We're opening the following position to hedge our upside exposure:
Day limit order
Buy to open 2 SPY May 143 calls
Sell to open 2 SPY Apr 143 calls
for a net debit of $0.83...
Friday, April 13, 2012
We’re adding the following downside hedge position ahead of expiration week: Day limit orderBuy to open 3 SPY Apr 137 putsSell to open 6 SPY Apr 135 putsBut to open 3 SPY Apr 132 putsfor a net debit of $0.23 or better. Note that the 3 contracts specified above for the “wings” (outer strikes) represent 3 times the number of contracts per leg in BF (now condor) #1 and 1-1/2 times the number allocated to our…
Tuesday, April 10, 2012
We’re continuing to sell volatility into the upswing, and using these trades to offset our bullish delta. This afternoon we’re opening the following position: Day limit orderBuy to open 2 SPY 137 putsSell to open 4 SPY 133 putsBuy to open 2 SPY 129 putsfor a net debit of $0.92 or better. Note that the 2 contracts specified above for the outer strikes represent the same number of contracts currently allocated to our open April/May 136/139/143/145…
Monday, April 9, 2012
We’re further offsetting our portfolio delta risk with the following trade: Day limit orderBuy to close 1 SPY Apr 138 putSell to close 1 SPY Apr 135 putSell to open 1 SPY Apr 135 putBuy to open 1 SPY Apr 132 putfor a net debit of $0.47 or better. Note that the 1 contract per leg specified above represents the number of puts currently long at the 135 strike. The net effect of this (butterfly)…
Thursday, April 5, 2012
To offset our bullish delta bias ahead of the weekend, we’re opening a small hedge position, as follows: Day limit orderBuy to open 1 SPY Apr 141 putSell to open 2 SPY Apr 138 putsBuy to open 1 SPY Apr 135 putfor a net debit of $0.71 or better. Note that the 1 contract specified above for the “wings” of this butterfly represents half the number of contracts currently allocated to each strike in the April/May…
Monday, March 26, 2012
We’re opening the following position for April expiration: Day limit orderBuy to open 2 SPY May 145 callsSell to open 2 SPY April 143 callsBuy to open 2 SPY May 136 putsSell to open 2 SPY April 139 putsfor a net debit of $0.37 or better. Note that 2 contracts is our base position for double-diagonals. Trading whole-number multiples of the base-position size ensures that adjustments will not result in unbalanced positions. In addition, in…
Thursday, March 8, 2012
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:…
Tuesday, March 6, 2012
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…
Friday, February 17, 2012
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…
Wednesday, February 8, 2012
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…
Jared Woodard is a registered commodity trading advisor who specializes in trading volatility as an asset class. With over a decade of experience trading options, futures ... Read More
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Tuesday, April 17, 2012
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