Comments: After closing out my last setup in profit, reentering anew, selling the 26 delta on both sides to get about 50% of the buying power effect of the setup in credit. I'm staying with the March 31st here, as the April expiry is a bit too far out in time yet. 81.75 credit (408.75 max) on BPE of 940.00 or so; 43.5% ROC at max; 21.7% at 50% max.
As before, I'll look to do additive delta adjustments at intervals to keep the delta/theta ratio <1.0.
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Selling the 4040/4350 slightly long delta skewed short strangle for a 77.50 credit to delta balance and to throw another long on the theta fire. Total credits collected of 159.25 ($796.25 max).
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Selling the -19 delta call at the 4325 strike for 21.25 to cut net delta in half. Total credits collected of 159.25 + 21.25 = 180.50.
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Closing the 4330 and 4350 short calls for a realized gain and a total of a 38.50 debit; selling the -37 delta 4210 and -32 delta 4240 calls against their correspondent short puts for 105.00 in credits total; and selling the +19 delta put at 3860 strike for a 34.25 credit, bringing the entire she-bang back to delta neutral. 180.50 - 38.50 + 105.00 + 34.25 = 281.25 total credits collected.
Current position: March 31st 3860P/4000P/4040P/4210C/4240C/4325C.
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Closed the 4210C for a 49.25 debit and the 4240C for a 38.75 debit and sold the 4170C for a 65.25 credit and the 4200 for a 52.75 credit to delta adjust. 311.25 total credits collected.
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Functionally rolled the 4325 call down to the 4210 call for a 21.50 credit to cut net delta. Total credits collected of 332.75.
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Closed the 4200 call for a 36.25 debit and the 4170 for a 46.25 debit. Replaced with oppositionally delta'd short calls at the 4075 and 4110 strikes for 89.50 and 71.75 respectively. Total credits collected of 332.75 - 36.25 -46.25 + 89.50 + 71.75 = 411.50 ($2057.50 max). Net delta of the position is now neutral.
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I'm looking to take maximal advantage of the vol expansion here by collecting as much credit as possible on the off chance IV contracts from here ... .
Trade closed manually
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Money, take, run ... . Closed for 380.50 in total. (411.50 - 380.50)/.2 - 1.55 ($155) profit. With IV contracting here somewhat (VIX was-1.14 to 21.14), will probably wait a little bit to see if we get another expansion before running this anew out in the April monthly.
When do you think will you take this whole trade off? Do you have a specific profit target in mind? Or when you run out of room to roll down?
NaughtyPines
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@judgeFredd, I'll probably continue to work it until the April monthly (currently 56 days until expiry) gets a little shorter in duration. Until then, I'll continue to manage sides to keep it fairly delta neutral. I would like to get at least 25% of total credits collected, but a lot depends on how much it moves. If it stays right around here, I'm golden. If it makes a big move, probably not so much.
judgeFredd
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Hey Naughty, what is the delta at which you make an adjustment by rolling down the calls, like you did in your last update? You usually say when delta/theta ratio gets greater than 1, but was that the case here? The theta of the options must have been >5 adding all of them up, but the delta was maybe 0.25 or so? Thanks in advance.
NaughtyPines
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@judgeFredd, I probably should've written it down ... . My guess, though, is that it probably wasn't absolutely necessary and (as it turns out), the market basically finished little changed from the open, so I could've just left it alone (which is always an option). It was probably something more subjective like: "Do I want to be flatter directionally running into the long weekend?"