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FujiFilm - Cynata's First Licensee Of Its Lead Product CYP-001 In GvHD
The termssubmitted by pfeifer1982HC to CynataTherapeutics
According to the ASX announcement dated 17 September 2017 the terms are as follows:
• FujiFilm Holdings Corporation (FujiFilm) is granted an exclusive, worldwide license to develop and commercialise Cynata Therapeutics (Cynata) lead mesenchymal stem cell (MSC) product, CYP-001, for the prevention and treatment of GvHD in human so Cynata will receive US$3m cash from Fujifilm as an upfront fee. [note pfeifer1982HC: prompting a payment of US$10,000 to Wisconsin Alumni Research Foundation (WARF) as part of the license agreement with Cynata, see below]
o Fujifilm will bear responsibility for all costs of any further product development activities in relation to GvHD, along with responsibility for regulatory submissions and commercialisation.
o The non-dilutive upfront payment of US$3m will lengthen Cynata’s cash runway and support further investment in the upcoming Phase 2 trials in critical limb ischemia (“CLI”) and in osteoarthritis, along with other potential future clinical programs.
o Cynata will potentially receive additional future milestone payments from Fujifilm totalling up to US$43m based on successful attainment of certain industry standard product development and commercial milestones, the first of which is US$2m on completion of the first Phase 2 clinical trial in USA, UK or Japan. Subsequent milestones are completion of Phase 3 clinical trials (US$3m), submission of applications for regulatory approvals (US$12m), acceptance of geographic marketing authorisations and first sales (US$16m) and extending the indication (US$10m). [note pfeifer1982HC: of which 30% will likely be payable to Wisconsin Alumni Research Foundation (WARF) as part of the license agreement with Cynata, see below]
o Cynata will receive a 10% royalty on all future product sales if the licensed product is successfully commercialised in any country in which any licensed patents are granted or pending. o Having sub-licensed certain patent rights licensed-in from the Wisconsin Alumni Research Foundation (“WARF”) in respect of Cynata’s Cymerus™ technology to Fujifilm, Cynata will be required to make a one-off cash payment to WARF of US$10,000. Cynata is also required to pay WARF a mid-single digit percentage royalty on Fujifilm product sales and 30% of other amounts received from Fujifilm, including in respect of milestone payments.
o Both Fujifilm and Cynata have rights to terminate the license under certain conditions such as material breach and bankruptcy and failure to use reasonable efforts to achieve certain specified milestones. The agreement also includes limited mechanisms for potential royalty adjustment on termination of the WARF Head License, entry of a generic competitor or in-licensing third party enabling technology.
• Fujifilm and Cynata will enter into a separate agreement for the supply of product by Cynata for certain future product development activities at cost plus a moderate doubt digit manufacturing margin
• The endorsement by Fujifilm of Cynata’s Cymerus platform supports the continued commercialisation of Cynata’s cell therapeutic products in other indications, including CYP002 for critical limb ischemia (CLI) and CYP-004 for osteoarthritis
To facilitate Cynata’s ongoing partnering efforts certain amendments have been made to the license agreement between Cynata and WARF, particularly in relation to sub-sublicensable sub-licenses under the WARF patents and extending certain interim development milestones, whilst not changing the current milestone for obtaining approval from the U.S. Food and Drug Agency (or an equivalent foreign agency) in 2026.
[The last paragraph provided an explanation on the delay back in March, when the Licence Option was meant to be executed]
A deal that required a lot of patience from investors
In September 2016, FujiFilm and Cynata signed a Non-binding Development and Commercialisation Term Sheet. It anticipated that, under a definitive agreement, Cynata will grant FUJIFILM an option to an exclusive, worldwide licence to market and sell Cynata’s lead MSC product for prevention and treatment of graft-versus-host disease (GvHD), as well as (a) an option to negotiate a licence for manufacturing those products, and (b) certain rights to Cynata’s proprietary Cymerus™ technology for the prevention and treatment of other diseases.
FujiFilm even provided an earnings projection CYP-001 in GvHD back in their December 2016 presentation. Unfortunately, I can't get my hands on the that presentation anymore, as the FujiFilm website has been re-done since and my original link is now dead.
The much anticipated FujiFilm announcement in January 2017 caused a bit of disappointment amongst investors, as FujiFilm didn't sign a licence agreement, instead FujiFilm and Cynata signed a Development and Commercialisation Partnership Agreement aka a Licence Option Agreement to an exclusive, worldwide licence to market and sell Cynata’s lead MSC product, CYP-001, in the field of prevention and treatment of graft-versus-host disease (GvHD). As part of that, FujiFilm also took a A$3.97 million strategic equity stake in Cynata.
Over the next two years, FujiFilm wasn't shy of having its representatives talk to various newspapers. It was a bit surreal, as it sounded like they have already taken up the license, when in fact it was "only" an option to take it up.
January 2017, Junji Okada, Director, Corporate VP & GM of Corporate Planning Headquarters and Pharmaceuticals Products Divs., FujiFilm Holdings Corporation, in an interview published in "Weekly Diamond"'s January Edition with the title "FujiFilm pushing into regenerative medical business" (sorry, my links are dead but against a few that article is still available via their website):
Get a challenge right to become a main player
We have elemental technologies cultivated with film. In the field of regenerative medicine, there are no companies in the world who have established a firm position yet. As a pharmaceutical manufacturer, we are "chase after". Even if imitating after the major and keeping up, profitability is not good and efficiency is bad. If you go out early in areas where no one is doing, you will gain the challenge of becoming a main player.
We are steadily striking the foundation necessary for regenerative medicine . Mostly it is acquisition. We are holding down all three major elements (cell, medium, scaffold) in regenerative medicine. I think that business can be deployed comprehensively just by regenerative medicine. Then you get inquiries from various places and information comes in, so you can further lead the industry.
