Opening (Margin): /MCL March 16th 78 Short Straddle

... for a 7.10 credit.

Comments: I still have a little bit of time in this cycle (35 DTE) to putz around with reverse gamma scalping /MCL, so putting on a fresh short straddle at the 78 strike for the starter position. Will generally look to make additive adjustments to keep the delta/theta ratio <1.0 right up until 21 DTE, at which time I'll take the whole pile of pasta off.

Current break evens for the setup are 70.90 on the put side, 85.10 on the call. 7.10 credit on buying power effect of 9.88, 71.8% return on capital as a function of buying power at max, 18.0% at 25% max.*

* -- Generally, I look to take profit on short straddles at 25% of max.

Trade active:

Oil doing what oil does ... move. Delta/theta ratio skewing out short to >1.0, so selling the March 16th 81.5 long delta skewed short straddle to cut net delta in half. Position net delta still leans short, but with a delta/theta ratio of <1.0 now. Received a 7.50 credit; total credits received of 14.60.

Trade active:

A profitable, delta neutral subtractive trade here by closing out the 78P/81.5C for a 5.55 debit. Filled these legs for a total of 6.61; realized gain of 1.06 ($106). Total credits collected now 14.60 - 5.55 = 9.05. Net delta in the position is basically flat here.

Trade active:

Adding a very slightly skewed long delta 80.25 short straddle to delta balance back to neutral and throw a theta log on the fire. Filled for a 7.11 credit, with total credits collected now 16.16. My intention is to work this down to 21 DTE, which doesn't leave me all that much time (another 10 days or so), so am being a tad more aggressive with delta balancing here than I would ordinarily be if I had more DTE.

Trade active:

Selling the March 16th 79 short straddle to add theta and to delta balance a smidge. Received a 6.76 credit, so total credits received of 22.92 with 30 days until expiry. Position leans slightly long.

Trade active:

Selling the March 16th 78P/78.5C for a 6.35 credit to delta balance with 29 DTE. Total credits collected of 29.27.

Trade active:

Subtractive, profitable delta adjustment: Closing the 80.25 short straddle for a realized gain and a 6.75 debit. Total credits collected of 29.27 - 6.75 = 22.52. Net delta on the position basically flat here.

Trade active:

Selling the long delta skewed March 16th 80.5 short straddle for a 6.46 credit to cut net delta. The position still leans short, but with a delta/theta ratio of <1.0. Total credits collected of 22.52 + 6.46 = 28.98.

Trade active:

Closed the 79 short straddle for a realized gain and a 6.17 debit and opened the 76.75 short straddle for 6.13 credit to cut net delta in half. Still leans long with total credits collected of 28.98 - 6.17 + 6.13 = 28.94 at 28 days until expiry.

Trade active:

2 1/2 dollar move in the overnight ... . Yeesh. Rolled the 78.5 call down to the 76.5 for an .84 credit and sold the 73.5 short delta skewed short straddle for a 6.62 credit. Total credits collected of 28.94 + .84 + 6.62 = 36.40 with 27 days to go. Delta/theta ratio hanging right around 1.0 with the position leaning long.

Trade active:

And now selling the short delta skewed 74.5 short straddle for a 6.28 credit to cut net delta. Total credits collected of 42.68 with delta/theta <1.0.

Trade active:

Selling a -30 delta call at the 80 strike for a 1.34 credit to cut net delta in half. 44.02 total credits collected. Would like to look at peeling off units instead of adding them ... any minute now. (Please and thank you).

Trade active:

All but scratching out the 76.75 short straddle to reduce units since I did a lot of screwing around this morning adding units to cut net delta. The setup was delta neutral, so it doesn't change my position net delta (although it pulls a log off the theta fire). Closed for a 6.08 debit. Total credits collected of 44.02 - 6.08 = 37.94, with the position now leaning slightly short but with my delta/theta ratio at <1.0. Also frees up buying power should I need to make further adjustments.

Trade active:

One last adjustment here ... . (Yeesh. Just can't leave stuff alone, can I?) Selling the 76.5P against my 76.5C here and the 81.5C against my 81.5P for a 4.14 credit. Total credits collected of 42.08. Position net delta leans long, but with a delta/theta ratio of <1.0.

Trade active:

Closed the 78 short straddle for a realized gain and a 5.92 debit and sold a 75 put for 1.89 against my standalone 80 short call to delta balance. Total credits of 42.08 - 5.92 + 1.89 = 38.05. The entire position is currently marking at 35.80, so I've realized gains of about 2.25 ($225) so far with 24 days to go until expiry.

Trade active:

A delta neutral subtractive trade, closing out the oppositionally delta'd +30 delta 73.5 put and the -33 delta 80.5 call for a realized gain and a 3.04 debit. Total credits from fill-to-date: 38.05 - 3.04 = 35.01. Position is a smidge long, but well below delta/theta of 1.0 with about 18.00 of extrinsic left in it. Looking to hang out in March for another week or so before moving out to April (currently 56 days until expiry).

Trade active:

Cutting net delta running into the final days of this position before I move into April by selling a slightly long delta-skewed 78 short straddle for a 5.79 credit. Total credits collected of 40.80.

Trade active:

Functionally rolled the 76.5 short straddle to the 73.25 short straddle for a realized gain and a .38 credit to cut net delta in half to a delta/theta ratio of around .5. Total credits collected of 41.18. The position is currently marking at 38.74, so I've realized gains of 2.44 ($244) so far. Still 20.00 worth of extrinsic to potentially take advantage of, but don't want to hang out in the position too much longer ... .

Trade active:

Closed the delta neutral 74.5P/78C for a realized gain and a 4.17 debit. Resulting cost basis of 37.00.

Trade active:

Closed the mostly delta neutral 73.25P/74.5C for a realized gain and a 5.14 debit. Rolled the 81.5C down to the 74C for a 2.19 credit. Resulting cost basis: 34.05. This doesn't get my delta/theta ratio down to less than 1.0, but I'll roll down the other profitable calls I've got on in the event I don't get a bounce shortly.

Trade active:

And now rolling the 80C down to the 74.25 call for a 1.93 credit. Total credits collected of 35.98. Position still leans long.

Trade active:

Closing the 73.25C for 3.36 and the 73.50C for 3.23 and opening 2 x 74.5C for a total of 5.36. Total credits fill-to-date: 34.75.

Trade active:

Sold the 72.5 short straddle to reduce directionality for a 5.80 credit. Total credits collected of 40.55. With the little bounce overnight, I'm back to delta/theta <1.0 with around 19.00 ($1900) of extrinsic to work with and 21 days to go.

Trade closed manually:

Closed for 39.10 in total. 40.55 - 39.10 = 1.45 ($145) profit.