With IBM close to $132, we’re opening a third August position to offset our bearish portfolio delta bias.This is the Supplemental Trade order we’re putting in this afternoon:
Day limit order
Buy to open 4 IBM Sep 135 calls
Sell to open 4 IBM Aug 135 calls
for a net debit of $1.19 or better.
NOTE: As a Supplemental Trade, this trade is optional and is primarily intended for more experienced/risk-tolerant subscribers. It will not be autotraded,…
As I’m sure few members failed to notice, we took a wild ride this afternoon. SPY bottomed out at $105—more than $11 below where it opened. Old-school fundamental analysts went straight to the Correlation Game, blaming fears of European debt contagion, while those who understand how the market works under the hood pointed to a possible fat-finger trade that destabilized the Program-Trading Matrix. As a mathematician looking at a 512-tick chart of SPY during the Event,…
After Thursday’s Update I thought it unnecessary to review the risk/reward equation for our open position intraday Friday even as we headed into a potentially volatile, news-driven weekend. Assuming we’ve held onto our entire stake in the current May trade, our capital at risk is still small in proportion to our total Model Portfolio allocation. Equally important, our P/L profile couldn’t be more ideal: Total base-position delta at Friday’s close was almost +68—enough to offset any sharp drop…
This morning’s gap up puts SPY above the risk-management price level for our March/April double-diagonal position, so we’re opening a third March trade as an upside hedge:
Day limit order
Buy to open 4 SPY Apr 115 calls
Sell to open 4 SPY Mar 115 calls
for a net debit of $0.94 or better.
Note that 4 contracts per leg is our base position size for single-calendars. Trading whole-number multiples of the base size ensures that adjustments…
With the S&P up 1.3% this afternoon, we’re going to pare back our upside exposure by closing the bearish portion of this position, as follows:
Day limit order
Buy to close 1 SPY Feb 107 call
Sell to close 1 SPY Mar 107 call
Buy to close 1 SPY Feb 103 call
Sell to close 1 SPY Mar 103 call
for a net credit of $2.16 or better.
Note that 1 contract per leg represents…
Monday, August 9, 2010
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