Tony starts with a synthetic strangle on May 22nd as IVR climbs above 50%.
The stock rallies through the month, touching the short call spread. So we rolled up the untested side and collected additional premium.
BIDU’s price turned around after the first roll and breached our new short put strike in a week. So this time, we rolled down the call spread.
This whipsaw continued throughout the trade, but because of our rolling mechanics, we were able to close the trade out for basically a scratch. This is another prime example of duration over direction.