We’re taking some of the upside risk off of our January portfolio by closing the double-diagonal position, as follows: Day limit orderBuy to close 2 SPY Jan 128 callsSell to close 2 SPY Feb 130 callsBuy to close 2 SPY Jan 122 putsSell to close 2 SPY Feb 119 putsfor a net credit of $1.21 or better. Note that 2 contracts per leg represent our entire position in the Jan/Feb 119/122/128/130 double-diagonal.
Saturday, January 7, 2012
Leaving aside the newly opened February/March Double-Calendar, our portfolio of open positions is currently showing a return (realized and unrealized) of approximately 5.4% on total capital risked. That represents a Model Portfolio return of about 3.3% after accounting for the cash we kept in reserve for hedging our January portfolio and entering February trades. As the trading week drew to a close Friday afternoon, our January positions had a slightly bearish net delta…
Friday, December 23, 2011
The iron condor we rolled into from December’s double-diagonal, combined with the January/February double-diagonal we entered this week, has held up well in the face of Santa Claus Rally 2011. SPY is up nearly 4% on the week, and the VIX has dropped more than 14%—very hostile conditions for a less robust calendar-spread strategy than ours—but at Friday’s close we were still showing an unrealized gain of almost 2.4% on total capital at risk and a Model Portfolio return of…
Wednesday, December 21, 2011
We’re placing the following order for January expiration: Day limit order Buy to open 2 SPY Feb 130 calls Sell to open 2 SPY Jan 128 calls Buy to open 2 SPY Feb 119 puts Sell to open 2 SPY Jan 122 puts for a net debit of $1.10 or better. Note that 2 contracts is our base position for double-calendars. Trading whole-number multiples of the base-position size ensures that adjustments will not result…
Thursday, December 15, 2011
As discussed in this afternoon’s trade notice, we’re rolling out the short legs of this position by selling a double-diagonal, as follows: Day limit order Buy to close 2 SPY Dec 128 calls Sell to open 2 SPY Jan 127 calls Buy to close 2 SPY Dec 113 puts Sell to open 2 SPY Jan 114 puts for a net credit of $2.45 or better. Note that 2 contracts represent our entire short positions at…
Tuesday, December 6, 2011
With SPY near $127, we’re neutralizing portfolio delta and selling some additional premium by rolling the short December 125 calls up to the 128 strike, with the following order: Day limit order Buy to close 2 SPY Dec 125 calls Sell to open 2 SPY Dec 128 calls for a net debit of $1.76 or better. Note that the 2 contracts specified above represent our entire short position in the Dec 125 calls. Analysis: Given the moderate,…
Monday, December 5, 2011
In what the headlines are trumpeting as the best week for the market in three years (some have claimed it’s “one of the best weeks ever [emphasis mine]”, our current risk profile has suffered more from the plunge in implied volatility than from the move in underlying SPY shares. While that might not sound like a good thing, it means that we’ve been managing delta risk prudently and, considering how far IV has fallen, vega risk as well. IV for…
Tuesday, November 22, 2011
We’re kicking off the December cycle by entering the following position: Day limit order Buy to open 2 SPY Jan 130 calls Sell to open 2 SPY Dec 125 calls Buy to open 2 SPY Jan 107 puts Sell to open 2 SPY Dec 113 puts for a net debit of $0.42 or better. Note that 2 contracts is our base position for double-diagonals. Trading whole-number multiples of the base-position size ensures that adjustments will…
Thursday, November 17, 2011
We’re unwinding half of our core November Double-Diagonal position with the following order: Day limit order Buy to close 1 SPY Nov 133 call Sell to close 1 SPY Dec 137 call Buy to close 1 SPY Nov 125 put Sell to close 1 SPY Dec 119 put for a net credit of $1.10 or better. Note, again, that the 1 contract per leg specified above represents half of the original double-diagonal, and all of…
Friday, October 28, 2011
We’re entering the following position for November expiration: Day limit order Buy to open 2 SPY Dec 137 calls Sell to open 2 SPY Nov 133 calls Buy to open 2 SPY Dec 119 puts Sell to open 2 SPY Nov 125 puts for a net debit of $0.15 or better. Note that 2 contracts is our base position for double-diagonals. Trading whole-number multiples of the base-position size ensures that adjustments will not result in…
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, January 10, 2012
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