- I am aiming for the first domestic company trial in transplant medical treatment using iPS cells in 19 years.
It is the impression that we are finally getting into the stage of business. Since I do it, I want to honor the first domestic. There is also a pride that it is a top runner in the field of regenerative medicine.
Earn "one-third" in healthcare centering on regenerative medicine
- The policy of M & A in the future.
Whether there is synergy or not is not important, but it is important. We will continue to focus on focusing areas such as image diagnosis and regenerative medicine.
- Healthcare is currently about 20% to Fujifilm HD sales. If regenerative medicine is going to grow steadily in the future, Fujifilm may be called a "medical company" day.
Other business will grow as well (laugh). I will not say how many years, but I will aim at healthcare to account for about one-third of HD sales."
To avoid altering any facts, I did not make any changes to the spelling, wording etc. What you see is exactly how it got translated using Google Translate.
In September and October 2018 FujiFilm talked to Nikkei Asia, leading to two separate articles to then be published:
Still in October 2018, an article with the title iPS-derived mesenchymal stem cells, next year at the prospect Japan-US clinical trial Fujifilm, etc. was published on nikkan.co.jp stating the following:
"The MSC used in Phase 2 trials is supplied from the United States, but in the future, it is also considering production at Japan Tissue Engineering (J-TEC) of the Fujifilm Group."
Also, in October during an FCDI presentation at The Cell & Gene Meeting on the Mesa, Nick Manuso, Senior Vice President FujiFilm Cellular Dynamics, Strategy and Business Development, had the following remarks on his presentation slides:
"Leading the field of breakthrough cellular therapies using induced pluripotent stem cells (iPSCs)
- Phase II - Graft Versus Host Disease with Cynata Therapeutics [...]"
together with a comment of Cynata's CEO Ross Macdonald at the top right corner (1:10 mins). To watch the presentation on YouTube, click here.
Ken-ichiro Hata, Deputy Director BioScience & Technology Development Center, Fujifilm Corporation Japan Tissue Engineering Co., Ltd. (J - TEC), Representative Director and President, for example in December 2018 said the following:
"There are many walls that must be overcome in order to make organs from iPS cells, but research and development of cell therapy using iPS cells is progressing steadily. CDI also supplies iPS cells to the Australian regenerative medical venture in the Fujifilm Group and contributes to the world's first iPS cell clinical trial in the UK. This is to inject a mesenchymal stem cell (* 3) made from iPS cells and treat it for patients with complications that occur after leukemia bone marrow transplantation. And Fujifilm will do the same clinical trial in Japan, as a company in 2019 for the first time. If approval from the country is obtained, I would like to sell it to medical institutions as a formulation."
Also in December 2018, FujiFilm was quoted saying:
Fujifilm announced on Wednesday that it will establish a facility for production of artificial pluripotent stem cells (iPS cells) for treatment in Wisconsin State, USA. Investment amount is about 2.5 billion yen. It is intended to accelerate the development of regenerative medicine products using iPS cells and to operate it in FY 2019.
Fujifilm plans to apply for a clinical trial (clinical trial) for obtaining approval of transplantation medicine by iPS cells from the country in Japan during FY 2018. We plan to conduct clinical trials in the United States.
A US subsidiary is set up as a production facility, and introduction of cultivation equipment and so on corresponding to the quality control standards of US authorities. Rapidly develop regenerative medical products in the fields of Parkinson's disease, heart disease, cancer by iPS cells produced. We also assume production contracts from other companies.
In January 2019 FujiFilm mentioned Cynata and its Phase 1 clinical trial in GvHD a total on a total of five pages across their presentation with the title Pharmaceuticals, Bio CDMO and Regenerative Medicine Business:
Source: FujiFilm Holdings Investor Presentation 15 January 2019
Source: FujiFilm Holdings Investor Presentation 15 January 2019
Source: FujiFilm Holdings Investor Presentation 15 January 2019
Source: FujiFilm Holdings Investor Presentation 15 January 2019
Source: FujiFilm Holdings Investor Presentation 15 January 2019
Cynata's unofficial anthem among investors at the time was Beyonce's "If you like it then you should have put a ring on it"...
Whilst the licence option agreement is with the parent company FujiFilm Holdings, we still had the existing partnership with FCDI, who also mentioned us when announcing an investment of US$21 million to open a new cGMP-compliant*1 production facility with the goal of industrializing iPS cell manufacturing for regenerative medicine therapies.
FujiFilm decided to also advertise the world's first clinical trial using iPS cells a few times in Science Magazine a few times, here is a sample of the full page advertising from March 2019:
Source: Science Magazine Digital
After the initial "deadline" for the Licence Option Agreement to run out in March 2019 and Doomsday Preppers start hording food and toilet paper preparing for the End of the World as we know it, Cynata extended the Option Agreement (see ASX announcement here and here) to then finally execute it on 17 September 2019 with the terms outlined above (praise the Lord...).
A few months before, 4 July 2019 to be exact, FujiFilm released its latest "NEVER STOP" campaign commercial. At 1:56 min you can see the Cynata world-first reference (English translation at the very bottom).
In October 2020 FCDI updated its website. Although FCDI is not the licensee of our technology and therefore CYP-001 does not (currently) form part of FCDI's own pipeline, Cynata now gets a mention there under partnerships:
Source: FujiFilm Cellular Dynamics
Background on CDI
FujiFilm has entered this space with a BANG the year before (30 March 2015), by announcing to acquire Cellular Dynamics International, Inc.'s (CDI) - a leading developer and manufacturer of fully functioning human cells in industrial quantities to precise specifications - issued and outstanding shares of common stock for US$16.5 per share or approximately US$307 million (on a fully diluted basis). The offer represented a premium of 108% to CDI's closing price on 27 March 2015.
