Opened a trade in SPX much closer to the money than I am usually comfortable with. Trade date: 05 August 2021 Security: SPX Price at opening: 4429 Direction: Call Expiry date: 09 August 2021 Strikes: 4380 / 4430 / 4455 Structure: 1 / 3 / 2 Opening Spread: 19.50
Opened this on NFLX yesterday: Trade date: 06 August 2021 Security: NFLX Price at opening: 523 Direction: Call Expiry date: 13 August 2021 Strikes: 512.5 / 527.5 / 535 Structure: 1 / 3 / 2 Opening Spread: 4.71
A very disappointing week - the joys of publishing in a jounal! 18 DTE positions in SPX and DAX (per #8) both expired OtM for a 100% loss. Escaped with a small profit on oil: Trade date: 03 August 2021 Security: CL Price at opening: 71.62 Direction: Put Expiry date: 06 August 2021 Strikes: 69.5 / 71.25 / 73 Structure: 1 / 2 / 1 Opening Spread: 0.46 Close date: 06 August 2021 Trade duration: 3 Closing spread: 0.58 Profit / (Loss) 0.12 Profit / (Loss) 26.1%
Revisiting this, I mentioned a glitch in my modelling and have addressed that. It looks like I'll be putting on more unbalanced trades in future where expected P&L exceeds that for 121.
Hi, Hate to sound like a Monday morning quarterback,but what prompted you to put the SPX fly on?? Don't love the risk reward(paying 40 percent of max profit),haven't looked at theta/gamma and I would be suprised if there was any skew edge.. Unless vol is jacked,I am not a,big fan of ATM flys
The obvious answer is the embedded short vertical is overpriced by whatever measure one chooses to value expected return. I do it all the time on OTM flies with what I believe ( hope) is positive skew delta..Often,the 1x2 stands on its own but the far wing provides my beauty sleep and cuts down on margin ATM flys require a Delta hedge
Wasn't able to pop this on before the end of the session on Friday but got a reasonable opening price earlier today. Trade date: 09 August 2021 Security: RUT Price at opening: 2247 Direction: Call Expiry date: 11 August 2021 Strikes: 2210 / 2260 / 2285 Structure: 1 / 3 / 2 Opening Spread: 15.90
The AtM SPX trade closed earlier at a profit. Trade date: 05 August 2021 Security: SPX Price at opening: 4429 Direction: Call Expiry date: 09 August 2021 Strikes: 4380 / 4430 / 4455 Structure: 1 / 3 / 2 Opening Spread: 19.50 Close date: 09 August 2021 Trade duration: 4 Closing spread: 25.00 Profit / (Loss) 5.50 Profit / (Loss) 28.2%
Opened short positions today: Trade date: 11 August 2021 Security: CL Price at opening: 4429 Direction: Put Expiry date: 27 August 2021 Strikes: 62 / 65 / 67.75 Structure: 1 / 2 / 1 Opening Spread: 0.42 Trade date: 11 August 2021 Security: ADBE Price at opening: 623 Direction: Put Expiry date: 13 August 2021 Strikes: 615 / 620 / 630 Structure: 2 / 3 / 1 Opening Spread: 3.19 Trade date: 11 August 2021 Security: NDX Price at opening: 4429 Direction: Put Expiry date: 13 August 2021 Strikes: 14830 / 15010 / 15100 Structure: 1 / 3 / 2 Opening Spread: 53.45 NB Partially closed the NDX position later in the day at just over 60 but will wait for the remainder to close or expire before posting a weighted average closing spread.