Double Boeing Diagonal

Boeing (BA) recently broke-out (bullish set-up) and I am looking for an income trade that can benefit from new base as well as benefit from the upward movement.

Here is an example of a double diagonal trade:

This trade is:

• Sell : Jul 95 Puts and 105 Calls 
• Buy : Aug 90 Puts and 110 calls
• Credit : $0.65
• Margin Required : $4.35 per spread
• Return expected by Jul expiration – Roughly $80. ROM – $80/$435= +18%
• Break Even points – $93.5 and $106.7

Though this is a theta and vega play, this trade can easily absorb upto 7% drop in volatility. This is quite delta netural with a mild bullish bias, and hence will slightly benefit from the upward movement. $95 should provide strong support and hence the range is wider on the higher side vs the lower one. 

Profitable trading, OptionPundit

Disclosure: This is not part of the OP Newsletter for July income trade. But I will track it to closure here.