The Story Behind Cellular Dynamics’ Sale to Fujifilm is one of a leader in a newly establised space (more info here), founded in 2004 by University of Wisconsin-Madison professor and stem cell pioneer James Thomson. that has built a steady business manufacturing living human cells in massive quantities. The technology is based on induced pluripotent stem cells: taking tissue from donors, CDI’s scientists coax the cells back to an embryonic-like state, then direct them to turn into desired cell types such as neurons and heart, liver, and retinal cells. The technology has applications in drug toxicity testing, cell banking, and the development of experimental cell-based therapies that could in theory heal or regrow body parts.
Despite showing increasing revenue, CDI was still in the red. With the pressure of having to repay a credit facility mounting and having all other options already explored, it was FujiFilm's opportunity to step in and up with what was deemed a more or less satisfactory offer given the current circumstances.
The acquisition was finalised in May 2015.
The perfect partner
Fujifilm, founded in 1934, has transformed itself into a company covering prevention, diagnosis, and treatment. As a comprehensive healthcare company, Fujifilm therefore saw the revolutionary treatments that regenerative medicine could offer as a key part of its mission.
An important factor in Fujifilm’s decision to enter this field was the company’s extensive portfolio of technologies, many of which seemed applicable to regenerative medicine. One example is photographic film, which was Fujifilm’s core product at the time of its foundation and for many years thereafter. Film is a precision chemical product that integrates color-producing reagents and nearly 100 different chemical compounds in total in an ultra-thin layer just 20 micrometers thick. To produce photographic film requires technologies that control many different chemical reactions on a microscopic scale. By coincidence, 20 micrometers is about the diameter of a single liver cell. Fujifilm’s technologies for controlling microenvironments appeared to have extraordinary potential in the world of regenerative medicine.
Fujifilm also possessed a wealth of knowledge about collagen, a protein that is one of the main components of photographic film. In regenerative medicine, collagen plays a critical role in growing cells and restoring tissues. To fulfill demand for the highest quality photographic film possible, Fujifilm had refined a wide range of collagen-based technologies, including methods for processing and controlling the protein, which is extremely sensitive to such environmental parameters such as moisture and temperature. Fujifilm saw a clear opportunity to leverage its collagen technologies in this exciting new field.
After its acquisition of Cynata's sister company CDI back in 2015, FujiFilm is leveraging world-leading iPSC development and production technologies to create an iPSC bank that comprises iPSCs for use in researching various diseases and conditions, which put them in a unique position to evaluate Cynata's Cymerus™ manufacturing platform as it utilises the very same iPSCs manufactured by their (now) subsidiary CDI through a licensing agreement with Cynata back in September 2014.
Having access to information that is not in the public domain, hence also not available to other companies in this space. Aiming to be recognized worldwide as a leader in regenerative medicine, Fujifilm will continue to move forward with this extremely important challenge and given that they are considering iPSCs to be the key to regenerative medicine, it came as no surprise that FujiFilm was the first one to make a move to become our licensee (CYP-001 in GvHD) in addition to also being the supplier of the iPSC starting material for Cynata's Cymerus™ MSC manufacturing platform. MSCs are among the most frequently used cell type for regenerative medicine with currently over 1,000 clinical trials initiated around the world for a wide range of diseases.
Just like Cynata's approach of developing a therapeutic platform in reverse (see here), FujiFilm positioned itself over the years as a "self-contained" leader in the regenerative medicine sector in general and a pioneer in the iPSC sector in particular by building on their existing photo technology, expanding and continuously transforming it by acquiring factories and know-how needed for any expected future needs, incorporate them in your existing business structure to then leverage on their expertise.
FUJIFILM Holdings Corporation has 317 consolidated subsidiaries as of March 31, 2020.
I'm not going to list all 317 consolidated subsidiaries now, don't worry. But lets just have a look at a few of them:
That is vertical integration par excellence if you ask me!
Many investors, especially the ones NOT invested in Cynata might say the terms are not that exciting, being able to call a well-connected conglomerate such as FujiFilm with a Market Capital of US$20 billion your partner, has many perks including but not limited to having access to this vertically integrated, in-house regenerative medicine behemoth which also includes a advertising/marketing and distribution machinery "on steroids", that are worth multiples of the actual figures of the Licence Agreement currently in place. Remember, FujiFilm had a vital advantage over other companies in this space due to its unique position as mentioned above.
Although it might take a while for such a heavyweight to move, according to Newton's First Law of Motion, once it moves, it is also more difficult for it to stop.
I'm looking forward to what the future holds!
/r/thetagang needs a FAQ/wiki so I wrote one
What is this place? What is theta gang?/thetagang is a sub for traders who are interested in selling options.
An option? What's that?Options are derivative financial instruments, which means they derive their value from an underlying, such a stock or commodity. Options are a contract in which the buyer has the right but not the obligation to buy or sell the underlying at an agreed upon price on or by a certain date.
All options have an expiration date after which they stop trading. Because they eventually expire they are also wasting assets, which means they lose extrinsic value as time passes. This is where theta gang comes in.
Uh huh... I don't really understand anything you just said, but I'm curious, why would anyone want to trade options?There are two main reason why someone would want to trade options: hedging and speculation.
Consider an investor who buys a stock but is worried about a price decline. They can purchase options (put contracts) to protect themselves if the stock's price were to fall. And if they think a stock is overvalued and want to short it, they can purchase options (call contracts) to protect them should the price rise. In both cases the investor is hedging their trade because they are trying to profit from the stock and not the options.
The other reason is speculation. Options allow someone to make a directional bet on a stock without buying or selling the actual stock (the underlying).
