$AMZN Bull Put Spreads At Trendline Support

9/25/12
Amazon pulled back today and held at the rising support line.  Stochastics have worked off their oversold conditions, and the Bollinger band and 50-day moving average have risen above the short strike, which is also over 3 ATRs away.  A little bit of price/volume resistance in the 245-250 area as well.

I'm not condoring these spreads right off the bat.  If anything, I will wait and watch the price action over the next few days.  Currently an 84% probability of max profit on this trade.

Trade:
STO AMZN Oct 240/235 bull put spreads for ($1.62-$1.10) x 100 x 5 lots = $260 credit

Rolling Along With $EQIX Bull Put Spreads

9/19/12
Another week, another new high in Equinix.  Selling bull put spreads under the Bollinger band, 50-day moving average, and the low from last week.  Almost 3 full ATRs away.  87% probability of max profit.

Still not going to condor these.  Stock is just too strong lately.

Trade:
STO EQIX Oct 12 180/175 bull put spreads for ($1.77-$1.17) x 100 x 5 lots = $300 credit

Rolled $MA Iron Condors Up & Out To October

9/18/12
Rolling these iron condors up and out to October.  Net credit is $0.20 per lot.  Keeping a bullish bias on this trade, which is why the put strikes are so high.  The 20- and 50-day moving averages will soon rise to meet that strike and act as support.

Currently a 76% chance of success on the put side, 83% on the call side.

Trade:
STO MA Oct 12 435/430 bull put spreads for ($4.72-$3.62) x 100 x 5 lots = $550 credit
STO MA Oct 12 480/485 bear call spreads for ($2.61-$2.01) x 100 x 5 lots = $300 credit

Rolled $CF Iron Condors To October For Credit

9/17/12
Rolled the spreads from this trade out to October expiration.  This is a net credit of $0.21 per lot.

Currently about 75% probability of win on both sides of the condor.

Trade:
STO Oct 12 CF 205/200 bull put spreads for ($3.61-$2.58) x 100 x 5 lots = $515 credit received
STO Oct 12 CF 235/240 bear call spreads for ($2.35-$1.47) x 100 x 5 lots = $440 credit received

$IBM Credit Put Spreads On Inverted H&S

9/12/12
Just noticed that preliminary earnings announcement date is set for Oct-16, which is before opex.  This is not acceptable, per my rules.  Closing out the trade.  Actually not too bad, 27% of max profit in just two days.

Trade:
BTC Oct 12 IBM 190/185 bull put spreads for ($0.86-$0.48) x 100 x 5 spreads = $190 debit vs. $260 credit = $70 profit

9/11/12
Thanks to @ukarlewtiz for pointing out the inverted h&s today.  Neckline looks to be around 203 with a measured move to ~220.

Keeping the short strike well below the 20, 50, and 200-day moving averages, as well as the Bollinger band.  Also using the trendline as support.  Over 4 and-a-half ATRs away as well.  Currently probability of max profit is 88%.

Trade:
STO Oct 12 IBM 190/185 bull put spreads for ($1.23-$0.71) x 100 x 5 spreads = $260 credit

$CF Sept Iron Condor On Pullback To Support

9/17/12
Taking today's pullback as an opportunity to roll these spreads out to October.

Trade:
BTC Sept 12 CF 185/180 bull put spreads for ($0.06-$0.04) x 100 x 5 lots = $10 debit vs. $225 credit = $215 profit
BTC Sept 12 CF 220/225 bear call spreads for ($2.69-$1.01) x 100 x 5 lots = $840 debit vs. $235 credit = $605 loss

9/4/12
With the stock pulling back to several points of support today, I opened a new iron condor on CF Industries.  The first is the horizontal support line at ~201, which coincides with the 50-day moving average, as well as the lower Bollinger band.

I'm keeping the put side also below support at 190, and the call side above the all-time highs at ~216.  Each side is also more than 3 full ATRs away.  Currently an 89% probability of success on the put side, and 85% on the call side.

Trade:
STO Sept 12 CF 185/180 bull put spreads for ($1.10-$0.65) x 100 x 5 lots = $225 credit received
STO Sept 12 CF 220/225 bear call spreads for ($1.15-$0.68) x 100 x 5 lots = $235 credit received
Net credit of $460

$CRM Low-Risk Earnings Double Diagonal

8/27/12
The short 24 Aug weeklys expired worthless.  Now holding the long put & call for free.  Unfortunately the stock price is basically unchanged in the last few days, so these aren't worth much.  Had the opening price of ~140 from Friday held, this would've been a nice trade.

8/23/12
Salesforce (CRM) is reporting earnings after the close today.  I have no idea if it's going to be or not so I'm opening up my favorite direction-neutral trade.

Max profit is if the stock closes right at 160 or 130 tomorrow.

This ER happens to fall right in the sweet spot of this trade because the short options expire tomorrow, and the long options came on the board today.

Trade:
STO CRM 24 Aug(w) 130 put for $1.45 x 100 x 2 lots = $290 credit
BTO CRM 31 Aug(w) 125 put for $1.39 x 100 x 2 lots = $278 debit
STO CRM 24 Aug(w) 160 call for $2.02 x 100 x 2 lots = $404 credit
BTO CRM 31 Aug(w) 165 call for $1.78 x 100 x 2 lots = $356 credit
Net credit of $0.30 per lot = $60

$GOOG Credit Put Spreads

9/21/12
These spreads are expiring for full profit today.

8/22/12
After finally resting for a few and breaking out to all-time highs, Google (GOOG) is back on the move again.  While the current trendline is not sustainable for much longer, I'm going to use it as support for now.  Also keeping the short strike under the base around 640.  ATR is currently 10.6, which puts the short strike four full ATRs away.

OBV & accum/distribution line both show money is flowing into the stock.  And the 50-day MA is quickly rising to meet the short strike price.

Currently an 86% probability of max profit on this trade.  Like these AAPL bull put spreads yesterday, Google has recently broken out to new highs.  Therefore I do not plan on condoring these.

Trade:
Sold Sept 12 GOOG 630/625 bull put spreads for ($3.45-$2.95) x 100 x 5 spreads = $250 credit received

$AAPL Bull Put Spreads On Today's Pullback

9/19/12
Closing these for almost full profit.  No sense in risking it.  Total profit of $435 or $0.87 per lot.

Trade:
BTC Sept 12 AAPL 625/620 bull put spreads for ($0.05-$0.02) x 100 x 5 spreads = $15 debit vs $275 credit = $260 profit 

8/27/12
Rolling up these put spreads with AAPL up big today on their Samsung lawsuit.  Net credit of $0.35 per lot.

Currently an 86% probability of max profit on this adjustment.  Still not planning on condoring these.

Trade:
BTC Sept 12 AAPL 600/595 bull put spreads for ($1.58-$1.38) x 100 x 5 spreads = $100 paid vs. $275  received = $175 profit
Sold Sept 12 AAPL 625/620 bull put spreads for ($3.55-$3.00) x 100 x 5 spreads = $275 credit received

8/21/12
Apple was due for a pullback after a massive run up post-ER.  Got a bit of that today.  Technically, Stochastics are still overbought but price is back inside the Bollinger band which is opening up for higher prices.  Keeping the short strike under the 20- and 50-day averages, which are also curling back up.

Currently a 77% probability of max profit on this trade.  Not planning on condoring these spreads now that AAPL has broken out to new all-time highs, as there is no overhead resistance.

Trade:
Sold Sept 12 AAPL 600/595 bull put spreads for ($3.60-$3.05) x 100 x 5 spreads = $275 credit received

Sept $MA Iron Condor For Possible 16% Return

9/18/12
Rolling these IC's up and out to October.  Net loss on this trade is $170 or $0.34 per lot.

Trade:
BTC MA Sept 12 405/400 bull put spreads for ($0.19-$0.12) x 100 x 5 lots = $35 debit vs. $280 credit = $245 profit
BTC MA Sept 12 455/460 bear call spreads for ($3.33-$1.76) x 100 x 5 lots = $785 debit vs. $155 credit = $630 loss


9/5/12
As planned, I'm moving up the put side of the condor today for net credit of $0.30 per lot.  Keeping the short strike under the 200-day moving average.  Trade currently has an 84% chance of success.

Trade:
BTC MA Sept 12 395/390 bull put spreads for ($1.02-$0.76) x 100 x 5 lots = $130 paid vs. $230 received = $100 profit
Sold MA Sept 12 405/400 bull put spreads for ($1.96-$1.40) x 100 x 5 lots = $280 credit received

8/27/12
Rolling down the call side of this condor for a net credit of $0.19 per lot.  Currently an 89% probability of max profit on this adjusted leg.  79% probability of the total condor.

Planning on moving up the put side too eventually.  Would like to go to 405 but the probability is too low at the moment.

