As noted in last night’s Update, we’re reducing our delta exposure in the Supplemental Trades portfolio by rolling half of our position at the 135 strike down to 125, as follows: Day limit order Buy to close 2 IBM Aug 135 calls Sell to close 2 IBM Sep 135 calls Buy to open 2 IBM Sep 125 puts Sell to open 2 IBM Aug 125 puts for a net debit of $1.04 or better.…
Wednesday, June 30, 2010
As noted earlier, WMT is showing relative weakness today, and the bearish turn after news that Moody’s might downgrade Spain’s debt-rating has triggered an adjustment to our Jul/Sep 50/52.50 double-calendar. We’re placing the following Supplemental Trade order this afternoon: Day limit order Buy to close 2 WMT Jul 52.5 calls Sell to close 2 WMT Sep 52.5 calls Buy to open 2 WMT Sep 47.5 puts Sell to open 2 WMT Jul 47.5 puts for…
Friday, June 25, 2010
Wal-Mart has taken a pounding this week, but August implied volatility is only about a point above our target range for new trades. It’s a bit of a stretch, in terms of volatility risk, but we’re going to add a new position this afternoon to offset our Supplemental Trades portfolio delta: Day limit order Buy to open 2 WMT Aug 50 calls Sell to open 2 WMT Jul 50 calls Buy to open 2 WMT Aug 47.5…
Friday, June 25, 2010
With SPY already having hit $107, we’re rolling half of our contracts at 112 down to the 106 strike, as follows: Day limit order Buy to close 2 SPY July 112 puts Sell to close 2 SPY August 112 puts Buy to open 2 SPY August 106 puts Sell to open 2 SPY July 106 puts for a net debit of $0.42* or better. Note, again, that the 2 contracts above represent half of our…
Thursday, May 27, 2010
In the two days since our first trade for June expiration, the S&P has gained almost thirty points (more than 2.5%)—enough to to open a second position at higher strikes—so we’re putting in the following order: Day limit order Buy to open 2 SPY Jul 121 calls Sell to open 2 SPY Jun 116 calls Buy to open 2 SPY Jul 103 puts Sell to open 2 SPY Jun 108 puts for a net *credit*…
Monday, May 10, 2010
Positive vega and disciplined risk-management kept us out of any serious trouble during last week’s wild ride, and our new, tighter restrictions on adding vega when an adjustment is triggered during a volatile sell-off prevented today’s nearly 30% drop in IV from coming back to bite us. Here’s where we stood a few minutes before the close today: The May/Jun 116 call calendar at the center of our adjusted position was trading for about $1.43; the 108/120 double-calendar that…
Friday, May 7, 2010
As promised in last night’s Update, we’re adjusting this position again this morning, with the following order: Day limit order Buy to close 1 SPY May 120 call Sell to close 1 SPY Jun 120 call Buy to open 1 SPY Jun 108 call Sell to open 1 SPY May 108 call for a net debit of $0.60 or better. Note that the 1 contract specified above represents half of our remaining position at…
Thursday, April 29, 2010
A few members have noticed that our SPY May/June 120 call calendar has reached a profit of 25%—which used to be our target exit point. As Calendar Options evolved from a position-focused strategy to a portfolio-oriented one, we’ve adopted additional ways of managing risk, and the 25% exit rule has become less important. In fact, it was not part of the latest version of the strategy that I backtested earlier this month. Nevertheless, it was included in the original strategy…
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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Friday, August 13, 2010
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