Why would someone bother with trading options when they can just trade the underlying?Leverage. Equity option contracts are standardized and each contract (also called a "lot") is for 100 shares of the underlying. It's a way to have exposure to the underlying without needing the capital to buy or sell 100 shares for each contract. In other words a smaller amount of money controls a higher valued asset.
Options allow a buyer to make amazing profits. If a trade goes incredibly well, they could see profits anywhere from 100% to 10,000% (a few are even lucky enough to get 100,000%). And despite being leveraged the most amount of money they can lose is what they paid to buy the options. This is known as the premium and is paid to the seller.
The option buyer's losses are limited to the premium and their profits are potentially unlimited, whereas for the seller the losses are potentially unlimited and the profits are limited to the premium.
WHAT?!? Why on Earth would anyone sell options with a payout like that? Especially when you could become rich so easily?If only it were that simple.
The reality is most options expire worthless. If you buy options not only do you have to get the directional bet right, but you have to get the timing right as well.
If you buy a stock and it goes nowhere for a while and then suddenly takes off in price, you make money from this trade. Not necessarily for options. They eventually expire and if the stock soars after the option expires, tough luck. You get nothing and lose all your money.
All of the incredible gains you see with options happen because the underlying made a huge move in a relatively short period. In other words, you have to take an immense amount of risk to make a boatload of money. It's far more likely that the options expire worthless and you lose everything.
And if getting the direction and timing right wasn't hard enough, it gets even worse. Options are priced to lose. Recall that options are a wasting asset. An option slowly loses extrinsic value as time passes. This is referred to as theta decay. If the underlying doesn't move in price fast enough (in the right direction, of course) to offset the loss in theta, you lose money.
This leads to an interesting outcome: an options buyer can be right and still lose money, and an options seller can be wrong and still make money.
WHAT?!?! How can someone be wrong in a trade and still make money?The value an option has can be split into two parts: intrinsic and extrinsic.
Remember how options have an agreed upon price to trade the underlying at? That's called the strike price. As an example, if a call option has a strike of $10, and the stock is trading at $10.50, the option has $0.50 of intrinsic value.
The extrinsic value is also known as the time value of an option. It's the risk premium the seller receives for taking on the risk of selling options. Using the same example as earlier, if the option is trading for $1.10, the extrinsic value is $0.60.
The intrinsic and extrinsic value combined are the option's premium, and the seller receives this premium in full. So if at the date of the option's expiration the stock is trading at $10.70, the option is worth $0.70. The seller's $0.40 profit is the buyer's loss. And if the underlying is at $10 or less on expiration? It expires worthless and the buyer loses 100%.
This sounds too good to be true. If most options expire worthless why doesn't everyone sell options and get rich?If only it were that simple.
It's true options are priced to lose and that most expire worthless. What is a wasting asset for the buyer is a wasting liability for the seller. However, it's still a liability and sometimes that liability can end up being a real loser.
It's not just a matter of a win/loss ratio. The magnitude of the wins vs. losses must be considered. The most an option seller can make is the premium, but they can lose far more than that if the underlying moves against them. It's possible for a seller's loss to be multiples of the premium they received for selling an option. If an option seller is really unfortunate, they can experience a loss on a single trade that wipes out months of profits.
There's no easy money to be made trading options.
The GreeksLet's pretend that I know what options are. How do the Greeks apply to option sellers?
DeltaDelta has multiple meanings:
- How much the option's price changes relative to a change in the underlying's price.
- The option's equivalent of a position in the underlying (a directional bet).
- The probability the option expires in-the-money.
Definition #3 is an approximation. Many option sellers like to sell out-of-the-money options with a delta of 0.30, which means they have an approximately 30% chance of expiring ITM.
GammaDelta is not a constant. An option's delta changes as the underlying's price changes. Gamma measures how much delta changes relative to a change in the underlying's price. Option buyers have positive gamma, whereas sellers have negative gamma.
Long (positive) gamma works in favor of the buyer. As the underlying moves further ITM, gamma increases delta and profits accelerate. As the underlying moves further out-of-the-money, gamma decreases delta and losses decelerate.
Short (negative) gamma works against the seller. As the underlying moves further ITM, gamma increases delta and losses accelerate. As the underlying moves further OTM, gamma decreases delta and profits decelerate.
Gamma is bad news for sellers. Theta gang has always been at war with gamma gang. Gamma is also the reason that delta hedging is so difficult when it comes to being delta neutral.
ThetaBeloved theta. The namesake of /thetagang. It's why we're here all here and why you're reading this.
Theta represents the time value of an option. It's the extrinsic value of an option, and as each day ticks away the time value decreases a little. That amount is determined by theta. Theta decay is nonlinear and accelerates as expiration approaches.
The goal of an option seller is to profit from collecting theta. One could sell an option that's ITM and profit from the underlying moving OTM, but that's not a theta bet, that's a directional bet. ITM options also have less time value than at-the-money options. ATM options have the most time value and so the most theta to collect, but are at a greater risk of expiring ITM compared to OTM options.
The more days to expiration an option has the slower the theta decay. 30-45 DTE is a very popular period to sell. Others prefer weeklies.
VegaVega measures how much an option's price changes relative to a change in implied volatility.
The IV of an option is the market's estimate of how volatile the underlying will be in the future. The higher the IV the greater the time value of an option, which means options with higher IVs are more expensive.
Option buyers want to buy when volatility is low because options are cheaper. Sellers want to sell when volatility is high because options are more expensive.
The best time to sell options is during the gut-wrenching periods when no one wants to sell because volatility is so high (such as the March 2020 crash). Options become extremely expensive and there are juicy premiums to collect. Look for large spikes in IV.
VommaVomma (or volga) is a much lesser known Greek. It measures how much an option's vega changes as the implied volatility changes.
