Opening (IRA): QQQ March 24th 280/May 19th 323 LPD*

... for a 31.72 debit.

Comments: Short delta hedge against a long delta portfolio. Buying the back -90 delta put and selling the front +30 to give me -60 delta/contract worth of hedge. This isn't a commentary or forecast of where the market goes from here, but rather in the nature of buying protection to keep my wife from yelling at me because her portfolio is down too much.

31.72 cost basis with a 291.28 break even on a 43 wide.

* -- Long put diagonal.

Trade active:

Rolled the March 24th 280 to the March 31st 280 at the open for an .85 credit. Cost basis of 30.87 with a 292.13 break even on a 43 wide.

Trade active:

Well, that kind of took off ... . Rolling the March 24th 280 to the April 6th 292 for a 1.91 credit. Cost basis of 28.96 with a 294.04 break even on a 31 wide.

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Rolled the April 6th 292 to the April 14th 294 for a 1.21 credit. 27.75 cost basis with a 295.25 break even on a 29 wide.

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Rolled the April 14th 294 to the April 21st 294 for an .84 credit. Cost basis of 26.91 with a 296.09 break even on a 29 wide.

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Put in an order to roll the April 21st 294 to the May 5th 296 (+30) delta, since futures are showing weakness here and price is above my setup break even. I'll do the same thing with my IWM long put diagonal, but leave my SPY alone (since price there is below my break even).

Trade active:

Filled for a 2.23 credit. 24.68 cost basis with a 298.32 break even on a 27 wide. The back month with this one is still in the May 19th, so only have a couple of rolls I can still do (to the 12th and then to the 19th) to reduce cost basis, so may have to roll the long out for duration, depending on what the Q's do from here.

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Rolled the 323 long call out to the June 345 for a 16.71 debit and the 296 short put to the May 12th 304 for a 2.23 credit. 39.16 cost basis with a 305.84 break even on a 41 wide. Since I don't have any more QQQ short put on, I may go ahead and sell a covered call here as (of all things) a long delta hedge against this setup.

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Rolled the May 12th 304 short put to the June 2nd 305 for a 1.93 credit. Cost basis of 37.23 with a 307.77 break even on a 40 wide.

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Extending back month duration here with minimal extrinsic left in the June 345 ... . Rolled from the June 345 long call to the August 347 long call (90 delta) for a 3.06 debit. Cost basis of 40.29 with a 306.71 break even on a 42 wide.

Trade active:

Rolled the June 2nd 305 to the June 9th 306 for a .71 credit; 39.58 cost basis with a 307.42 break even on a 41 wide. This isn't quite to the 30 delta; the June 9th 306 is currently at the 22. Rolling out to the shortest duration 30 delta at or below my cost basis would've entailed my rolling all the way out to the July monthly, and I didn't want to light alot of my rolling opportunities on fire yet.

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The June 9th 306 isn't quite at 50% max, but rolling it out here to the June 16th 307 for an .89 credit. Cost basis now 38.69 with a 308.31 break even on a 40 wide.

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Trying to stay patient and mechanical here, but boy ... that is a move since I put this on. Rolling the June 16th 307 to the June 23rd 308 for a .35 credit. Cost basis of 38.34 with a 308.66 break even on a 39 wide.

Trade active:

Ay, caramba. This kind of got away from me here ... . Biting the bullet and rolling up and out from the June 23rd 308 to the June 30th 337 for a 3.53 credit. 34.81 cost basis with a 312.19 break even on a 10 wide. This is above my cost basis by some measure ... .

Trade active:

Rolling the June 30th 337 at greater than 50% max to the July 7th 344 for a 1.86 credit. 32.95 cost basis with a 314.03 break even on a 3 wide. Hoping for an opportunity to widen this back out either via a down and out roll of the short put or an up and out roll of the long put.

Trade active:

Rolled the August 18th 347 Long Put to the Sept 15th 365 (which was at-the-money when I did it this morning) for a 7.05 debit. I did this so that I wouldn't have to roll the short put above the long put strike. 40.00 cost basis with a 325 break even on a 21 wide. Will look to roll the short option leg (which is at >50% max) out and up a bit tomorrow.

