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.
Wednesday, October 12, 2011
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…
Wednesday, October 12, 2011
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…
Monday, October 10, 2011
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…
Monday, October 3, 2011
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, September 9, 2011
We’re reducing the delta of this position and taking in a credit exceeding the butterfly’s current value with the following iron-condor trade: Day limit order Buy to close 1 SPY Sep 128 call Sell to close 1 SPY Sep 121 call Sell to open 1 SPY Sep 108 put Buy to open 1 SPY Sep 101 put for a net credit of $1.02 or better. Note that 1 contract represents all of our long call…
Friday, September 2, 2011
As those members who follow me on Twitter (@volatilitytrade) and/or Facebook (Volatility Trader) already know, I’ve been taking my summer vacation this week (or trying to, at least). Fortunately, SPY has made its way back to exactly where we want it to be for our September positions ahead of the weekend,…so this week’s update will be brief and to the point. At mid-day, our unrealized return was 0.5% of total capital at risk, or about break-even…
Tuesday, August 30, 2011
We’re hedging our upside delta risk with the following trade: Day limit order Buy to open 1 SPY Sep 135 call Sell to open 2 SPY Sep 128 calls Buy to open 1 SPY Sep 121 call for a net debit of $2.54 or better. Note that the 1 contract specified for the wing strikes represents half the number of contracts allocated to our current September double-diagonal position. Analysis: We’re taking a conservative approach with this…
Wednesday, August 17, 2011
At least one trade this afternoon is a no-brainer—we have to close the lower side of the adjusted BF#3 (105/111/119/125 call condor) to make sure we avoid assignment: Day limit order Buy to close 2 SPY Aug 111 calls Sell to close 2 SPY Aug 105 calls for a net credit of $5.96 or better. Note that 2 contracts represent our entire position in the long 105/111 call vertical. This leaves us short the 119/125 call vertical.
Monday, August 8, 2011
Even though the odds that we’re seeing capitulation and a short-term bottom are increasing with each day of heavy selling, capital-preservation (as Jared pointed out to our iron condors newsletter subscribers this morning) is more important than appreciation. Rolling down any positions now puts us at greater risk in case of a sharp reaction rally, but we’re still net short a huge amount of premium and are carrying very little volatility risk. After weighing the potential risks and rewards, we’ve…
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, October 18, 2011
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