Out-of-the-money options have the most vomma. This detail will be discussed later in a horror story of option selling gone wrong.
RhoRho measures how much an option's price changes as interest rate changes.
No one cares about rho anymore thanks to interest rates being stuck at rock bottom for over a decade.
What are some basic details about volatility that are important to know?Both option buyers and sellers care about volatility (at least they should). Buyers want to purchase when IV is low and sellers want to sell when IV is high.
An option's IV in isolation does not actually tell you if IV is high or low. It must be compared to the historical IV for that option. Two popular methods are IV rank and IV percentile.
For example, if options on XYZ have an IV of 35% and options on ABC have an IV of 45%, on the surface ABC has higher IV. But if XYZ has an IV rank of 75% and ABC only 40%, XYZ's IV is actually higher relative to its historical IV and may be better suited for selling.
There are different ways of measuring volatility and it's important to not mix them up:
- Historical volatility: This is how volatile the underlying actually was. It doesn't tell you anything about the future volatility of the underlying. This is also called realized volatility.
- Implied volatility: This is the market's prediction of how volatile the underlying will be in the future. It could be greater than, less than, or about the same as the historical volatility. It's only an estimate and can easily be wrong.
- Historical implied volatility: This is simply the IV of an option over time. When you're looking at historical data and overlay HV with HIV, you can see how right or wrong the market was estimating future volatility.
- Implied volatility rank: IV rank is calculated over a period of 52 weeks. The formula is 100 * (current IV - 52 week low IV) / (52 week high IV - 52 week low IV).
- Implied volatility percentile: This tells you the percentage of time HIV has been lower than current IV. The formula is # of days with lower IV than today / # of trading days in a year (252 is normally used).
What is volatility skew?To understand what volatility skew is we have to go back to the 1970s.
You may have heard of a theoretical options pricing model called the Black-Scholes or Black-Scholes-Merton model. This model was published in 1973 and became very popular. It was widely adopted in the options market.
The original Black-Scholes model predicts that the IV curve is flat among the various strike prices with the same expiration. It didn't matter if the strike price was OTM, ATM, or ITM, they all had the same IV.
IV stayed this way until the stock market crash of 1987, where the DJIA dropped 22.6% in a single day. This single event changed the options market forever. The IV curve was no longer flat but instead demonstrated a volatility smile (conceptual graph). Strike prices further from ATM started trading at higher IVs.
The crash was a gut punch to investors that taught them extreme moves in markets were more common than you would expect, and options started being priced accordingly. But the volatility smile is not symmetrical, it's actually skewed.
OTM puts have a higher IV than OTM calls. This is due to markets falling much faster than they rise (they take the escalator up and the elevator down). This causes more demand for OTM puts to protect long portfolio positions. Most investors are long the market, and some will sell covered calls which increases the supply for OTM calls.
Note that this is true for equity markets. Commodity markets behave differently. Normally there is a floor in commodity prices (although for commodities with storage or delivery constraints, as we learned in April 2020 they can dip below zero) and IV is higher for OTM calls compared to puts, because commodities can suddenly spike in price due to supply side shocks.
In equity markets IV is inversely correlated with price, that is, IV rises when prices fall (reverse or negative skew). This isn't necessarily true for commodities where rising prices can mean an increase in IV (forward or positive skew).
The story of James "Rogue Wave" Cordier of OptionSellers.com: A tragic lesson in how not to sell optionsJames Cordier is a former money manager who has the dubious honor of not only losing all the money of his clients by selling options, but even leaving them with a debt because the losses were so staggering.
James was a proponent of selling options and had even written a book about it. He had a now defunct website, OptionSellers.com, which targeted individuals with a high net worth. His strategy was simple: he was selling naked options on crude oil and natural gas. For years he made he made his clients plenty of money. Things were great. Until they weren't... and the results were catastrophic. His clients lost everything and even owed money to their broker, INTL FCStone. Where did James go so wrong?
James was selling naked strangles on natural gas and crude oil. In November 2018, both markets moved against him, but the real losses came from his naked natgas calls. He sent an email with the subject line "Catastrophic Loss Event" to his clients on November 15th, dropping the bombshell that not only was all their money gone, but they may be facing a negative balance.
If you look at a chart of natgas you can see why his accounts blew up. Natgas experienced a huge spike in November and his broker liquidated their positions at an absolutely massive loss.
What mistakes did he make and what can we learn from them?
1. Picking up pennies in front of a steamroller
Part of his strategy involved selling deep OTM naked calls on natgas (call leg of short strangles). Deep OTM options typically don't sell for very much, so in order to collect more money you sell a bunch of them to make it worth the trade.
This is a terrible idea and no one should ever sell a bunch of deep OTM naked options. It can work great for years, until one day it blows up your account. In order to collect a decent premium you have to overleverage yourself. This is extremely risky and you will eventually experience a major loss one day. The odds are not in your favor.
The underlying does not even need to cross the strike price for you to lose money. The underlying's price simply needs to move significantly closer to the strike price and you'll be deep in the red. This is made even worse if volatility spikes, which increases the option's price and your losses (discussed in detail in the next point).
Notice what happened the following months: natgas prices crashed back to what they were before the spike. Had James not overleveraged his positions, he could've ridden the losses out to a profit. In fact, all those options probably would've expired worthless.
There is another reason not to sell deep OTM naked options. Imagine you're a speculator with a small account (e.g., /wallstreetbets). They want to trade but they can't afford to buy ATM or slightly OTM options, so what do they do? Buy deep OTM options, bidding the price up. When a market moves big and the small-time speculators want to trade it, all they can afford are the cheap options, which are deep OTM. This is bad news when you're short them.
