It is snowing in Breckenridge. We are supposed to get 8 to 15 inches of snow today. And that is good by me. I have been trading well this morning. the acct has been fluctuating between 1 and 5% gain on the day. I was also pleased to have a .8% gain at the close of yesterday. And one of my summer plays just sprang.
I am in the front end of putting on a 2500 lot order. So far I am about 1/4 of my way through the order. It should be a peach. I have also been enjoying this up move. I had 1500 positive deltas at the close of yesterday. With SPX at 1394, I maintain 370 positive (unweighted) deltas.
TXN – Adjustment I rolled 1/2 of my short May 30p into June 30 for a credit of .48. My initial cost on this May/July was .50. Now I have .02 of initial risk on the table.
LOW – Added 4 unit of Jun/July 25p for .23, .21 and .20. The underlying price ran away from me a little. I have back up orders in case of Vol fluctuates.
IWM – I rolled 1/3 of my Short May 71c to June 71c for 1.11 @ 72.54. I would have liked to have take some risk off the table.
AIG – I added 1 unit 46c spread for .85. I am a bit nervous with the strong breakout type action today. However, it touched the underside of it downtrend line today.
??? – 8 units of my mystery stock for even and .05. I also put on the Call calendar above it for .00. I sold a 5 lot of the primary calendar @ .10 to see if the other side was filling. It did eventually. Whew. Overall this makes me a little nervous, only because of the P/L swings intraday. I needed to go take a shower, to relax. During that time, I reminded myself, this is my plan. Time to take action. So I came back and bought another tranche for .05. I now own more than the previous open interest. And my ave price is .025. Very nice.
The Reward to risk on this trade is 38:1, and my historic probability on this type of trade is a 94% success ratio. I can live with it. And at the close my 560 contract position has is slightly Delta Positive +160 and +460 Vega, and there is a front month Vol Skew of .5%.
I have made my acct value into “privacy mode” so that I can’t see it flop around. Gulp. Will now look for the next trade.
When all was said and done my accts were off 3.5%, 3%of which was my new mystery trade. I am OK with that, as it is to be expected on day 1 of a trade such as this. I am 1/3 filled of my full 5% allocation.
I made a number of good rolls today… TXN, IWM
Sweet ones: MFE
Some trades that got away from me a little today are UST, XLE, LOW, AIG.
At this time I have 4 of 18 trades underwater, although not much. I feel good going into the last 15 days of the month, albeit I do want to get through tomorrow’s jobs number.
Delta (non weighted) 333
So what does this tell me?
Generally, if the market (my positions) moves up I will make 333 for every point we move up (Delta). It equates to about a Delta of 5 (SPX weighted)
Gamma – you may be able to tell I am an options seller as we have a negative Gamma, and I have sold mostly ATM options as I relatively high Gamma number implies.
Theta – Again you probably can infer that I am an option seller as I collect 424 everyday that the market (my positions) stay right here.
Vega – If we see a 1% rise in IV then my portfolio gains 1374.
Another note, If I do nothing from here, and the market basically chops around here… Negative Gamma will increase, as will positive Theta. Also, the more violently we chop could see an increase in Vega will will boost my back month options in my calendars.
So, according to the greeks and how I am positioned, what would be best?
And overall, slight rise with some choppy action, but primarily staying in this 1400-1420 level.
A side bar- My UST position is a low negative beta position, so if the market declines UST should rise (tabacco trade). So in reality, I would like to see the market move down between 1380-1400 with some whipsaw chop.
Summer started today…. with a snow storm. Gotta love it