We have two more positions to close today (we're going to let the iron-condor position adjusted from BF Hedge #2 expire worthless, and the commission cost of closing BF Hedge #3 is, for retail...
We’re re-entering our iron-condor order to close this position, as follows:
Day limit orderSell to close 1 SPY March 144 callBuy to close 1 SPY March 139 callBuy to close 1 SPY March 132 putSell to close 1 SPY March 127 putfor a net debit of $0.31 or better.
Note, again, that the 1 contract specified above represents our entire position in the 127/132/139/143 iron condor/adjusted butterfly (same number of contracts as we’re long in…
Now we’re closing our remaining March position, with the following order:
Day limit orderBuy to close 2 SPY March 139 callsSell to close 2 SPY April 139 callsBuy to close 2 SPY March 134 putsSell to close 2 SPY April 134 putsfor a net credit of $2.80 or better.
Note that this order will flatten out our remaining positions (once the previous order is filled).
A sudden sell-off began around 2:45 Eastern, but it hasn’t been deep enough to justify keeping our March positions open over the weekend. We’re flattening out our portfolio, starting with the adjusted butterfly hedge, as follows:
Day limit orderSell to close 1 SPY March 144 callBuy to close 1 SPY March 139 callBuy to close 1 SPY March 132 putSell to close 1 SPY March 127 putfor a net debit of $0.42 or better.
Note…
We’re neutralizing the delta of this hedge position with the following iron condor order:
Day limit orderBuy to open 1 SPY Mar 144 callSell to open 1 SPY Mar 139 callSell to close 1 SPY Mar 137 putBuy to close 1 SPY Mar 132 putfor a net credit of $1.43 or better.
Note that the 1 contract per leg specified above represents the number of March 137 puts we’re long from Tuesday’s hedge trade.
Analysis:…
We’re hedging our delta to the downside this afternoon with the following trade:
Day limit orderBuy to open 1 SPY Mar 137 putSell to open 2 SPY Mar 132 putsBuy to open 1 SPY Mar 127 putfor a net debit of $1.82 or better.
Note that the one contract specified above for the “wings” (outer strikes) represents half the number of contracts we currently have open in the SPY Mar/Apr 134/139 double-calendar.
Analysis: Complacent markets are…
We’re entering the following position this morning for March expiration:
Day limit orderBuy to open 2 SPY April 139 callsSell to open 2 SPY March 139 callsBuy to open 2 SPY April 134 putsSell to open 2 SPY March 134 putsfor a net debit of $2.85 or better.
Note that 2 contracts is our base position for double-calendars. Trading whole-number multiples of the base-position size ensures that adjustments will not result in unbalanced positions. In…
And now for the remainder of Feb/Mar DC #1:
Day limit orderBuy to close 1 SPY Feb 135 callsSell to close 1 SPY Mar 135 callsBuy to close 1 SPY Feb 131 callsSell to close 1 SPY Mar 131 callsfor a net credit of $2.86 or better.
Again, the 1 contract specified above closes what’s left of this position.
We’re entering the following orders to close these two positions:
Day limit order #1Buy to close 2 SPY Feb 135 callsSell to close 2 SPY Mar 135 callsBuy to close 2 SPY Feb 129 putsSell to close 2 SPY Mar 129 putsfor a net credit of $2.85 or better.
Note that the two contracts specified above represent our entire stake in double-calendar #2 (leaving us with half of our position from DC#1 still open at…
With ten days left until February expiration, we’re starting to unwind our February positions, placing the following closing order this afternoon:
Day limit orderBuy to close 1 SPY Feb 135 callSell to close 1 SPY Mar 135 callBuy to close 1 SPY Feb 131 callSell to close 1 SPY Mar 131 callfor a net credit of $2.49 or better.
Note that the 1 contract per leg specified above represents half of our current position at…
We’re opening the following hedge position to adjust portfolio delta for this week’s rally:
Day limit orderBuy to open 1 SPY Feb 133 callSell to open 2 SPY Feb 137 callsBuy to open 1 SPY Mar 141 callfor a net debit of $1.95 or better.
Note that the 1 contract specified above for the “wings” (long legs) represents half the number of contracts allocated to each leg of our prior February trades.
Analysis: As this afternoon’s…
Friday, April 20, 2012
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