2. Not understanding the relationship between price and volatility
Remember how for commodities volatility can be positively correlated with price? Natgas is one of them, and when the price spiked so did volatility. James did not understand the consequences of this.
When you are short options, you have negative vega. As the price spiked so did volatility, and the short vega position piled up his losses in addition to being short delta.
But vega is not a constant. We finally get to discuss vomma now. Vomma measures how much an option's vega changes as IV changes. In other words, as IV increases, so does vega thanks to vomma. When you're short vega and vomma, this is bad news.
Remember which options have the highest vomma? That's right, OTM. So as IV increased, not only did his losses increase due to rising IV, but vega itself started increasing thanks to vomma, further accelerating his losses.
He got wrecked four different ways: being on the wrong side of delta, gamma adding to delta, being on the wrong side of vega, and vomma adding to vega.
3. A total absence of risk management
Risk management is essential when it comes to trading, and selling options is no exception. Selling naked options can expose you to extreme risks, and to ignore it is simply reckless. It's more important to avoid a huge loss than to make a huge profit, because all it takes is one big loss on a trade to make recovering from it impossible, ending your career in theta gang.
Tail risk is a very real concern in trading, and those "rare" events actually happen more frequently than traders expect (fat tails). Look at a price chart of natgas over the past twenty years. You can see random spikes sprinkled throughout the chart. James never stopped to think, what would happen to the value of my positions if natgas were to suddenly spike in price, which I know has happened in the past, and will happen again someday? How could I protect myself against this scenario?
It's pretty obvious that if a one-day or even few weeks move manages to blow up your account and completely undo years of profits, you have zero risk management in place. This stems from not understanding how the natgas market works, and trading it with no regard to risk.
Selling naked calls on natgas is a terrible strategy because natgas can have sudden price spikes, and IV will spike with it. A much better strategy would've been selling a call backspread. You sell an ATM or OTM call, and you buy two or more calls that are further OTM. That way if natgas did spike your losses are limited, and you might even turn a profit on the spike.
Spend the time necessary to learn about the underlying. And don't neglect risk management. If you're going to sell options, you absolutely must understand how the underlying behaves and its relationship with volatility, otherwise you cannot have proper risk controls in place.
What are some popular option selling strategies?The most popular would be covered calls and cash secured puts.
CCs involve selling OTM calls on a stock you own. The short call position is covered by owning the underlying, hence the name (opposite of naked). A single equity options contract is for 100 shares, so an investor sells one call for every 100 shares they own. If the stock price rises beyond the strike price, the seller keeps the premium, but the options will get exercised and the shares called away. They sell them at the strike price, missing out on the extra gains beyond the strike. The seller still makes money on the sale, just not as much as they would have if they sold them at market price. If the stock grinds sideways, the options expire worthless. And if the stock falls in price, the options will also expire worthless, but the seller will lose money on their long stock position. Chances are they will lose more money than the premium they collected from selling the CCs.
A CSP is a naked put that's sold either ATM or OTM with enough money in the account to cover the stock purchase if the option gets exercised. If the stock grinds sideways or rises in price, the puts expire worthless. However, if the stock falls in price the options will get exercised, and the seller will be forced to buy the stock from the options buyer at the strike price, most likely suffering a loss greater than the premium they received.
A CC has the same downside risk as a naked put. If the stock declines in either scenario the investor risks losing far more money than the premium received. If you are comfortable with the risk of selling CCs you should also be comfortable with the risk of selling CSPs. However, you can lose more money in the CSP scenario if you buy back the put before expiration if IV rises enough, vs. holding it to expiration.
Selling a CSP always means selling a naked put. It is not a covered put because you have cash to buy the stock. Whether or not you have enough money in the account to buy the shares at the strike price is irrelevant. A CP means you are also short the underlying, hence it is covered. It's the same idea as a CC, except it has unlimited risk due to there being no theoretical limit the price the stock could increase to, whereas a long stock position can't go below zero (not a guarantee for certain commodities).
Other common strategies are wheeling and volatility crush.
The wheel is similar to selling a strangle but not quite the same. You sell CSPs on a stock you wouldn't be opposed to owning, and in the unfortunate case of being assigned, you then sell CCs to recoup your losses. If you've been selling CSPs for a while you may still be net up when assigned, but if the stock craters you're looking at a significant loss. You hope the stock slowly climbs while selling CCs, but if the stock suddenly spikes your shares may get called away and you miss out on recovering your losses on the upside.
There are variations to the wheel before being assigned. A jade lizard is selling an OTM call spread where the max loss on it is less than the premium collected from selling the CSP. Ideally the stock will trade in between the short put and call strikes and all options expire worthless. You can also trade a ratio put spread instead of just a put.
The volatility crush trade is a delta neutral strategy. It profits not from a change in the underlying's price, but from IV decreasing. It's very popular right before earnings. IV on a stock can spike just before an earnings report is released due to uncertainty (vol rush). Unless you have insider information, you can only guess what the results will be. After the report is released, IV crashes because the uncertainty is gone (vol crush). Everyone knows the results.
You find a company who's about to report earnings and the IV on their options has spiked. You then sell expensive ATM calls, and because ATM options have a delta of about 0.5 you buy 50 shares for every call sold. Your net delta is zero (delta neutral) because you've offset the negative delta from the short call position by buying shares which gives you positive delta. By hedging your delta you've eliminated directional risk. After earnings are released, IV craters and you buy back the options at a cheaper price and sell your shares.
In theory this sounds like an easy way to profit. In reality it's not due to our archnemesis gamma gang. Delta is not a constant and as the underlying's price changes so does delta. If the stock soars after earnings, the call option's delta will increase and your delta exposure will become increasingly negative as the stock rises in price. If the stock tanks, your delta exposure will become increasing positive as the stock falls in price. In either scenario you start losing money from your changing delta position, and the amount you make from IV decreasing must be greater, otherwise you lose money overall on the trade.
