We're rolling the remainder of this position into an iron condor, with the following iron-condor order:
Day limit order
Buy to open 1 SPY Nov 134 calls
Sell to open 1 SPY Nov 132 calls
Sell to close...
It might feel like today’s 40-point plunge in the S&P was planned to make a mockery of my statement yesterday that “we can afford to reduce our downside hedge position.” But the market will do what the market will do, and what we do in response is adjust our risk profile as needed to keep potential losses under control the best we can.
With that goal in mind, we’re placing the following, unbalanced butterfly order:
Day limit order
Buy…
With SPY over $127, we can afford to reduce our downside hedge position. We’re rolling another portion of the November put butterfly into a delta-neutral iron condor, with the following order:
Day limit order
Buy to close 1 SPY Nov 119 put
Sell to open 1 SPY Nov 125 put
Sell to open 1 SPY Nov 133 call
Buy to open 1 SPY Nov 135 call
for a net credit of $0.87 or better.
Note…
As planned, we’re rolling a portion of our current November butterfly hedge into a delta-neutral iron condor, as follows:
Day limit order
Buy to close 1 SPY Nov 119 put
Sell to close 1 SPY Nov 125 put
Sell to open 1 SPY Nov 132 call
Buy to open 1 SPY Nov 138 call
for a net credit of $1.84 or better.
Note that 1 contract per leg represents the number of contracts we’re long…
Because our two remaining October positions have opposite delta and vega, we’re going to try to flatten out both as nearly simultaneously as possible. Here’s the first order:
Day limit order
Sell to close 2 SPY Oct 130 calls
Buy to close 4 SPY Oct 124 calls
Sell to close 2 SPY Oct 118 calls
for a net credit of $3.36 or better.
Note that the 2 contracts specified above for the wings represent our entire…
We’re unwinding our October portfolio starting with the upside risk from the adjusted BF#1, as follows:
Day limit order
Sell to close 1 SPY Oct 127 calls
Buy to close 1 SPY Oct 125 calls
for a net debit of $0.33 or better.
Note that the 1 contract specified above represent our entire position in the Oct 125/127 call vertical.
We’re opening the following position to hedge our upside delta and vega risk:
Day limit order
Buy to open 2 SPY Oct 130 calls
Sell to open 4 SPY Oct 124 calls
Buy to open 2 SPY Oct 118 calls
for a net debit of $2.81 or better.
Note that the 2 contracts specified above for the wings represent the number of contracts allocated to each leg of our core, double-diagonal position.
Analysis: The resulting risk…
As traders and investors continue to accumulate shares this afternoon, SPY is within about $0.50 of our current upside risk-management price threshold. In preparation for possibly opening an upside hedge in the last 45 minutes or so of the session, we’re freeing up margin by closing the put side of this position, as follows:
Day limit order
Buy to close 1 SPY Oct 103 put
Sell to close 1 SPY Oct 93 put
for a net debit…
We’re adjusting the SPY October 93/103/113 put butterfly hedge to create a theta-positive position with delta closer to neutral. We’re accomplishing this with the following iron-condor trade:
Day limit order
Buy to close 1 SPY Oct 103 put
Sell to open 1 SPY Oct 113 put
Buy to open 1 SPY Oct 127 call
Sell to open 1 SPY Oct 125 call
for a net credit of $0.97 or better.
Note that the 1 contract…
We’re hedging downside risk with the following butterfly position:
Day limit order
Buy to close 1 SPY Oct 113 put
Sell to open 2 SPY Oct 103 puts
Buy to open 1 SPY Oct 93 put
for a net debit of $2.34 or better.
Note that the 1 contract specified for the wings of the butterfly represents half the number of contracts in each leg of our core double-diagonal position.
Analysis: As stocks continue to get…
Friday, November 11, 2011
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