Trade Critique

Discussion in 'Options' started by Andy_Trade, Oct 27, 2007.

  1. nikko309

    nikko309

    Instead of all of the corrective comments:

    Post the position with the correct sign and remove the mess ups. It will be easier to follow.
     
    #11     Oct 27, 2007
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  2. Andy_Trade

    Andy_Trade

    Here it is with the delta's as they really were throughout the trade.

    WYNN Short Strangle Delta Neutral entered on 10/22/07. WYNN trading @ 151.39

    Sold 4 175 Calls @ 2.25 Delta .24
    Sold 8 125 Puts @ 1.30 Delta -.12

    Delta = 0

    10/23 WYNN closes @ 158.50

    4 175 Calls 2.25 - 2.75 = -200 loss.
    8 125 Puts 1.30 - .75 = +440 gain

    -200 + 440 = +240 unrealized gain.

    Delta of short calls .19 x 400 = -76
    Delta of short puts -.09 x 800 = +72

    Total delta = -4

    10/24

    WYNN closes @ 155.54

    Delta of calls .24 x 400 = -96
    Delta of puts -.08 x 800 = +64

    -96 + 64 = -32 Delta.

    sold 170 call @ 4.00 with a delta of .32. =-32 for trade.

    So at the end of the day the position is as follows:

    4 175 calls 2.25 - 3.50 = -500 loss
    8 125 puts 1.30 - .82 = +384 gain
    1 170 call 4.00 - 3.00= +100 gain

    -500 + 384 + 100 = -16 unrealized loss.

    Delta is at -64.

    10/25

    WYNN closed @ 156.68

    So today was the day I saw my gross error and after calculating the delta it is now -70.
    (4 calls .25; 8 puts -.07; 170 call .26)

    So to gain 70 delta I immediately bought back the 170 call @ 4.20 for a realized loss of 20 but a gain in delta of .26. Then I sold 2 140 puts @ 2.00 with a delta of -.23 for a gain of 46 delta.

    Now my delta error is corrected and real delta is +2. (-70 + 26 + 46 = +2)

    Position is as follows:

    4 175 calls 2.25 - 2.75 = -200 loss
    8 125 puts 1.30 - .63 = +536 gain
    2 140 puts 2.00 - 2.45 = -90 loss

    -200 + 536 - 90 = +246 unrealized gain.

    -20 realized loss on the 170 call.

    10/26

    WYNN moves up to close @ 164.65

    4 175 calls .24 x 400 = -96
    8 125 puts -.07 x 800 = +56
    2 140 puts -.22 x 200 = +44

    Delta is at +4

    At yesterdays close the position was as follows:

    4 175 calls 2.25 - 3.70 = -580 loss
    8 125 puts 1.30 - .30 = +800 gain
    140 puts 2.00 - 2.00 = 0

    -580 + 800 + 0 = +220 unrealized gain.

    -20 realized loss on the 170 call.

    This is where the trade stood when the day ended yesterday. I checked the deltas this morning and they are now as follows:

    175 calls .32 x 400 = -128
    125 puts -.05 x 800 = +40
    140 puts -.14 x 200 = +28

    Delta = -60

    So I need to start thinking about how to neutralize on monday.

    Thanks for all advice and critique. I'll post a couple other trades that I'm in later.
     
    #12     Oct 28, 2007
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