A week of range-bound trading is beginning to build up a profit in both our core newsletter portfolio and our KO Supplemental Trade:
- SPY September/October Double-Diagonal ( 97/102/109/114): A few minutes before the close yesterday, our open newsletter position was showing an unrealized gain of about 3.3% on capital at risk. Delta was close to neutral, at about –4.0 per base-position unit (or about 0.41% of capital at risk).
- KO September/October Double-Calendar (55/57.5): This position closed the session with a paper gain of about 4.1% of total capital risked. It carried a bullish base-position delta of about 11.6 (approximately 6.7% of capital at risk).
With the S&P up more than 1% and implied volatility down nearly 5% in early trading this morning, our SPY position is slightly off yesterday’s closing value…but the drop in IV could be good for us if it continues—since it would allow us to add new September positions.
Here’s what our newsletter (SPY) portfolio risk profile looked like at yesterday’s close: