- Underlying: EXPE
- View: Bullish but expecting near-term consolidation/pullback due to overbought RSI (82.94), followed by a resumption of the uptrend. Very high IV (64.56%, 93.63%ile) presents a selling opportunity for short-dated options.
- Strategy Type: Volatility/Time Spread (Theta Positive, Vega Mixed)
- Option Contract Portfolio:
- Sell 1 EXPE 24Apr2026 $275.00 Call @ ~$5.65 (mid)
- Buy 1 EXPE 01May2026 $275.00 Call @ ~$9.00 (mid)
- Max Gain & Loss: Max Gain is theoretically unlimited if stock is at $275 at short expiry, then rallies sharply. Max Loss is limited to the net debit paid (~$3.35).
- Initial Cost/Credit: Net Debit of ~$3.35 per spread.
- Greek Exposure (Simulated):
- Delta: ~0.15 (Slightly positive, benefits from eventual move higher)
- Theta: Positive (Earns from rapid time decay of the short 3-day call)
- Vega: Negative on the short leg, positive on the long leg. Net is slightly positive if near the strike, but sensitive to IV changes. Profits from IV crush in the short-term option post-earnings.
- Gamma: Low/Neutral (Long-dated long call has lower gamma than short-dated short call)
- Rho: Low positive
- Rationale: This strategy capitalizes on the extreme short-term IV (63.95% for 4/24 expiry) while maintaining longer-term bullish exposure. The short call sells expensive near-dated volatility and decays rapidly (high positive Theta). The bullish view is implemented via the longer-dated long call. The ideal scenario is for EXPE to stay near or just below $275 through the short expiry (4/24), allowing the short call to expire worthless, and then for the stock to rally, increasing the value of the long May 1st call. It balances positive Theta from the short leg with positive Vega on the long leg, mitigating overall Vega risk.
- Time Frame: Very Short-Term to Short-Term (3 days to 10 days).
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