Trade:
BTC MA Sept 12 465/470 bear call spreads for ($0.45-$0.33) x 100 x 5 lots = $60 paid vs. $175 received = $115 profit
Sold MA Sept 12 455/460 bear call spreads for ($0.95-$0.64) x 100 x 5 lots = $155 credit received

8/16/12
Mastercard (MA) has started the next leg up after its May selloff.  With this one I'm keeping the put strike right at the May lows, and below the 200-day moving average.  The call side is above the April highs, and both strikes are well outside the contracting Bollinger bands.

Currently a 90% probability of max profit on both legs of the trade.

Trade:
Sold MA Sept 12 395/390 bull put spreads for ($2.05-$1.59) x 100 x 5 lots = $230 credit received
Sold MA Sept 12 465/470 bear call spreads for ($1.38-$1.03) x 100 x 5 lots = $175 credit received

Playing The $EQIX Rising Trendline With Bull Put Spreads

9/17/12
Closing this trade today for a total of $350 profit or $0.70 per lot.  14% gainer.

Trade:
BTC EQIX Sept 12 175/170 bull put spreads for ($0.29-$0.25) x 100 x 5 lots = $20 debit vs. $205 credit = $185 profit

8/27/12
With the EQIX continuing to break out to new all-time highs, I'm rolling these put spreads up for a net credit of $0.22 per lot.  Staying under the 50-day moving average and the ascending trendline.  91% probability of max profit on this adjustment.

Trade:
BTC EQIX Sept 12 165/160 bull put spreads for ($0.70-$0.51) x 100 x 5 lots = $95 paid vs. $260 received = $165 profit
Sold EQIX Sept 12 175/170 bull put spreads for ($1.40-$0.99) x 100 x 5 lots = $205 credit received

8/16/12
Equinix Inc (EQIX) beat earnings again last month and continues to ride the ascending trendline up after putting in a new high.  OBV confirms that money is flowing back into the stock.  Wanted to keep the short strike under the July lows at 160 but there wasn't enough premium.  As it is the 165 strike is almost 4 ATRs away.

Currently an 89% probability of max profit on this one.  I may condor these if the stock runs into resistance at some point, but will not be in a rush to do so.

Trade:
Sold EQIX Sept 12 165/160 bull put spreads for ($1.67-$1.15) x 100 x 5 lots = $260 credit received

Rolled $SPY Bear Call Spreads Up And Out To September

9/13/12
Looks like Big Ben threw another wrench in the works today.  Markets up over 1% on the news of more QE (aka - crack) being injected into the system.  Had to roll these out to October.  Added more lots but tightened the spreads from 3- to 2-wide, thus lowering the total at risk.

Trade:
BTC SPY Sept 12 143/146 bear call spreads for ($2.70-$0.70) x 100 x 10 spreads = $2000 debit
BTC SPY Sept 12 135/132 bull put spreads for ($0.07-$0.03) x 100 x 10 spreads = $40 debit
Sold SPY Oct 12 145/147 bear call spreads for ($2.26-$1.28) x 100 x 14 spreads = $1372 credit
Sold SPY Oct 12 143/141 bull put spreads for ($1.75-$1.24) x 100 x 14 spreads = $714 credit

Net credit of $46


8/23/12
With the consolidation in the market the past few days, I rolled the call spreads up a strike to 143/146 for $0.29 debit.  I offset this cost by selling 135/132 put spreads to form an iron condor.  Could have gotten more aggressive with the placement of the short put strike but I wanted to lessen the chance that the market would turn down and the put spreads would end up being under pressure.

Right now there's an 88% chance of the put spreads expiring worthless.  Net credit on the trade of $0.02 per lot.

Trade:
BTC SPY Sept 12 142/145 bear call spreads for ($1.58-$0.48) x 100 x 10 spreads = $1100 paid vs $990 received = $110 loss
Sold SPY Sept 12 143/146 bear call spreads for ($1.12-$0.31) x 100 x 10 spreads = $810 premium received
Sold SPY Sept 12 135/132 bull put spreads for ($0.76-$0.45) x 100 x 10 spreads = $310 premium received

8/13/12
Rolled the call side of these iron condors out and up to September.  Note that I'm using less margin on this trade as well.  Also not selling the put side yet as I believe we are at a short to intermediate-term top.  Keeping the short strike above the resistance at 141 and the highs of the year.

