Monday, June 4, 2012

SPX Strangle

http://screencast.com/t/rQ98jUqPE

28 comments:

  1. Rolled up the 1190 Put to 1215 at very end of day for $1.35 credit to stay delta neutral.

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  2. Rolled up 1215 Put to 1240 for $1.45 credit.

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  3. Rolled 1240 Put to 1250 for $0.75 credit.

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  4. This trade is getting interesting - the short 1330 call that had a delta of about 0.1 a couple of days ago is now at the money. Fortunately the position is small so it is not causing any real pain so will just wait it out and see what happens, and maybe keep rolling the put up.

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  5. Rolled the 1250 Put up to 1290 for $3.10 credit in order to lower delta a little bit. Short 1330 call doesn't look too pretty but plan is to just hold out till next Wednesday and see where it is at that time.

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  6. Should have stuck to my original plan but got scared out of my position and rolled the 1330 call up and out to next week with the 1340 strike price for $2.30 credit. Very hard to fill the order and ended up doing it at the natural even though I started out at mid and made numerous 5 cent adjustments to my asking price - not very happy with fills on SPX.

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  7. I only traded SPX options once and had a similar issue. I remember hearing other traders say they use SPY instead because it was more liquid and thus tighter fills.

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  8. “If you leave the smallest corner of your head vacant for a moment, other people's opinions will rush in from all quarters”
    George Bernard Shaw

    I think the mistake you made is listening to Karen, she had a light
    bulb turn on after 5 or 6 years.
    You should be able to get out of the trade today with profit
    Harshad

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  9. I have had multiple opportunities to get out of this trade but I have no desire to do so at this point, the trade is going fine with the exception of difficulty in getting tight fills.

    The 1290 Put expires Friday morning so I will take that off tomorrow.

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  10. Closed out the 1290 Put today for a $0.30 debit. Then sold the next weekly 1270 Put for $6.00 to strangle off my call, so position is:

    -1 1270 Put
    -1 1340 Call

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  11. Just before the close, rolled the 1270 put up to 1285 for $2.05 credit.

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  12. Trade Adjustment - rolled up the weekly 1340 Call to regular July 1360 for a $2.00 credit because I want to protect against a possible big up move next week after Greek election nonsense is over, and SPX is currently at 1336. Position is now:

    -1 Jun4 1285 Put
    -1 July 1360 Call

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  13. Trade Adjustment: Bought to close the short 1285 Put for $1.20 since it was cheap this morning, then sold the Jul 1290 Put for $13.80. Position now:

    -1 July 1290 Put
    -1 July 1360 Call

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  14. Sandeep,
    How do you manage your overall portfolio? Do you primarily trade short premium? Do you have a target theta number?

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  15. I am heavily influenced by trading style of Tom Sosnoff. I am a member of tastytrade and I strongly encourage anyone who wants to become a better trader to join tastytrade.

    https://www.tastytrade.com/tt/

    My trading style is always evolving, but one thing that is constant is that I exclusively trade short premium, and I always want theta working for me.

    I have no target theta number, and it is not something that I really follow very much though I do see it and it is interesting to watch it grow as expiration draws near.

    I don't manage my portfolio from a top down approach - which is to say that I don't beta weight my portfolio, I don't know my total portfolio theta, and I don't try to adjust my total portfolio to have a long or short bias. Rather, I take a bottom up approach. Every day I look at what the market presents and put on new positions and take off existing positions depending on what the market provides. I'm not constantly looking at all the positions but of the 30-40 underlyings I may have positions in at any given time I am aware of what positions may need adjusting and which ones I can just leave alone.

    Hope that answered your question.

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  16. Tomorrow will be interesting. The good thing about this SPX trade is that I have stayed small so managing the position is pretty easy no matter what happens. By moving out to July expiration I have also given myself a little duration which will make it easier to ride out any wild swings we get in the very near term.

    The market has made a big move up recently and it is at some resistance levels so I am presuming that whatever news comes out tomorrow will be taken as a signal for it to head lower, which would be great for my position. So if that happens I can just sit tight and do nothing.

    On the other hand if the market jumps higher tomorrow on the news, then the plan will be to roll the 1290 Put up and collect some more premium. I will probably just leave the 1360 Call alone, but I will look to sell another call at a much higher level, perhaps near the old high of 1422. That is the advantage of staying small, you have so much more flexibility with the adjustments.

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  17. Change of plan - decided to move the call further out of money ahead of announcement in an attempt to minimize damage control if market makes a big move up so rolled to Aug. 1380 call for $0.05 credit.

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  18. Sold the Aug 1265 Put for $14.60 to create the strangle.

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  19. Position Update:

    -1 Jul 1290 Put
    -1 Aug 1265 Put
    -1 Aug 1380 Call

    Will try to sell a call against the July Put if the market rebounds a bit.

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  20. Sold July 1370 Call for $7.10

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  21. Couple of adjustments yesterday, rolled the July 1290 Puts up to 1320 for $3.70 credit and rolled Aug 1265 Put up to 1290 for $3.80 credit. Position now is:

    -1 Jul 1320 Put
    -1 Jul 1370 Call
    -1 Aug 1290 Put
    -1 Aug 1380 Call

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  22. Trade Adjustments:
    Rolled July 1320 Put up to 1350 for $6.10 credit.

    Rolled Aug. 1290 Put up to 1330 for $8.15 credit.

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  23. Trade Adjustment:
    Rolled July 1370 Call down to 1360 for $2.25 credit.

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  24. Trade Update:
    Bought to close Jul 1350/1360 Strangle for $14.65 debit.
    Remaining position is -1 Aug 1330/1380 Strangle.

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  25. End of Trade:
    Just bought to close the Aug 1330/1380 Strangle for $28.85. Will post the final P/L results for this experience tomorrow.

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  26. Final Results:

    Contracts traded: 38
    Commissions: $28.50
    Profit: $3930.

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  27. I would like to see more of your trades

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  28. Great trading. I am also a tastytrade member and trade SPX strangles those seem to always get me in trouble early, but Since i never go over 1 contract i can easily handle them

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