As of about 1:10pm Eastern, our portfolio of open positions was showing an unrealized loss of approximately 2.7% on total capital at risk, for a Model Portfolio return of about –1.6%. Delta is neutral, and vega is up slightly from Friday, at about 6.4% of capital at risk. Considering the fact that we’ve been through one of the steepest four-month sustained drops ever recorded in the VIX (perhaps the steepest, depending on how you measure it), our continued ability to…
Wednesday, January 25, 2012
We’re reducing our upside risk to adjust for this afternoon’s rally by rolling our position in the Feb/Mar 125 put calendar up to a call calendar at the 135 strike, with the following order: Day limit orderBuy to close 2 SPY Feb 125 putsSell to close 2 SPY Mar 125 putsBuy to open 2 SPY Mar 135 callsSell to open 2 SPY Feb 135 callsfor a net debit of $0.08 or better. Note that the…
Monday, January 23, 2012
Last week SPY-options implied volatility dropped by almost 15%, which, along with the share price climbing above the center of our risk curve, was a drain on both unrealized return and projected profit at expiration. However, following the strategy rules for managing volatility risk with our entry trades is paying off: at Friday’s close, the unrealized return on our February trades was up from the week before. In post-session options-trading, we were showing about a 3.8% unrealized return on total…
Friday, January 6, 2012
With the January put vertical spread closed, we have enough margin available to open the following position for February expiration: Day limit order Buy to open 2 SPY Mar 131 calls Sell to open 2 SPY Feb 131 calls Buy to open 2 SPY Mar 125 puts ell to open 2 SPY Feb 125 puts for a net debit of $2.40 or better. Note that 2 contracts is our base position for double-calendars. Trading whole-number…
Wednesday, December 14, 2011
We’re reducing our risk this afternoon by closing the call side of our December/January double-calendar, as follows : Day limit order Buy to close 2 SPY Dec 131 call Sell to close 2 SPY Jan 131 call for a net credit of $0.36 or better. Note that the 2 contracts specified above represent all of our current position in the Dec/Jan 131 call calendar portion of the 123/131 double-calendar. Analysis: I’m going to start off the analysis…
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…
Monday, November 7, 2011
After a flat Friday, our unrealized loss on total capital at risk, as of the closing bell, had narrowed to about 2%. Since we’re keeping a tight rein on risk and are almost 2/3 in cash right now, the current paper loss as a percentage of our Model Portfolio is less than 0.7%. Members who’ve been with us for a few months or more know that it isn’t uncommon for our portfolio to be showing an unrealized loss at this…
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…
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…
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…
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, February 6, 2012
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