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…
Market makers are playing hard-ball with our order to close the Jan/Feb 127 call calendar, so we’re going to turn that demand for premium to our advantage as we wait for buyers to give up the extra penny. We’re opening the following position for February expiration:
Day limit order
Buy to open 2 SPY Mar 128 calls
Sell to open 2 SPY Feb 128 calls
Buy to open 2 SPY Mar 123 puts
Sell to open…
We’re between a rock and a hard place today with our JNJ Supplemental Trades portfolio, and it looks like our best option for paring risk is to close out part of our position at the 62.50 strike. We’re entering the following order as the session draws to a close:
Day limit order
Buy to close 4 JNJ Dec 62.5 puts
Sell to close 4 JNJ Jan 62.5 puts
for a net debit of $0.55 or better.
Note…
We’re opening the following Supplemental Trades position this afternoon:
Day limit order
Buy to open 4 JNJ Jan 65 calls
Sell to open 4 JNJ Nov 65 calls
for a net debit of $0.62 or better.
Note that 4 contracts is our base position for calendar spreads. Trading whole-number multiples of the base size ensures that adjustments will not result in unbalanced positions. Also note that matching our Model Portfolio risk profile requires a risk-based allocation strategy—i.e.,…
We’re opening a third double-calendar for November expiration (note that we’re again using calls at both strikes):
Day limit order
Buy to open 2 SPY Dec 123 calls
Sell to open 2 SPY Nov 123 calls
Buy to open 2 SPY Dec 120 calls
Sell to open 2 SPY Nov 120 calls
for a net debit of $2.06 or better.
Note, again, that 2 contracts per leg is our base-position size for double-calendars. Trading whole-number…
We’re opening the following position for November expiration (note that we’re using calls at both strikes this time):
Day limit order
Buy to open 2 SPY Dec 121 calls
Sell to open 2 SPY Nov 121 calls
Buy to open 2 SPY Dec 117 calls
Sell to open 2 SPY Nov 117 calls
for a net debit of $2.13 or better.
Note, again, that 2 contracts per leg is our base-position size for double-calendars. Trading…
The S&P looks toppy, but we can’t afford any upside surprises—so we’re rolling our entire position at the 108 strike up to 114, with the following order:
Day limit order
Buy to close 2 SPY Sep 108 puts
Sell to close 2 SPY Oct 108 puts
Buy to open 2 SPY Oct 114 puts
Sell to open 2 SPY Sep 114 puts
for a net debit of $0.18 or better.
Note, again, that 2 contracts…
Yesterday afternoon we began closing September positions, on the defensive against a steep rally that appears bent on testing the full range of the SPX 1105–1130 resistance zone. We may have to take more aggressive action next week, but I’ll talk more about that after a look at the status of our positions:
SPY September/October Double-Diagonal (97/102/109/114): Closed at a loss of 22.54% on total capital risked. When we reach our maximum allowable loss range earlier in the cycle,…
We’re reducing the negative delta bias of our KO portfolio, as a percentage of total capital at risk, from about 15% to approximately 8.5% with the following closing trade:
Day limit order
Buy to close 2 KO Sep 57.5 puts
Sell to close 2 KO Oct 57.5 puts
Buy to close 2 KO Sep 55 puts
Sell to close 2 KO Oct 55 puts
for a net credit of $0.80 or better.
Note that the…
With the S&P down about 1/2% and the VIX up almost 2%, we’re opening the following position for September expiration:
Day limit order
Buy to open 2 SPY Oct 114 calls
Sell to open 2 SPY Sep 109 calls
Buy to open 2 SPY Oct 97 puts
Sell to open 2 SPY Sep 102 puts
for a net credit of $0.15 or better.
Note that 2 contracts per leg is our base position size for…
Friday, July 8, 2011
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