You can try to nudge your delta in a direction to hedge against this. If you're bullish on the stock you can overweight your exposure and buy more shares so that you have a positive delta. If you're bearish you can underweight your exposure and buy fewer shares so that you have a negative delta. If you're correct, good news for you. But if you're wrong, you lose more money than if you were delta neutral.
Then you have a plethora of spread trades, such as vertical, horizontal, diagonal, and ratio, some with creative names. There are far too many to cover in this guide in detail. All of them have at least two legs (each leg is a component of the options trade) to the trade where you are both long and short options.
How does assignment work?There are two main types of option styles: European and American. European options can be exercised only on the expiration date. American options can be exercised at any time before (and of course on) the expiration date.
When an option is exercised, the Options Clearing Corporation randomly selects a member firm that is short the option, and the firm uses an exchange-approved method to select a customer that is short the option. The OCC processes all assignments after market close, and because it processes closing buys before assignments, there is no possibility of assignment if you buy back your short position during the day's trading hours.
An option buyer can exercise their option even if it makes no sense financially and they would lose money. It's their right to do so and you are obligated to fulfill it if assigned. Even if an option expires worthless it can still be exercised. The buyer may be speculating that major news gets released after hours (some options trade until 4:15 PM ET) and when the market opens again the underlying has moved favorably and their gamble paid off. To avoid risking this scenario simply close out the day of expiration.
Only about 7% of options get exercised and the majority occur close to expiration. This is because options still have extrinsic value before they expire, and once exercised the buyer loses the extrinsic value. It makes more sense for them to sell it.
Be aware that if you are assigned you may see a large negative balance or buying power in your account. This may be because the underlying stock trade has not settled yet. It normally takes T + 2 (trade date plus two business days) to settle. Settlement means an exchange of money and securities. Payment is made from the buyer's account to the seller's, and the seller's securities are transferred to the buyer's account. The other reason would be the value of the new stock position. If you have a small account and are now long or short hundreds or thousands of shares, the market value could far exceed the cash value of your account. You'll be forced to close out by your broker. Once either the trade settles or you close out the large negative balance disappears.
What are some scenarios I can expect assignment, especially early assignment?If an option expires ITM you can expect it to be exercised. Unless instructed otherwise, the OCC will automatically exercise any option that expires at least $0.01 ITM.
Deep ITM options about to expire are candidates for being exercised. They start behaving like the stock itself since there's zero real chance of them not expiring ITM. They have no extrinsic value and in fact may trade slightly below their intrinsic value (at a discount to parity, parity being the intrinsic value). This is because no one really has any incentive to trade the option anymore, especially when they could trade the stock instead, which has more liquidity. A market maker would agree to buy it at a discount and at the same time open a position on the stock and exercise the option, profiting from the discount arbitrage. For example, XYZ is trading at $50, and a 45 call is trading at $4.95. A MM buys the call while simultaneously shorting 100 shares, exercises the option and collects the risk-free profit of $0.05:
(50 - 45) - 4.95 = 0.05
Selling spreads is a very common theta gang strategy, so let's examine the case of early assignment and assignment after expiration.
You sold a 50/55 vertical call spread for $1.40 on XYZ that's trading at $53. It expires in a few days but for whatever reason the buyer decided to exercise early and you were assigned. You're now short 100 shares at $50 while still long the 55 call. Because vertical spreads are risk defined trades, this isn't a big deal. You're still long the 55 call, so you have upside protection which will cap your losses at $360 (500-140) should the stock move past $55. You could take the risk of riding it out and hoping the stock falls or you can close out the trade, accept your losses and move on.
The other scenario is assignment at expiration. This is actually the more dangerous case of the two. Imagine the same circumstances except it's expiration day (Friday). The stock closes at $53, the short call expires ITM, and the long call expires worthless. The short call is exercised and you're assigned. Because you no longer have upside protection anymore, this is not a defined risk trade but instead undefined. You're short the stock over the weekend and no one knows what the opening price will be Monday. If major news gets published Sunday the stock could soar. Or it could crater. This is not the kind of risk theta gang likes to take. You should always close out of your short options on the day of expiration if there's a real chance of them expiring ITM, especially when your long options will expire OTM. Otherwise at that point you're now delta gang.
If both the short and long options are ITM at expiration, the most you can lose is the spread minus the premium received. You might as well close out to avoid the hassle of being assigned and exercising your long options.
The specter of early assignment gets raised quite a bit around the time dividends are paid. The scenarios are different for calls and puts.
You may have read that if the time value of an ITM call is less than the dividend, the call is at risk of being exercised early. This is not because the investor will make money from exercising. Let's illustrate with an example. To be paid a dividend you must own the stock before the ex-dividend date. Call owners do not receive dividends. If you buy the shares on or after the ex-date you won't be paid the dividend, so the call owner will exercise it the day before the ex-date.
XYZ is trading at $50, and a 45 call is trading for $5.25. It's paying a $1 dividend and the ex-date is tomorrow so the buyer exercises the call. They're now long XYZ at $45. The ex-date arrives, the dividend is paid, and the stock is discounted by the amount of the dividend, and is trading at $49. They sell and wind up losing $0.25. What happened? Simply add up the numbers:
(49 - 45) + 1 - 5.25 = -0.25
Whenever you exercise an option you throw away the extrinsic value. It doesn't matter how large the dividend is, since the stock's price is discounted by it on the ex-date. This is a losing trade. The only way the trade could make money is if the stock isn't discounted by the full amount. Sometimes this happens (other news gets published) but this is nothing more than a gamble if attempted. It's not an arbitrage opportunity.
