We’re adjusting the SPY October 93/103/113 put butterfly hedge to create a theta-positive position with delta closer to neutral. We’re accomplishing this with the following iron-condor trade: Day limit order Buy to close 1 SPY Oct 103 put Sell to open 1 SPY Oct 113 put Buy to open 1 SPY Oct 127 call Sell to open 1 SPY Oct 125 call for a net credit of $0.97 or better. Note that the 1 contract…
Monday, October 3, 2011
We’re hedging downside risk with the following butterfly position: Day limit order Buy to close 1 SPY Oct 113 put Sell to open 2 SPY Oct 103 puts Buy to open 1 SPY Oct 93 put for a net debit of $2.34 or better. Note that the 1 contract specified for the wings of the butterfly represents half the number of contracts in each leg of our core double-diagonal position. Analysis: As stocks continue to get…
Friday, September 9, 2011
We’re reducing the delta of this position and taking in a credit exceeding the butterfly’s current value with the following iron-condor trade: Day limit order Buy to close 1 SPY Sep 128 call Sell to close 1 SPY Sep 121 call Sell to open 1 SPY Sep 108 put Buy to open 1 SPY Sep 101 put for a net credit of $1.02 or better. Note that 1 contract represents all of our long call…
Tuesday, August 30, 2011
We’re hedging our upside delta risk with the following trade: Day limit order Buy to open 1 SPY Sep 135 call Sell to open 2 SPY Sep 128 calls Buy to open 1 SPY Sep 121 call for a net debit of $2.54 or better. Note that the 1 contract specified for the wing strikes represents half the number of contracts allocated to our current September double-diagonal position. Analysis: We’re taking a conservative approach with this…
Wednesday, August 17, 2011
At least one trade this afternoon is a no-brainer—we have to close the lower side of the adjusted BF#3 (105/111/119/125 call condor) to make sure we avoid assignment: Day limit order Buy to close 2 SPY Aug 111 calls Sell to close 2 SPY Aug 105 calls for a net credit of $5.96 or better. Note that 2 contracts represent our entire position in the long 105/111 call vertical. This leaves us short the 119/125 call vertical.
Monday, August 8, 2011
Even though the odds that we’re seeing capitulation and a short-term bottom are increasing with each day of heavy selling, capital-preservation (as Jared pointed out to our iron condors newsletter subscribers this morning) is more important than appreciation. Rolling down any positions now puts us at greater risk in case of a sharp reaction rally, but we’re still net short a huge amount of premium and are carrying very little volatility risk. After weighing the potential risks and rewards, we’ve…
Monday, August 8, 2011
We’re continuing to pare back on risk, this time by selling the August 120/126/132 put butterfly, with the following order: Day limit order Sell to close 3 SPY Aug 132 puts Buy to close 6 SPY Aug 126 puts Sell to close 3 SPY Aug 120 puts for a net credit of $0.89 or better. Note that the 3/6/3 contracts specified above represent our entire position in BF#2. After this trade, we’ll no longer have any…
Friday, August 5, 2011
We’re closing the August 123/129/135 put butterfly, with the following order: Day limit order Sell to close 2 SPY Aug 135 puts Buy to close 4 SPY Aug 129 puts Sell to close 2 SPY Aug 123 puts for a net credit of $1.13 or better. The 2 contracts specified above represent our entire position in this trade.
Tuesday, August 2, 2011
Closing the strangle left us with an excess of downside exposure, so we’re adjusting our portfolio delta with the following butterfly hedge: Day limit order Buy to open 3 SPY Aug 132 puts Sell to open 6 SPY Aug 126 puts Buy to open 3 SPY Aug 120 puts for a net debit of $2.10† or better. Note that here, 3 contracts represent 1½ times the number of contracts allocated to our initial, Aug/Sep double-calendar (DC#1; 131/136 put/call).…
Tuesday, August 2, 2011
As planned, we’re closing our “Debt-Ceiling-Crisis Strangle”, for a profit of about 60%, with the following order: Day limit order Sell to close 2 SPY Aug 140 calls Sell to close 2 SPY Aug 120 puts for a net credit of $0.85† or better. Note that the 2 contracts per leg specified above represent our entire stake in this position. Also note that the next trade we’re planning, bring overall risk back in line, includes a long position…
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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Monday, October 10, 2011
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