SNAP SHOT  QUANT FROM CXQ – JULY 4TH WEEKEND

The middays look at Facebook (NASDAQ: FB) statistical analysis.

From the Options Matrix the notable inputs are the comparison of the current premium price to the time decay (DTE) outcomes.  Both Short Call & Long Put show a profit at Expiration.  This isn’t necessarily reality as the horizon can change over a 56 day period – yet the signal here is that the volatility is giving a solid confirmation on how we leaned into the derivatives during this July 4th weekend sell off of the Nasdaq.

Delta differentiation is comparable to the covariance formula.

The layout is fairly concise – given the Call and Put play – shorting the Call and going Long on the Put.

Month 18 AUG 17 (56)
Entry Date 3-Jul 3-Jul
Strangle CALL PUT
Position SHORT LONG
Strike 155 150
Limit Entry 5.7 2.57
Bid 3.40 6.00
Ask 3.50 6.05
Implied Vol 26.78% 26.73%
Delta 0.3689 (0.4981)
Volume 999 269
Prob OTM 66.67% 46.43%
Contracts 200 200
Cost $1,140.00 $514.00
P/L $460.00 $686.00
DTE 1.96391 4.58941
EXP (3.7361) 2.0194
DTE LOSS ($747.22) $403.88
DIFF P/L $392.78 $917.88

About R. Kambak – a day trader and consultants portfolio development for wealth building.  He builds investment portfolio hypotheticals, simulations and horizon predictions. His portfolios can be found on Motif Community – Back Up The Truck and Codex.  

Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.  

In the Subject: 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.  

Attribution-NonCommercial-NoDerivs CC BY-NC-N.  Duplication is strictly prohibited without attribution.

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