Trade:
Sold SPY Sept 12 142/145 bear call spreads for ($1.59-$0.60) x 100 x 10 spreads = $990 premium received

$MA Bull Put Spreads For A Quick Scalp

8/8/12
Jumping in here with August credit spreads.  Stock has been beaten up the last few days but the long-term rising trendline is still holding.  Originally wanted 400/395 but still keeping the short strike under the daily Bollinger band and the low from July.  OBV doesn't look great on this chart, but scroll down to the weekly...

Lots of bullishness on this chart.  OBV looks great, ATR confirms the nearly two-year move upwards.  Currently a 91% probability of success on this trade.

I may condor these spreads, or close them down early to take profits.  We'll see what happens the next few days.

Trade:
Sold MA Aug 405/400 bull put spread for ($0.92-$0.57) x 100 x 5 lots = $175 premium received

$CF Double Diagonal Earnings Play

8/9/12
Stock is just acting too strong.  Not much extrinsic value left in the weekly.  Total loss is $224, which isn't too bad.  This is why your position sizing is so important.

Trade:
BTC 10 Aug(w) 210 Call @ $4.80 x 100 x 2 lots = $960 paid
Sold Aug 12 215 Call @ $3.45 x 100 x 2 lots = $690 received
Net debit of $270

8/8/12
With the stock up today I'm rolling the short weekly put down and out to the Aug 12 180 put, creating a bear put spread.  This is normally a debit spread but it was done for basically zero cost.  Basically a free lottery ticket.

My other option was to let it expire worthless at the end of the week, and hold the short put.  Doing it this way, however, allows me to free up that margin.

Trade:
BTC 10 Aug(w) 190 Put @ $0.12 x 100 x 2 lots = $24 paid
Sold Aug 12 185 Put @ $0.12 x 100 x 2 lots = $24 received
Net debit of $0.00

8/6/12
Putting this double diagonal ER play on for real this time.  Weekly options are pricing in about a 10-point move.  Monthlys pricing in about 12-13 points.  Note that this trade requires $500 of margin per lot per side for as long as you hold the short weeklys, which I only intend to for a few days.  Then I can let the long options run.

TradeMonster's analyze tool says I have a 94% chance of achieving any profit.

Trade:
Sold 10 Aug(w) 190 Put @ $1.49 x 100 x 2 lots = $298 premium received
Bought Aug 12 185 Put @ $1.54 x 100 x 2 lots = $308 paid
Sold 10 Aug(w) 210 Call @ $1.78 x 100 x 2 lots = $356 premium received
Bought Aug 12 215 Call @ $1.50 x 100 x 2 lots = $300 paid
Net credit of $46

$GOOG Bull Put Spreads On Today's Pullback

7/30/12
Google (GOOG) broke through resistance at ~620 last week.  Today it got as high as 642 before pulling back.  Using this as an entry point for new bull put spreads.  Keeping the short strike below the 20- and 200-day moving averages.  Almost 3 full ATRs away.  Currently a 90% chance of achieving max profit.

Also note the OBV indicating money flowing heavily into the stock, and bullish convergence in the stochastics.

Trade:
Sold GOOG Aug 12 595/590 bull put spread for ($2.60-$2.10) x 100 x 5 spreads = $250 premium received

$FB Earnings Double Diagonal Papertrade

7/30/12

Here's an update to this trade after the weekly options expired.

The short put expired ITM by $1.29.
The long put is currently worth $1.60.
The short call expired worthless.
The long call is currently worthless.

So you could close the put side out for a credit of $0.31 right now.  Adding in the initial debit that would net a profit of $0.26 per lot.  Not terrible.

7/26/12
Paper trading this one since it's Facebook's (FB) first public earnings report.  Will update after they report.

Since I don't have a bias either way, I'll be doing one my favorite way to play earnings, a double diagonal similar to this AAPL trade.  This involves selling an OTM front-month (or week) put and call, and buying further OTM back-month put and calls.  For example:

Trade:
STO FB 27Jul(w) 25 Put for $0.65
BTO FB Aug 12 23 Put for $0.65
STO FB 27Jul(w) 30 Call for $0.60
BTO FB Aug 12 32 Call for $0.65
= net debit of $0.05 & $200 margin requirement per lot

Note that the margin requirement only remains for as long as you hold the short options.  You can see the P&L chart below.  Breakeven is at 24 and 32.

