I'm also reducing the number of contracts that I would do so if I normally would do uh uh a five contractor going down to one or two if I if you do a 10 contract you're going down to two three or four you want to keep this trade very very small um I hate to say it's an engagement trade but it feels like an engagement trade for me it's an iron Condor with the short strikes around the 15 Delta we were pretty close to that in the example that I showed you here um when I when I put on the trade you're looking at around 13 Delta on the short strike and you'll get around 19 Delta on the short strike average it to around 15 Deltas what was interesting for me on this trade again I collected 2.82 cents markets are quite wide in here the natural bid is only two dollars the natural offer is 320 so this 260 mid price I take with a real big grain of salt you'll probably get filled significantly higher than that so please heed my warning and go in higher than this I would go in at 285 although I am working at 285 offer I am not filled and then work the order down you should get filled somewhere around where I got filled two dollars and 82 cents if you don't I'm not looking to push this trade like I said I'm working a 285 offer I'm not reducing it by price I'm going to leave it in there the way it is you look at it it's a delta neutral trade of course the buying power is the opposite of the credit received if you're only to receive 2.65 cents you use approximately 730 735 dollars uh in buying power your conditional value at risk is going to be the same because um it is a defined risk uh trade you get about four dollars in Theta Decay on the overall trade um extrinsic value of course the 270 is whatever the credit you receive on this trade what I found interesting about this trade was we're out at one standard deviation matter of fact we're over a standard deviation to the upside and we're just under a standard deviation that's this this dotted line right here where understand a deviation uh on the downside so I'm trying to Encompass the full expected move uh in avgo which is which is broadcom with maybe a little bit of extra room because of that call SKU that it has to the upside all right that's my trade for today I'm not that compelling I'll be quite uh quite realistic with you here Ivy rank of 13 not that great monthly implied volatility of 29 not that great but we Define our risk and go as tight as we can in a big product like this just showing you how in any size stock you can use a strategy that uses a a relatively small amount of money so that you can trade in any stock that you want to and you know where else you can trade any stock you want to right there at tastytrade tastytrade.com that's the platform I use that's the platform I show you all the features and that's the platform we use on tasty live showing you everything that we do there so please help support us help us keep the lights on here and open move or transfer your account to tastytrade right now today
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