Instead of opening an August position, we’re adjusting our gamma and delta risk by rolling CS#3 (132 puts) down to the 131 strike, as follows: Day limit order Buy to close 4 SPY Jul 132 puts Sell to close 4 SPY Aug 132 puts Buy to open 4 SPY Aug 131 puts Sell to open 4 SPY Jul 131 puts for a net debit of $0.01† or better. Note that 4 contracts represent our entire position…
Monday, July 11, 2011
Continuing to pare back as event risk (PIIGS, U.S. debt, etc.) remains unresolved: Day limit order Sell to close 4 SPY Aug 136 calls Buy to close 4 SPY Jul 136 calls for a net credit of $0.92† or better. Note that 4 contracts represent our entire stake in the July/August 136 call calendar. †Average fill price.
Friday, July 8, 2011
We’re hedging our downside risk into the weekend with the following position: Day limit order Buy to open 4 SPY Aug 132 puts Sell to open 4 SPY Jul 132 puts for a net debit of $1.52† or better. Note that 4 contracts is our base position for single-calendars. Trading whole-number multiples of the base-position size ensures that adjustments will not result in unbalanced positions. In addition, in order to come as close as possible to matching our…
Friday, July 1, 2011
The S&P continues to surge as the few traders left on Wall Street return from lunch, so we’re compensating for the upside move by opening the following position: Day limit order Buy to open 4 SPY Aug 136 calls Sell to open 4 SPY Jul 136 calls for a net debit of $1.12 or better. Note, once again, that 4 contracts is our base position for single-calendars. Trading whole-number multiples of the base-position size ensures that adjustments…
Thursday, June 30, 2011
We’re opening the following position for July expiration: Day limit order Buy to open 4 SPY Aug 133 puts Sell to open 4 SPY Jul 133 puts for a net debit of $1.35† or better. Note that 4 contracts is our base position for single-calendars. Trading whole-number multiples of the base-position size ensures that adjustments will not result in unbalanced positions. In addition, in order to come as close as possible to matching our Model Portfolio risk profile,…
Friday, June 17, 2011
We’re wrapping up June’s trades by selling the remaining leg of our June/July 128/134 double-calendar, with the following order: Day limit order Buy to close 2 SPY Jun 128 puts Sell to close 2 SPY Jul 128 puts for a net credit of $2.10 or better. Once again, 2 contracts represent our entire position in the June/July 128 put calendar.
Tuesday, May 31, 2011
SPY is about $0.25 shy of our June portfolio risk-management threshold, but well within range for adding a third June position—especially given the fact that the the June in-the-money puts are trading at a huge premium compared to July. We’re placing the following order this afternoon: Day limit order Buy to open 4 SPY Jul 137 puts Sell to open 4 SPY Jun 137 puts for a net debit of $0.82 or better. Note that 4 contracts…
Monday, May 30, 2011
Expiring Monthly has published some great articles in recent months, many from guest contributors. In this post, I’d like to highlight some of those recent guest contributions. The May issue was published last week and is available now for subscribers – cf. my colleague Bill’s May recap. Chris McKhann (optionMONSTER) wrote a column in the January 2011 issue, “The Vega Calendar Trap,” on how the vega of a given calendar or diagonal spread can be deceiving, and…
Wednesday, May 25, 2011
There’s no denying it—we had a rough month in May. Under the circumstances, our 8.48% Model Portfolio loss was well within our tolerance for a one-month drawdown, and a vast improvement over prior losses under similar conditions before we updated our risk-management rules—but, as long-time members know, we never take a loss lightly. Nevertheless, at this point I don’t see any reason to modify our strategy. Our track record, based on a combination of real results and backtesting, indicates that…
Friday, May 20, 2011
Now for our final May closing order: Day limit order Buy to close 4 SPY May 134 calls Sell to close 4 SPY Jun 134 calls for a net credit of $1.77† or better. Note, once again, that the 4 contracts specified above represent our entire position in this trade. †Average fill price.
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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Wednesday, July 13, 2011
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