Here are the actual Greeks for the legs in the diagonal to clarify: 1185 weekly / 1185 SPX Delta -.4244 / -.4347 Theta -.7067 / -.3392 Vega .5969 / 1.1221 So the net diagonal spread is: Delta = -.01 Theta = +.37 Vega = +.5252 + Theta, pretty much delta neutral for now, and positive vega. Phil
Thanks, THat's what I would have thought intuitively. But looking at the prices it looked like the spread was widening -- even on a % basis. However, it's a busy morning so I probably missed something...
The calendar spread is long skew and vega, but is getting hurt on delta position and the drop in strip-vols into this rally. The PnL resembles a short straddle, but +ve
Coach, what do you think about this one ? Buy 1180 put $10.2 Sell 1175 put $2.3 My rational is to used this as a hedge and still has good +theta. Detal -13.02 gamma -0.32 theta 19.14 vega 56.38
Looks like OX now has the weekly options listed in the chains. Didn't take them long to get that fixed. ryan
I am now seeing the weeklies on the OX chain that I get when I click on the chain button in my position summary. Chip
Here's a mistake that I'm sad to say I've made more than once. Yesterday, I placed the following: 10 SPX Nov 1085/1100 at $0.60 10 SPX Nov 1100/1115 at $0.50 So today I'm thinking I'll close the 1085/1100 for about $0.10 and make $500 in one day (before commissions). Wrong! The trades cancelled the 1100 position out, so I now have a 1085/1115 bull put spread. I thought that this would affect what I can do on the bear call side with respect to not having to supply additional margin. However, ToS tells me that it won't, in the sense that I could trade 10 - 30 point bear call spreads or 20 - 15 point bear call spreads. Now I should say that I'm calling this a mistake more in my viewpoint or thinking of the trades, because of what my original plan was. ToS correctly points out that I actually made $400 (on paper) when the 1100 trades cancelled each other out. Yeah, maybe, but I think in terms of credits I received and what it's gonna cost me to get out.