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Now rolling the >50% max short option leg from the July 7th 344 to the July 14th 362 for a 2.96 credit. Cost basis of 32.07 with a 327.98 break even on a 3 wide.

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Rolling out the July 14th 362 to to the August 18th 353 for a 1.11 credit. 35.91 cost basis with a 329.09 break even on a 12 wide.

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Rolling the back month long from the September 15th 365 to the October 20th 400 (90 delta) for a 22.52 debit. 58.43 cost basis with a 341.57 break even on a 47 wide.

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Rolled the August 18th 353 to the August 25th 369 (30 delta) for a 3.16 credit. 55.27 cost basis with a 344.73 break even on a 31 wide.

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Rolled the August 25th 369 to the Sept 1st 370 for a .90 credit. 54.37 cost basis with a 345.63 break even on a 30 wide.

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Extended duration of my back month long for a weenie credit ... . Rolled the Oct 20th 400 to the Nov 17th 399 for a .03 credit. I'm anticipating potentially needing more "road" to roll the front month short (which is currently in-the-money) down and out, but will wait a bit longer here for more extrinsic to piss out of it.

Trade active:

Vacation roll from the Sept 1st 370 to the Oct 20th 360 for a 1.13 credit. 53.24 cost basis with a 345.76 break even on a 39 wide. Figured I'd be more comfortable having the short leg out of the money than in ... .

Trade active:

As with my IWM short delta hedge, taking the opportunity to roll the nearly 100 delta longs out in time to the January 396 for a 1.66 credit. Cost basis of 51.58 with a 344.52 break even on a 36 wide. Similarly, I gave up a little bit of break even ground relative to the last roll (from 345.76 to 344.52), but anticipate rolling the short option leg down and out for a credit toward expiry, which will reduce my cost basis somewhat (and improve my break even). I looked at also doing this in SPY, but the long leg isn't quite there yet (ideally you want to roll out for duration when the vast majority of extrinsic has pissed out of the option and its delta is convergent on 100).

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Rolled the 360 short put up to the 366 (30 delta) for a 1.22 credit. 50.36 cost basis with a 345.64 break even on a 30 wide.

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Rolled the October 20th 366 to the December 15th 355 for a 1.13 credit. 49.23 cost basis with a 346.77 break even on a 41 wide.

Trade active:

An opportunity to roll the short put down to my break even strike: rolling the December 355 to the January 346 for a .68 credit. 48.55 cost basis with a 347.45 break even on a 50 wide.

Trade active:

With virtually nothing on to "hedge the hedge," so to speak, went January 19th 403 covered call at the close for a 386.22 debit. While I'll continue to look at the setup in pieces (i.e., the covered call aspect vs. the long put diagonal aspect*), I'll also consider taking off the entire setup (long stock, short call, short put, long put) as a single unit.

Covered Call Cost Basis: 386.22
Long Put Diagonal Cost Basis: 48.55
Cost Basis of Entire Setup: 434.77
Delta/Theta: 14.85/4.30

The natural alternative would've been to sell a long call diagonal against which would've been cheaper, but I wanted the static delta/all intrinsic value of the stock with the ability to roll the short call out further in time than I could with the short call aspect of the long call diagonal where you do not want to roll the short call out past the expiry of the long call (and may be prohibited from doing so if working with a broker where the short call would be functionally "naked").

I also did the same with my SPY LPD ... .

* -- The long put diagonal is currently a vertical spread with both the long and short put aspects in the same expiry, but I'll look to roll out the long put here in the next few weeks.

Trade active:

Rolled the Jan 19th 403 short call down to the Jan 19th 398/30 delta for a 1.44 credit.

Jan 19th 398 Covered Call Cost Basis: 384.78
LPD Cost Basis: 48.55
Entire Setup Cost Basis: 433.33

Trade closed manually:

Global Close: Closed the covered call aspect for a 393.66 credit; 8.88 ($888) winner. Closed the short delta hedge aspect for a 3.49 credit; 45.06 ($4506) loser. I don't like losing money on hedges, but I made goal for the year in spite of it, so I guess I'm happy with that.