Out all. Scratch on the put spread. 30.50 on the fly, loss of 4.30. Loss of 0.6% in the SPX fly and a gain of 0.4% in AAPL. Performance to date: +25.6%
Yeah, I didn't lose any sleep over it but I was concerned overnight that we'd dump like crazy when DAX opened. I was shocked to see a green ES when I awoke before the bell. Lucky to be out as spreads blew out towards the close.
I've mentioned it in the past (original PF thread) and on the new board, but want to reiterate it here as some guys are doing PFs. The 3x1 is a synthetic 4x1 overwrite in spot/puts. The spread cannot be reduced, but the synthetic is likely better on microstructure. XYZ 1000 PF: Short 3x1000P Short 1x1000C XYZ synthetic PF: Short 4x1000P Short spot Short 1000C = short 1000P & short spot, synthetically. So we add an additional short put, short underlying and negate the ITM call. I normally fill as the synthetic for obvious reasons, but use the "all option" method to illustrate the relationship to the ATM straddle and the relative value (ATM combo*2 less the PF credit)
I agree. I didn't predict this today, but risk premiums were too low for something not to happen. Ended up scratching today. I was short risk premium. Fortunately downside convexity as well as some risk reduction when we were in the green helped me. SPX front dated vols look rich. I put the March1 / monthly calendar but closed it when I made 25% of my max pnl as spot blew through my strike.
Sold the PF in ES Mar15. 1460P at 9.25 against a fill of 93.50 futures (done 4x1 via futs; 3x1 in options if natural). I'll be back with the value in a bit. 10% at overnight req.
Nothing in AAPL. I am in some long-term disp in OPM and only have the PF in my personal account(s). I am staying out due to the sequester.