$AAPL Post-Earnings Trade Summary

As most of the free world knows, Apple (AAPL) reported their Q3 earnings after last night's close.  As everyone also knows, Apple missed by 10% (9.32 vs. 10.37).  That may seem like a lot.  But consider the fact that they brought in $35 billion (with a B) in 13 weeks.  This represents a 22.6% yr/yr increase.  Oh and did I mention they're paying a $10.60 dividend per year?  The biggest concern for me was their lower Q4 guidance of $7.65.  Needless to say, I'll be looking to buy some LEAPs soon.

Anyways, having said all that, I didn't have any ER plays in place last night.  While I did tweet one potential play (which turned out to be a loser), I had a few others in mind.  Two bullish and two bearish.  With Apple close at 575 today, let's see what the trades were and how they turned out.

Call Diagonal
The first bullish trade, and the one I tweeted, was a call diagonal.  Note that this trade would require $2000 of margin for each lot put on, but it would only need to be carried until the short strike was rebought or expired.

Trade
STO AAPL 27Jul(w) 635 Call for $3.50 credit
BTO AAPL Aug 12 655 Call for $3.90 debit
Net debit of $0.40 per lot

As of right now, the spread is worth $0.28 ($0.32-$0.04).  If I had this trade on, I could let the short call expire worthless at the end of the week and hold the long call as a lottery ticket.  Or I could close down the entire trade and only be down $0.12 per lot.  Not too bad.

Put Diagonal
The second trade was merely a bearish version of the previous one, a put diagonal.  Same margin requirements apply here.

Trade
STO AAPL 27Jul(w) 570 Put for $5.05 credit
BTO AAPL Aug 12 550 Put for $5.50 debit
Net debit of $0.45 per lot

As of right now, the spread is worth $2.77 ($4.75-$1.98).  If I had this trade on, I could:

• Take profits now
• Buy back the short put and let the long put run
• Let the entire trade ride in hopes of draining the remaining $1.98 out of the short put
• If you put on multiple lots, close down enough of the spreads to ensure you break even on the trade and let the rest run

Double Diagonal
Even if you were to combine both strategies to be relatively delta neutral going into earnings, you would still be up $2.20 per lot.  The trade would've even been profitable had the stock stayed relatively unchanged today.

The low cost to enter these diagonals is what makes them favorites of mine.  But they are not completely devoid of risk, hence the margin requirement.

Call Butterfly
The last two trades are simply call & put butterflies.  Starting with the call fly:

Trade
BTO AAPL 27Jul(w) 630 Call for $4.70 debit
STO 2x AAPL 27Jul(w) 640 Call for $5.40 credit
BTO AAPL 27Jul(w) 650 Call for $160 debit
Net debit of $0.90 per lot

Right now these would be pretty much worthless.  Your only choice would be to hold them for another few days as lottery tickets.

Put Butterfly
Now for the put fly:

Trade
BTO AAPL 27Jul(w) 560 Put for $3.15 debit
STO 2x AAPL 27Jul(w) 570 Put for $10.10 credit
BTO AAPL 27Jul(w) 580 Put for $800 debit
Net debit of $1.05 per lot

Right now this trade is worth $3.16 ($0.47-2*$1.98+$6.65).  Your options are:

• Close the trade down and take profits.
• Let the trade run until Friday's expiration.  Your max profit in this case is $10.
• Or sell half now and let the rest run.

Notice the difference in the shapes of the P/L graphs?  With the flys, you pay a larger upfront debit for a higher profit potential.  Also note that the wider you make the peak by widening the spread strikes, the higher the debit as well.  It is for this reason that I tend to avoid butterflies altogether.  I save the pin action for the bowling alley.

New Trade: $MLNX Bull Put Spreads After Yesterday's ER Beat

7/26/12
Big movement today to new all-time highs.  Buying these spreads back.  No sense in keeping them on for another 3+ weeks just to make $50.  $0.25 profit per lot in 1 week against $2500 margin is a 10% return or 143% annualized.

Trade:
BTC MLNX Aug 12 75/72.5 bull put spreads for ($0.23-$0.18) x 100 x 10 spreads = $50 paid vs. $300 received = $250 profit

7/19/12
Huge ER beat last night.  Stock has been on a tear since Aug '10.  Going to take a nibble here.  Staying under the mid-point of the gap as well as below the pre-ER high of ~77.  Slightly less than 3 ATRs away with an 83% chance of achieving max profit.  Also note that even though the price is currently well above the Bollinger band, the Stochastics are just coming out of oversold territory.

May entertain the idea of condoring these, but will certainly not be in a rush to do so.

