A morning rally has lifted SPY close to the peak of our P/L curve, and we can close this position now at about the best price we’re likely to get without spending the entire day watching and worrying over every move the market makes. With that in mind, we’re placing the following order: Day limit order Buy to close 2 SPY Dec 123 puts Sell to close 2 SPY Jan 123 puts for a net credit of…
Thursday, August 18, 2011
Technical indicators are weak across the board, so we’re closing this last calendar position, as follows: Day limit order Buy to close 2 SPY Aug 116 calls Sell to close 2 SPY Sep 116 calls for a net credit of $3.08 or better. The 2 contracts specified above represent our entire position in the Aug/Sep 116 call calendar. We plan to let the short Aug 119/125 call vertical expire worthless.
Thursday, August 18, 2011
With the market in free-fall, we have no interest in risking the profit we have in hope of a rebound. We’re closing the remainder of our August positions, beginning with the 122 call calendar: Day limit order Buy to close 4 SPY Aug 122 calls Sell to close 4 SPY Sep 122 calls for a net credit of $1.13 or better. Note that 4 contracts represent our entire position in the Aug/Sep 122 call calendar.
Tuesday, August 16, 2011
We’re trimming our upside risk by rolling half of the call calendar at 116 up to 124, with the following order: Day limit order Buy to close 2 SPY Aug 116 calls Sell to close 2 SPY Sep 116 calls Buy to open 2 SPY Sep 124 calls Sell to open 2 SPY Aug 124 calls for a net credit of $0.20 or better. Note that 2 contracts represent half of our position in the Aug/Sep 116 call calendar.
Friday, August 5, 2011
To keep up with the relentless selling, we’re rolling the DC #2 portion of our position at 122 down to 116, as follows: Day limit order Buy to close 4 SPY Aug 122 calls Sell to close 4 SPY Sep 122 calls Buy to open 4 SPY Sep 116 calls Sell to open 4 SPY Aug 116 calls for a net debit of $0.12 or better. Note that the 4 contracts specified above represent the…
Friday, July 22, 2011
June and July brought the longest sustained period of elevated 10-day realized volatility since March, making it a challenging month for short-gamma market-neutral income strategies. Nevertheless, by keeping a diligent eye on risk and letting time decay work for as long as reasonably possible, we ended the month with a net profit. SPY July/August Double-Calendar (Adjusted): Closed for a loss of 57.50% after 20 days; SPY July Butterfly Hedge (Adjusted): Expired at a loss of 3.47% after 23 days;…
Friday, July 15, 2011
Now we’re closing out the remaining calendar spread: Day limit order Buy to close 4 SPY Jul 133 puts Sell to close 4 SPY Aug 133 puts for a net credit of $1.99 or better. Note, again, that 4 contracts represent our entire remaining stake in this position, and that this order will not be autotraded.
Friday, July 15, 2011
There’s virtually no premium left in our remaining (experimental) July positions, so we’re closing out as follows: Day limit order Buy to close 4 SPY Jul 131 puts Sell to close 4 SPY Aug 131 puts for a net credit of $2.36 or better. Note that 4 contracts represent our entire remaining stake in this position, and that this order will not be autotraded.
Thursday, July 14, 2011
Now we’re locking in our profit on CS#1 (133 put calendar), as follows: Day limit order Buy to close 4 SPY Jul 133 puts Sell to close 4 SPY Aug 133 puts for a net credit of $2.06 or better. Again, note that 4 contracts represent our entire stake in this position, and that members interested in our experimental hold-through-expiration strategy would keep some or all of this position open. The only trade remaining open (not counting…
Thursday, July 14, 2011
We’re flattening out our July calendar positions, starting with the adjusted CS#3 (131 put calendar): Day limit order Buy to close 4 SPY Jul 131 puts Sell to close 4 SPY Aug 131 puts for a net credit of $2.18 or better. Note that 4 contracts represent our entire stake in this position. Also note that members interested in our experimental hold-through-expiration strategy would keep some or all of this position open.
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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Friday, December 16, 2011
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