It is TIME to rollover the Option Structure initiated on 2 June 2020 - Close Out 30 Sep Put - 55 Dec Call and move into Oct '20 vs Feb '21 (an extra month more to be long!)
23 June 2020
OIL POST NUMBER 8
- - - Rollover Strategy (using ICE Brent Options):
1. Sell 1x October 30 Put (expiry: 25 August 2020; futures price reference = 43.40; Delta = 9; Implied Volatility = 71.28%); and
2. Buy 1x February 68 Call (expiry: 23 December 2020; futures price reference = 44.00; Delta = 20; Implied Volatility = 44.51%),
Net Premium = Zero; net theta = positive 0.23 (1.65 - 1.42); net vega = positive 5.71 (8.78 - 3.07).
It appears that the conditions that existed in early June still exists today (albeit, somewhat less pronounced) - namely, the significant implied volatility bias against call options; as well as the high general implied volatility levels.
I will discuss in the next post the reasoning behind the rollover as well as the various points why the above structure is attractive.
Upcomming post: (a) long-term positioning and goals, and (b) rolling over to a new calendar risk reversal position in ICE Brent Options - reasons for doing so with the above structure.
