Although this trade isn't quite ripe for me yet (I'm waiting for all time highs (circled), I thought I'd stick it out there in order to price the setup out, at least preliminarily. Naturally, the strike prices and/or expiries will have to be adjusted should a short opportunity come to pass ... . As with my TLT calendar (See Post Below), this trade operates on the assumption that the underlying will get dinged somewhat in a tightening rate environment (although it seems to bounce back every time), with the next hike being talked about in June.
Metrics:
Max Loss On Setup/Buying Power Effect: $797/contract
Max Profit On Setup: $303/contract ($151 at 50% max; 18.9% Return on Capital).
Break Even: 84.03 versus 84.04 spot
Debit Paid to Spread Width Ratio: 72.5%
Delta: -45.98
Theta: .45
Metrics:
Max Loss On Setup/Buying Power Effect: $797/contract
Max Profit On Setup: $303/contract ($151 at 50% max; 18.9% Return on Capital).
Break Even: 84.03 versus 84.04 spot
Debit Paid to Spread Width Ratio: 72.5%
Delta: -45.98
Theta: .45
