Opening (Margin): /MES March 17th 4075 Short Straddle
... for a 199.75 credit.
Comments: 199.75 credit (998.75 max) on buying power effect of 1038.55; 96.2% ROC at max; 24.0% at 25% max.*
A different form of a reverse gamma scalping setup using short straddles. In this case, delta adjustments are made using additive skewed short straddles to delta balance. For example, if the position skews out to -20 short delta, you sell a slightly skewed long delta short strangle to delta balance. I'm intending to leave the entire position on (the original plus any skewed straddle adjustments) running into no later than about half way into the cycle (21 DTE), but will pull the entire thing off in profit earlier if I get an opportunity to do so.
An example of a short straddle that is skewed long delta: March 17th 4140 short straddle, +19 delta (put deeper in-the-money than the call).
An example of a short straddle that is skewed short: March 17th 4020 short straddle, -20 delta (call deeper in-the-money than the put).
* -- With short straddles, I generally look to take profit at 25% max, since these have less room to be wrong than a short strangle. Most at-the-money short straddles set up with expected move break evens, which is less room to be wrong than I would ordinarily set up with a short strangle, where I generally set up sides at 2 x the expected move.
Comments: 199.75 credit (998.75 max) on buying power effect of 1038.55; 96.2% ROC at max; 24.0% at 25% max.*
A different form of a reverse gamma scalping setup using short straddles. In this case, delta adjustments are made using additive skewed short straddles to delta balance. For example, if the position skews out to -20 short delta, you sell a slightly skewed long delta short strangle to delta balance. I'm intending to leave the entire position on (the original plus any skewed straddle adjustments) running into no later than about half way into the cycle (21 DTE), but will pull the entire thing off in profit earlier if I get an opportunity to do so.
An example of a short straddle that is skewed long delta: March 17th 4140 short straddle, +19 delta (put deeper in-the-money than the call).
An example of a short straddle that is skewed short: March 17th 4020 short straddle, -20 delta (call deeper in-the-money than the put).
* -- With short straddles, I generally look to take profit at 25% max, since these have less room to be wrong than a short strangle. Most at-the-money short straddles set up with expected move break evens, which is less room to be wrong than I would ordinarily set up with a short strangle, where I generally set up sides at 2 x the expected move.
Trade active:
In contrast to my /MCL position, this doesn't require adjustment at the moment, with delta at 4.14 and theta at 10.43 (i.e., a delta/theta ratio of .40).
Trade active:
Now that FOMC rate hike decision is over, cutting net short delta in about half with a skewed long delta short strangle at the 4200 strike. Filled for 183.25. Total credits collected: 383.00 even.
Trade active:
This is on the verge of a delta/theta ratio of 1.0, but I'm going to wait to see what New York does with AAPL, GOOG, and AMZN; they are all down in AH and post-earnings. If the market does the lifting for me (in my case, sells off a bit), I won't have to make an adjustment until another day.
Trade active:
Now that I think about it ... . Closing the 4075/4200 for a 139.25 debit. I filled this pair of legs for a 164.00 credit total, so closing it here results in a realized gain of (164.00 - 139.25)/.2 = $123.75. Total credits collected now 243.75.
This cuts net delta in about half and frees up BP for future adjustments. The downside (somewhat): it temporarily leaves me with a 4075C/4200P 125-wide inverted.
This cuts net delta in about half and frees up BP for future adjustments. The downside (somewhat): it temporarily leaves me with a 4075C/4200P 125-wide inverted.
Trade active:
Fixing my inverted ... . Closed the 4200P for a $45 realized gain and a 108.25 debit, sold the 4075P against my 4075C for a 60.50 credit, and the 4220 long delta skewed short straddle for a 184.50 credit. Total credits collected now 243.75 - 108.25 + 60.50 + 184.50 = 380.50. Net position leans slightly short ... .
Trade active:
Closed the 4220 for a 45.00 debit for a realized gain. Opened the 4260 for a 31.75 credit. I actually intended to roll this closer to ATM, but that's okay, since it ended up bouncing a tad after I took off the 4220. Total credits collected 380.50 - 45.00 + 31.75 = 367.25.
Trade active:
Going ahead and doing an additive delta adjustment trade here by selling the slightly short delta skewed 4110 short straddle for a 188.25 credit which cuts my net delta in half. Total credits collected of 555.50. Net delta of the entire position still leans a smidge long.
Trade active:
Rolled the 4110 put up to the 4170 for a 21.00 credit. Total credits collected of 576.50. Still leans a smidge short here.
Trade active:
Added a 73 short put for a 1.78 credit to cut net delta in half. Total credits collected of 39.52. Still leaning long ... .
Trade active:
Closed the 75P/84C for a realized gain and a 4.14 debit. Total credits collected of 39.52 - 4.14 = 35.38. Delta/theta ratio is a smidge > 1.0 here, so may want to add something back in.
Trade active:
Opened the 27 delta 73.5 for a 1.73 credit to cut net delta in half. Total credits collected now 37.11 with net delta leaning long and delta/theta at .51.
Trade closed manually:
Ooops. Have some /CL mixed in here ... . In any event, closed out my /MES position for a 618.10 debit. 41.50 (207.50) loser. Goofed around with it a little bit too much, but I'm (somewhat) fine with that, since I'm up 7.2% YTD.