Trade:
Sold MLNX Aug 12 75/72.5 bull put spreads for ($1.40-$1.10) x 100 x 10 spreads = $300 premium received

Rolled July $SPY Bear Call Spreads To Aug

8/13/12
Finally got a bit of a pullback today.  Closing down the put side and rolling out and up to Sept to cover the loss.

Trade:
BTC SPY Aug 12 140/43 bear call spreads for ($0.96-$0.06) x 100 x 11 spreads = $990 paid vs $440 received = $550 loss

8/7/12
Closed out the put side of these iron condors for $0.04.  Will try to redeploy one last time in August if we get a good pullback, though it's not looking likely.

Trade:
BTC SPY Aug 12 132/129 bull put spreads for ($0.07-$0.03) x 100 x 11 spreads = $44 paid vs $308 received = $264

8/2/12
Got a decent push down the last few days as well sell the news, as I pretty much expected.  Hasn't been panicky with $RUT, $VIX, and $QQQ not seeing much of a hit.  Taking this opportunity to move the call spreads up a strike by reselling the put spreads, albeit at higher strikes.  Keeping both sides out of the contracting Bollinger band

Net credit on this adjustment is $0.04 per lot.

Trade:
Sold SPY Aug 12 132/129 bull put spreads for ($0.53-$0.25) x 100 x 11 spreads = $308 premium received
BTC SPY Aug 12 139/141 bear call spreads for ($0.85-$0.21) x 100 x 11 spreads = $704 paid vs. $968 received = $264 profit
Sold SPY Aug 12 140/143 bear call spreads for ($0.53-$0.13) x 100 x 11 spreads = $440 premium received

7/30/12
Closing down the put side of these iron condors.  Will redeploy depending on what happens Wed/Thurs with the central bank meetings.

Trade:
BTC SPY Aug 12 128/125 bull put spreads for ($0.16-$0.10) x 100 x 10 spreads = $60 paid vs. $300 received = $240 profit

7/24/12
Adding the put side today after the weakness of the past two days.  Giving it as much room as possible based on the market conditions post from last night.  Under the Bollinger band, all the major moving averages, and 3.6 ATRs away.  Currently an 85% chance of achieving max profit.

If we get a decent bounce this week I can close them down for a quick profit and try to redeploy them.

Trade:
Sold SPY Aug 12 128/125 bull put spreads for ($0.75-$0.45) x 100 x 10 spreads = $300 premium received

7/18/12
As mentioned in this post, I rolled the call side of these iron condors out to August.  The market has just been too strong, even given the poor data that has been coming out.  Too much hope that QE3 will be announced is causing us to climb a wall.

Adding an extra lot to help pay for the roll.  Will add put spreads with a pullback.

Trade:
Sold SPY Aug 12 139/141 bear call spreads for ($1.32-$0.44) x 100 x 11 spreads = $968 premium received

Shorting $RUT via Aug Bear Call Spreads

7/23/12
Closing down the call side for 83% of max profit.  Not bad for less than 4 whole trading sessions.  Will look to redeploy them on further strength.

Trade:
BTC RUT Aug 12 850/855 bear call spreads for ($0.28-$0.18) x 100 x 5 lots = $50 paid vs. $300 received = $250 profit

7/23/12
Spain is in trouble, Greece may exit the euro, blah blah blah.  Nothing new has been said.  With that, I'm going to take a small nibble long on today's big drop.

Already had bear call spreads on in the Russell 2000 (RUT) from last week's surge higher.  Now, with the index right at the 50- and 200-day moving averages, I'm selling bull put spreads to make an iron condor.  Because of today's drop, volatility (and premiums) have spiked.  This allows me to stay far OTM.

Short strike is placed under all the moving averages, under the Bollinger band, under support at ~740.  Even nearly 5 ATRs away.  90% probability of achieving max profit.  Not bad for a potential 10% return expiring in 25 calendar days.

Trade:
Sold RUT Aug 12 715/710 bull put spreads for ($4.45-$3.95) x 100 x 5 lots = $250 received

7/18/12
First new position for August opex.
Continuing with my thesis that this bull run is losing steam, shorting the market here.  Staying above the highs of the year, to give it plenty of room to run in case I'm wrong.  Also using the resistance around 830 to help slow down more run up.  Short strike is 3.5 ATRs away.  Current probability of max profit is 83%.

Trade:
Sold RUT Aug 12 850/855 bear call spreads for ($2.57-$1.97) x 100 x 5 lots = $300 received