By R. Kambak

June 28, 2017

We have constructed a matrix that calibrates in the option premium’s time decay outcome.  This is rather a fascinating way to see just exactly what your profit or loss will be when the option chain expires.

Based on intraday price moves, volatility, implied volatility ranking, and probability of profit, we’ve identified a means to the end for determining a risk defined entry and exit point for either a Call or Put investment.  This is apart from the Theta score.

Below is the CXQ matrix.  It is fairly self explanatory as you read down the list of input criteria that is standard for most option analysis.  We’ve configured the most relevant data inputs based on the Long Strangle spread – most common for earning’s trades.

Note: We try to match up as close as possible the Call and Put Limite Entry premiums so that the Strangle set up won’t negate the profits.  If it is not possible to match up the option premiums, than one can adjust the contracts.

The MSN Excel spreadsheet provides us with versatility in customizing our option trades, such as Long Call and Short Put. It is a bit more manual intensive, but given the robust signals, it is by far more optimal. Managing this CXQ Model spreadsheet requires more in depth knowledge of option trading and the mathematical calculations required for derivative investing.

DTE

When you look at the last three boxes of this matrix, you’ll see the DTE inputs that are correlated to the current Bid/Ask price of the asset’s option – at which strike price we chose based on a Probability OTM leg out; Call up and Put down.

Notable with AAPL – at the time of the JUL option chain expiration you want to look at the DTE comparison to your capital investment to open the trade and what it will turn out to be on the day of expiration.

If one is motivated to work with the “simulation” aspect of the CXQ matrix, one can determine their the best possible scenarios.

SPREAD OPTIONS
Strangle CALL PUT
Month 21 JUL 17  (24)
Entry Date 27-Jun 27-Jun
Position LONG SHORT
Strike 145 143
Limit Entry 2.28 2.35
Bid 2.73 1.72
Ask 2.76 1.74
Implied Vol 18.43% 17.79%
Delta 0.51 (0.37)
Volume 3065 433
Prob OTM 50.80% 61.24%
Contracts 200 200
Cost $456.00 $470.00
P/L $90.00 $126.00
DTE 1.31255 0.30235
EXP Premium (0.9675) 0.3023
DTE ($193.49) ($409.53)
About R. Kambak – is a freelance writer and portfolio consultant with Macroaxis.  He is open to evaluating investment portfolio hypotheticals, simulations and potential horizon predictions. His own portfolios can be found on Motif – Back Up The Truck and Codex. 
Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.  
In the Subject write: CXQ Request
The TOS charts are posted with credit to the platform/brokerage.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.  Duplication is strictly prohibited without prior permission.
For freelance writing assignments please contact him at: egagca@gmail.com  Thank YOu.
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