Opening (Margin): /MCL March 16th 79.25 Short Straddle
... for a 9.19 credit.
Comments: A short delta additive adjustment trade here to cut net long delta in my entire /MCL position by about half, with the goal being to keep the delta/theta ratio under 1.0. The entire position still leans net long, but I will leave it that way to see if the market does some of the lifting for me.
Total credits collected of 13.90. As with my /MES reverse gamma scalping setup, looking to take about 25% of total credits received out of the position, closing it out in its entirety at no later than about half way through the cycle (i.e., around 21 DTE) before moving on to the next monthly.
For those of you just tuning in: This is not a standalone trade. It is an adjustment to an existing position with delta/theta metrics peculiar to that position. Unless you have that exact same position on with the exact same delta/theta metrics, this trade will only be informational or educational as to how to make an additive delta adjustment to a position you currently have on, particularly using a skewed short straddle to accomplish the task. I would note that this isn't the only way in which to adjust position net delta; it is just the tool I am using in this particular case.
The entire position is also nondirectional by nature with the sole effort being to keep the net position's zero delta/gamma point within shouting distance of current price with various delta adjustments, some of which will be additive (adding contracts), some of which will be subtractive (closing out contracts). I have no opinion as to where oil goes from here or how much it will move in any given day or over a given time frame or whether a particular level is important or not for price action purposes. This type of setup is basically a bet that the underlying stays within the expected move (EM) or some factor of the expected move as determined by options delta and little else.
Comments: A short delta additive adjustment trade here to cut net long delta in my entire /MCL position by about half, with the goal being to keep the delta/theta ratio under 1.0. The entire position still leans net long, but I will leave it that way to see if the market does some of the lifting for me.
Total credits collected of 13.90. As with my /MES reverse gamma scalping setup, looking to take about 25% of total credits received out of the position, closing it out in its entirety at no later than about half way through the cycle (i.e., around 21 DTE) before moving on to the next monthly.
For those of you just tuning in: This is not a standalone trade. It is an adjustment to an existing position with delta/theta metrics peculiar to that position. Unless you have that exact same position on with the exact same delta/theta metrics, this trade will only be informational or educational as to how to make an additive delta adjustment to a position you currently have on, particularly using a skewed short straddle to accomplish the task. I would note that this isn't the only way in which to adjust position net delta; it is just the tool I am using in this particular case.
The entire position is also nondirectional by nature with the sole effort being to keep the net position's zero delta/gamma point within shouting distance of current price with various delta adjustments, some of which will be additive (adding contracts), some of which will be subtractive (closing out contracts). I have no opinion as to where oil goes from here or how much it will move in any given day or over a given time frame or whether a particular level is important or not for price action purposes. This type of setup is basically a bet that the underlying stays within the expected move (EM) or some factor of the expected move as determined by options delta and little else.
Trade active:
Since a delta adjustment trade doesn't make much sense standing alone, tacking on adjustments to this ideas post instead, so that you can see the adjustments over time in the context of the entire position ... .
With my delta skewing out to +35 or so, selling a -18 delta March 16th 76.5 skewed short straddle for a 9.11 credit to cut net delta by about half. Total credits collected of 23.01, with the resulting delta being around +17 for the entire position.
With my delta skewing out to +35 or so, selling a -18 delta March 16th 76.5 skewed short straddle for a 9.11 credit to cut net delta by about half. Total credits collected of 23.01, with the resulting delta being around +17 for the entire position.
Trade active:
The entire position has skewed slightly short, so looking at what I have on to see if I can do a profitable subtractive adjustment and lose a little short delta in the process, since I still have quite a bit of time left in the position (44 DTE). And voila! Closing the 79.25 short straddle for an 8.48 debit which drops my short delta a smidge and frees up the buying power should further additive adjustments need to be made. Put on for a 9.19 credit; closing it out here for 8.48; .71 ($71.00) profit. Total credits received now 23.01 - 8.48 or 14.53 ($1453). Cycle to date realized gains: .71 ($71).