In fact, as the ex-date approaches you may see ITM call options trading at parity. This occurs because the stock's price will be discounted by the dividend, and so the option's intrinsic value will decrease as well. Buyers don't want to be left holding it going into the ex-date because they're going to lose money, so the selling pressure drives down the option's price to parity. It may even trade at a discount, presenting the earlier discount arbitrage opportunity.
If the corresponding put with the same strike price as the call is trading for a price less than the dividend minus interest, then the call would be exercised and you would be assigned early. The trader long the call would exercise their call and buy the put, since this has the effect of recreating the same trade, except they receive the dividend.
It's actually puts that offer a dividend arbitrage opportunity if the time value is less than the dividend. Using the example from earlier, a 55 put is trading at $5.25. You buy 100 shares of the stock at $50. Ex-date arrives, the stock is discounted to $49. You exercise the put, selling the stock for $55, collect the $1 dividend and profit a risk-free $0.75. Add up the numbers again:
(55 - 50) + 1 - 5.25 = 0.75
You may already be guessing what happens to ITM puts as the ex-date approaches. Their price increases due to buying pressure, since the option's intrinsic value is about to increase by the dividend's amount. Once the time value at least matches the dividend the arbitrage opportunity no longer exists.
One other scenario where you may be assigned is when the underlying is trading close to the option's strike price on expiration day. You don't know if it will expire ITM or not. This is called pin risk. What should you do if you're short? Close out. It's not worth the risk if the underlying moves adversely after market close and the options are now ITM. Just close out.
Should I close out of a position after collecting most of the premium earlier than expected?This is a good idea. A lot of people follow a rule where if they've collected at least 50-80% of the premium they close out of the trade and move on to the next. They especially follow the rule when it happens much sooner than expected.
Collecting the last tiny bit of premium isn't worth what you're risking (a relatively large amount of money to make a small amount). You're picking up pennies in front of a steamroller. What will happen one day is the underlying will make a dramatic adverse move, eliminating all of your profit and even putting you at a loss. You'll be cursing yourself for being greedy and not closing out earlier.
A lot of brokers will even let you close out of a short options trade for no commission if you can buy it back for only five or ten cents.
My position moved against me. What can I do about it?You have a few choices.
1. Close out
Close the trade. Accept your losses and move on. How do you decide if it's a good idea to close? Ask yourself, if you didn't already have this position would you do it now? Would you open the position now given the current price and market circumstances? If not, close out.
You're going to end up on the wrong side of trades sometimes. It happens to everyone. Sometimes closing out is the right idea. Other times it's not. You can't predict the future, so don't beat yourself up when you make the wrong decision. But always be mindful of risk management and keep your losses small.
2. Ride it out
It's not unusual for option prices to spike only to collapse in price later on. If you haven't overleveraged yourself you have the funds available to ride out the trade. If the answer to the earlier question about opening the trade now is yes, it's reasonable to ride it out. You might even consider selling more contracts, but remember to never overleverage.
Just make sure the HAPI (hope and pray index) isn't high, otherwise it's a sign you should close out.
Rolling is a good idea when you think the trade in the short term is a bad idea, but long term will make money. You close out of your existing position and open a new one. This is ideally done simultaneously so you don't trade into the position one leg at a time, risking a poorer fill on price (slippage) or only getting only a partial execution and your positions are now wrong.
Rolling up is rolling to a higher strike price. Rolling down is rolling to a lower strike price. And rolling out or forward is rolling to a later expiration date. Typically you roll out, and possibly up or down. Whatever you decide, the goal is to roll to a new position that you can sell for more than the loss on the old position. That way you can at least recover your losses, and if you're fortunate, still turn a profit.
I'm doing great! I'm winning on all my trades collecting that sweet, sweet, theta. I want to sell even MOAR!Slow down there, speed racer.
The second worst thing that happens to new traders is they have a series of winning trades (the worst being they lose all their money). They become overconfident, think they have it all figured out, and place a trade that's way too big for their account. They of course don't realize how clueless they are, discover to their horror the trade was completely wrong, and end up digging through the remains of their now smoldering account.
You've made a bunch of winning trades. Great. Don't let it go to your head. Don't start scaling up massively simply because you've been winning lately. A better strategy is to risk a fixed percentage (e.g., 1-2%) of your account on each trade. As you make more money the dollar value of each trade increases but the percentage stays the same. That way when a trade ends up being a loser, which will happen, the damage is minor and you can still recover.
Theta gang is not a get-rich-quick scheme. If you're going to commit to this you're going to be doing it long-term, which means slowly making money.
I like to sell options on stock indexes like the S&P 500. Anything I should know?SPY is extremely popular for trading options but there is a much better alternative: SPX. Why?
- Contract size: Both SPY and SPX options are for 100 shares, but SPX trades the full price of the S&P, so ten SPY contracts equal the notional value of one SPX contract. This cuts down commission costs by a factor of ten.
- Cash settlement: SPX is cash settled so your account is either credited or debited and you never have to deal with any shares of the underlying.
- No risk of assignment: Because SPX is cash settled there's no possibility of assignment. You'll never have to worry about early assignment.
- Favorable tax treatment: SPX options are 1256 contracts, which means they have different tax treatment. It does not matter how long you hold 1256 contracts for, whether less than a minute or over a year, all trades are taxed the same: 60% of gains are treated as long-term and 40% short-term. Theta gang trades are almost always short term (one year or less), so this is the biggest reason why you should trade SPX over SPY. You'll get to keep more of your profits.
- Minis are available: If you want to trade SPX options but don't have enough money, fear not. XSP is 1/10th the size of SPX, so it's the same size as SPY but has all of the benefits of SPX. The only downside is it's not as liquid.
EDIT: Hit character limit, rest of post here