This last order flattens out our October portfolio: Day limit order Sell to close 2 SPY Nov 130 calls Buy to close 2 SPY Oct 124 calls Sell to close 2 SPY Nov 107 puts Buy to close 2 SPY Oct 113 puts for a net credit of $0.55 or better. Note that the 2 contracts specified above represent our entire remaining position for October expiration.
Monday, October 3, 2011
A sharp sell-off in the last 15 minutes of Friday’s session left the S&P with a 2.5% loss on the day and tipped key technical indicators bearish again. A close below 1120 would have the bears crying “head-and-shoulders breakdown”, and a breach of 1100 would suggest that there’s more damage to come. But while it’s important to be aware of where the market could be headed, our main focus, as direction-neutral option-sellers, is hedging risk…
Wednesday, September 28, 2011
Buyers have found their footing and are holding SPY above key intraday moving-average support. We’re taking this opportunity to place the following order: Day limit order Buy to open 2 SPY Nov 130 calls Sell to open 2 SPY Oct 124 calls Buy to open 2 SPY Nov 107 puts Sell to open 2 SPY Oct 113 puts for a net credit of $0.18 or better. Note that 2 contracts is our base position for…
Thursday, September 22, 2011
After everything that’s been published elsewhere about today’s plunge, there isn’t much I can add in the way of analysis—so I’ll just briefly summarize the technical picture. The S&P 500 Index is short-term oversold and looking primed for a bounce following this afternoon’s final-half-hour recovery,… …while intermediate-term momentum is rolling over into a new sell signal,… …and the VIX is back at the high end of its August-September range.…
Tuesday, September 13, 2011
With just three trading days left until September expiration, and our portfolio showing about a 12% return on total capital at risk, we’re going to avoid the risks of late-expiration-week trading by closing our keystone position for the month, as follows: Day limit order Buy to close 2 SPY Sep 122 calls Sell to close 2 SPY Oct 128 calls Buy to close 2 SPY Sep 111 puts Sell to close 2 SPY Oct 105 puts
Friday, September 2, 2011
As those members who follow me on Twitter (@volatilitytrade) and/or Facebook (Volatility Trader) already know, I’ve been taking my summer vacation this week (or trying to, at least). Fortunately, SPY has made its way back to exactly where we want it to be for our September positions ahead of the weekend,…so this week’s update will be brief and to the point. At mid-day, our unrealized return was 0.5% of total capital at risk, or about break-even…
Tuesday, August 23, 2011
Even with the VIX down more than 10% this afternoon, implied volatility for SPY options is still well over 35%. When IV (and thus volatility risk) is at an elevated level, our strategy calls for a vega-neutral, double-diagonal trade. We’re placing the following order for September expiration: Day limit order Buy to open 2 SPY Oct 128 calls Sell to open 2 SPY Sep 122 calls Sell to open 2 SPY Sep 111 puts Buy to…
Tuesday, July 19, 2011
Both the S&P 500 Index and the VIX are in limbo—but the sooner we get a trade on the books, the more chance we have to profit from time-decay at relatively low gamma. We have no clear indication of where implied volatility is headed, but the following trade has a risk profile well-suited for current conditions: Day limit order Buy to open 2 SPY Sep 136 calls Sell to open 2 SPY Aug 136 calls Buy to…
Thursday, May 19, 2011
To finish out our Supplemental Trades closing orders, we’re selling our initial, double-diagonal position (adjusted), as follows: Day limit order Buy to close 2 XLE May 80 calls Sell to close 2 XLE Jun 80 calls Buy to close 2 XLE May 75 puts Sell to close 2 XLE Jun 73 puts for a net credit of $1.05 or better. Note that the 2 contracts specified above represent our entire remaining position in this trade.…
Thursday, April 21, 2011
This week’s main story for us was more volatility of volatility. After a 20% spike Monday morning, the VIX closed the week almost 7% lower than the prior Friday. SPY swung from our down-side risk-management threshold to an upside buy signal in two days, and today came within $0.05 of triggering another entry above the market. New options traders are told time and again that market-neutral income strategies don’t work in this kind of environment; the past 2-1/2 years of…
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, October 18, 2011
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