Trade active:
Closing out a smidge of profitable short delta by closing out the -7 delta short call at the 97 strike. Filled this leg for a .70 credit; closed here for a .34 debit. .36 ($36) profit. Total credits now 14.19. Cycle to date realized gains: 1.05 ($105). Net position still leans short, but with a delta/theta ratio <1.0.
Trade active:
And kind of dumped today ... . Selling the March 16th 75.50 short straddle for an 8.25 credit to cut net delta in half here. Total credits collected: 14.19 + 8.25 = 22.44. Position net delta leans long here ... .
Trade active:
Selling a -13 delta call against to cut net delta and to resolve put side unit imbalance (I've got one more short put than call) at the 89 strike for a .59 credit. Total credits collected of 23.03. This actually frees up a little bit of buying power here ... .
Trade active:
Closing the 76.50 short straddle for an 8.04 debit. I filled this for a 9.11 credit, so this results in a realized gain of 1.07. Total credits collected of 23.03 - 8.04 = 14.99. Cycle Realized Gains to Date: 2.12 ($212).
Comment:
Closed the 101 short call for an .11 debit. It's only 3 delta and doesn't have much extrinsic left in it, so isn't providing much "pro" anyway. I filled this for .38, so closing it out results in a .27 ($27) realized gain. (Not sure why I sold it for so little in the first place; it's almost not worth it). In any event, total credits collected: 14.88. Cycle Realized Gains To Date: 2.39 ($239).
Trade active:
Replacing the short call I just took off ... . Selling the -15 delta 88 call against to cut position net delta in half for a .66 credit. Total credits collected of 15.54. Net delta still leans long, but I still have one short call that I can functionally roll down to balance without doing an additive delta balancing trade -- the 93, which is currently at 67% of max. I'll leave it alone for now, since my delta/theta ratio is <1.0.
Trade active:
Closed the 93 call for a .29 debit and opened the 87 for a .73 credit. Total credits collected of 15.98 relative to the entire position's current value of 14.29, so I've realized gains of about 1.69 ($169) so far. Position's net delta leans slightly long here.
Trade active:
Yeesh. Kinda caving in here ... . Selling the 72 skewed short straddle for an 8.21 credit to cut net delta. Total credits collected of 24.19 with the net position leaning long.
Trade active:
Rolling the -9 delta 89 call down to the -24 delta 82 for a .91 credit to reduce net delta by about half. Total credits collected of 25.10.
Trade active:
Rolling the -10 delta 88 down to the -24 delta 81.5 for an .83 credit. Total credits collected of 25.93. Net position still leans long.
Trade active:
A subtractive, delta neutral trade. Closing the 75.5 short straddle for a 7.92 debit, resulting in a small realized gain of .29 ($29). Net delta now leans a tad short, but the delta/theta ratio is <1.0, so will leave it alone for now.
Trade active:
Total credits collected of 18.01, btw.
Trade active:
On second thought ... . Doing an additive, small delta adjustment trade here by selling the slightly long skewed 76.5 short straddle for a 7.94 credit. Total credits collected of 25.95. Position net delta still leans a tad short.
Trade active:
Rolling the 72 short put up to the 75..5 for a 1.42 credit to cut net delta in about half. Total credits collected of 27.37 with net delta leaning short and the delta/theta ratio at about .55.
The general rule here is to look for profitable subtractive delta adjustments first, then nonadditive profitable ones (i.e., rolls of untested sides), then additive ones.
The general rule here is to look for profitable subtractive delta adjustments first, then nonadditive profitable ones (i.e., rolls of untested sides), then additive ones.
Trade active:
Big move today on Turkey earthquake news ... . Selling a long delta skewed short straddle at the 84 strike for a 9.20 credit to cut net delta in about half. Total credits collected of 36.57. Position net delta leans net long with delta/theta .9 or so.
Trade active:
And rolling up the 76.5 put to the 79 for a 1.17 credit to cut net delta a little more. Total credits collected of 37.74. Still leaning short, but now with a delta/theta ratio of .71.
Trade closed manually:
Closed for 34.24; 2.87 ($287) winner.