Parabolic Short in GPRO

[Steven Place]

There is no easy way to short this stock, but it will probably be a good short for the next few weeks. I’m not expecting an outright collapse, just some reversion.

Yes, it’s parabolic and it’s due to get knocked down. But putting on a ton of short gamma here is tough.

Here is the trade I like:

Buy to open GPRO Oct/Nov 75 put calendar @6.20 — HALF SIZE

If GPRO runs above 92.50 I will ADD to the trade with more calendars on a different strike.

I was looking at butterflies but the skew is really weird, and I think the November options will hold their premium well into a pullback as it has earnings up on deck.

[Steven Place]

This trade price has declined from 6.20 down to 5.80, i think 6 bucks is a good fill.

[Steven Place]

Because of the changes in the term structure of the options, the trade is profitable even though GPRO continues to rip higher.

As the stock is trading at 95 I am going to ADD to the trade:

Buy to open GPRO Oct/Nov 85 put calendar @8.10 or lower

This is my last planned add, and I’ll just hold it for a week or two as we head into Oct opex.

[Steven Place]

The trade worked out fine, but it wasn’t an absolute stunner.

You can try to hedge using something like a strangle buy but the best bet is going to just close or use a mental stop to avoid any big volatility going into next month.

The main issue as to why this didn’t work as well is because the back month options had a big decline in implied vols. The nov 75 put started at 125% and is currently sitting at 113%, so that’s where a good chunk of the potential gains went.

[Author]

Posts