Here’s the status of our open positions after the bears came roaring back this week:
- SPY August/September 109/114 Double-Calendar: Heading into the closing bell this afternoon, this position was showing an unrealized gain of about 10.6% and a base-position delta bias of about +36.4. Our vega has grown to more than 30 (per base-position unit), and that’s been enormously helpful in the sell-off.
This is what our core newsletter risk profile looked like a few minutes before the close today:
- IBM August/September Supplemental Trades: Large-cap computer software and equipment makers took a hit today after Cisco’s dour forecast and downgrades from several analysts. IBM lost more than $1.50, to close well below our lower price-level risk-management threshold—which means we’re on adjustment watch tomorrow morning.
Despite today’s drop, our unrealized loss remained well within our tolerance range: the August Supplemental Trades portfolio (equal-dollar weighted) closed the day at a paper loss of about 2%. Nevertheless, we’re planning to act on today’s adjustment signal and cut back portfolio delta (currently about 6.4% of total capital risked). Depending on where IBM is trading between 10:00am and 11:00am Eastern, we’ll probably roll half of our position from the 135 strike down to 125 and close part or all of the 125/130 double-calendar to reduce risk.