A few days ago I suggested that you roll the calls down. I don't know what the various prices have been but the short 38 c's were probably near worthless and you could have gotten decent premium for say the 36c. In addition, your appreciated Jun puts could have been rolled down 2 pts as well, thereby booking gains on both sides. If SLV continued down, you'd have more call premium to offset but you widened the put spread, increasing potential loss. Given that you had a pretty wide spread to start with, widening a bit shoudn't be tht problemtic. If SLV bounces, you've booked Jun put premium and you gain back more on the 38p than you lose on the 36c (higher put delta), at least until SLV gets to 37-ish. SLV bounced back close to 38 and you would have had a little ITM pain for a day from the 36 c's but you might have been able to roll other legs (Jun puts back up on the cheap). SLV then dropped big time and the May 36c's and Jun whatever puts could have been rolled down again. It bounced again (nearly 3 pts). Roll again. Wash, rinse, repeat. Again, I have no clue what actual prices were but despite the add'l slippage and commissions, you would certainly be ahead of the position you initiated and held. I mean to apply that doing the above is a categorically better approach. If the underlying cooperates (as bouncy SLV did), it works. If the UL goes totally directional, it doesn't. But if you expect volatility (UL price change), adjusting is a good way to book profits and have a chance to take advantage of taht vol.
you most certainly did and were right about the short term volatility outlook. this position was a trading exercise and as such has worked great already since we have had a fruitful discussion. i did not want to adjust it because i wanted to observe its behavior. having said this, i still expect it to be profitable eventually. my original plan was to enter several similar constructs as the price moved at set intervals (~5%). i did something like that in another account and now have several strangles/straddles at various price levels. it is a bit messy (for complicated reasons not related to the idea per se). i will doing some adjustments there every day until at least May 20 and i have my work cut out for me
Duly noted. As well as page 5. At the risk of fawning, GSing some of these recent markets was an excellent idea, as SV has ruled the day. I wish I had thought of that.
I must have been dazed and confused when I typed this It should read: I DON'T mean to IMPLY that doing the above is a categorically better approach. If the underlying cooperates (as bouncy SLV did), it works.
Here's a link to an Optionetics article about Gamma Scalping with long straddles. It's not the gospel... just an intro to the idea of scalping. There are numerous ways to do it and like every strategy, there are subtle nuances to master before attempting it. Re this article, I'd go with one long leg and UL versus a straddle in order to make the position easier to visulaize and exit (much easier than layering on add'l straddles and strangles as you did). . In When GS-ing, somewhere in the gyration process, I try to sell some premium as wellin order to offset some of the long premium decay. http://www.optionetics.com/articles/article.asp?id=15166
for those who likes to watch paint dry: Unrealized PL in the last several days: -5 > -70 > -54 > +23 > +45 > -52 > -136 > -39 will look into gamma scalping. maybe i will start another thread on that with SLV as an example.