Opening (IRA): SPY March 24th 381/May 19th 430 LPD*

... for a 36.91 debit.

Comments: Re-establishing my broad market short delta hedge against a long delta portfolio. Buying the back month -90 delta put, and selling the front month +30.

36.91 cost basis with a 393.09 break even on a 49 wide.

* -- Long Put Diagonal.

Trade active:

Rolled the March 24th 381 to the March 31st 381 for a 1.17 credit. Cost basis of 35.74 with a 394.26 break even on a 49 wide. I left the IWM hedge alone for now, since price is under the short option leg, so it's amenable to max profit.

Trade active:

Rolled the March 31st 381 to the April 14th 389 for a 3.13 credit. Cost basis of 32.16 with a 397.39 break even on a 41 wide.

Trade active:

Rolled the April 14th 389 to the April 21st 389 for a .96 credit. 31.20 cost basis with a 398.80 break even on a 41 wide.

Trade active:

Taking the opportunity to extend duration on the back month now that it has minimal extrinsic in it. Rolling the May 430 -98 delta long put to the June 16th 425 -90 long put for a 3.96 credit. Cost basis of 27.24 with a 397.76 break even on a 36 wide. It does change my break even somewhat -- from 398.80 to 397.76 ... .

Trade active:

Ugh. We're in an upgrind here. Rolling the April 21st 289 short put to the April 28th 395 for a 2.01 credit. 25.23 cost basis with a 399.77 break even on a 30 wide.

Trade active:

Rolled the April 28th 395 to the May 5th 399 for a 2.18 credit. 23.05 cost basis with a 401.95 break even on a 26 wide.

Trade active:

Rolled the May 5th 399 to the May 19th 402 for a 2.01 credit. 21.04 cost basis with a 403.96 break even on a 23 wide.

Trade active:

Looking to roll out the long put leg of this from the June 425 long put to the July 436 (90 delta) to extend duration and increase short delta of the hedge. Entered an order for a 9.64 debit fill, but will adjust price if I don't get filled immediately.

Comment:

Filled for a 9.90 debit. 30.94 cost basis with a 405.06 break even on a 34 wide.

Trade active:

Rolled the >50% max May 19th 402 to the shortest duration 30 delta at or below my cost basis, which was the June 2nd 405 (30 delta) for a 1.79 credit. Cost basis of 29.15 with a 406.85 break even on a 31 wide.

Trade active:

This isn't yet at 50% max, but I can both realize a gain on the short leg, as well as widen out my diagonal for a decent credit, so am doing it here. Rolled the June 2nd 405 down and out to the June 16th 401 (32 DTE, 30 delta) for a 1.35 credit. Cost basis of 27.80 with a 408.20 break even on a 35 wide.

Trade active:

Rolled the June 16th 401 to the June 23rd 408 for a 1.38 credit. 26.42 cost basis with a 409.58 break even on a 28 wide.

Trade active:

Rolled the June 23rd 408 to the June 30th 409 for an .88 credit; cost basis of 25.54 with a 410.46 break even on a 27 wide.

Trade active:

Rolling the June 30th 409 at >50% max to the July 7th 417 for a 1.69 credit. 23.84 cost basis with a 412.15 break even on a 19 wide. This is above my cost basis, but am running out of road with the back month in the July monthly. As with my QQQ long put diagonal, will look to widen back out via roll of the long or roll of the short.

Trade active:

Rolling the >50% max July 7th 417 to the July 14th 434 for a 2.10 credit. Cost basis of 21.74 with a 414.26 break even on a 2 wide. I'm running out of road with the back month long, so will look to roll that out in the next couple of weeks.

Trade active:

Going ahead and extending duration on the back month here, rolling from the July 21st 436 long put to the August 18th 442 long put for a 4.27 debit. 26.01 cost basis with a 415.99 break even on an 8 wide.

Trade active:

Now rolling the short option leg down and out to the August 18th 425 for a .91 credit. 25.10 cost basis with a 416.90 break even on a 17 wide.

Trade active:

Rolling the back month to the 90 delta -- from the August 18th 442 to the Sept 15th 460 for a 12.32 debit. 37.42 cost basis with a 422.58 break even on a 35 wide.

Trade active:

Rolling the August 18th 425 short put to the August 25th 441 (30 delta) for a 2.44 credit. 34.98 cost basis with a 425.02 break even on a 19 wide.

Trade active:

Rolling the August 25th 441 short put to the Sept 1st 447 for a 1.36 credit. 33.62 cost basis with a 426.38 break even on a 19 wide.

Trade active:

As with my IWM and QQQ long put diagonals, took the opportunity here to extend duration on the back month out to November by rolling the Sept 15th 460 out to the Nov 17th 470 for a 10.06 debit. 43.68 cost basis with a 426.32 break even on a 23 wide. The front month short is in the Sept 1st, so I would've only had a couple weeks' worth of "road" to extend duration.

Trade active:

Rolled the Sept 1st 447 to the Oct 20th 436 for a 1.00 credit. 42.68 cost basis with a 427.32 break even on a 34 wide. Going on vacation and would rather have the short option leg out of the money than in ... . Wasn't quite able to widen it such that the short leg was under my cost basis without paying a debit, so this will have to do.

Trade active:

Rolled the Oct 20th 436 to the Oct 20th 440 (30 delta) for a .70 credit. 41.98 cost basis with a 428.02 break even on a 30 wide.

Trade active:

(Late Post). Rolled the Nov 17th 470 long out to the Jan 470 while I could do so for "cheap." Paid a .35 debit, resulting in a cost basis of 42.33 with a 427.67 break even on a 30 wide. Waiting to roll out the October 20th 440 short ... .

Trade active:

Rolled the October 20th 440 short put to the December 15th 435 for a .96 credit. 41.37 cost basis with a 428.73 break even on a 35 wide.

Trade active:

Rolling the December 15th 435 to my break even strike in Jan (the 429) for a .61 credit. 40.76 cost basis with a 429.24 break even on a 41 wide.

Trade active:

As with my QQQ LPD (long put diagonal), did a covered call against here to offset the net short delta of the LPD, resulting in a fairly delta neutral setup.

SPY January 19th 470 Covered Call
Cost Basis: 456.24

Entire Setup Delta/Theta: 8.27/5.83
Entire Setup Cost Basis: 497.00

I'll be looking to roll out the long put aspect of the setup here in the next couple of weeks and then manage the short option aspects from there to reduce cost basis. If I have an opportunity to scratch out the LPD, I'll probably do that first, but I don't' see this quickly imploding to my break even, so it will be more about whittling away my cost basis over time.

Granted, this is probably one of the crappier places to get into what would ordinarily be a standalone bullish assumption setup ... . :-(

Trade active:

Rolling down the Jan 19th 470 short call to the January 19th 466 for a 1.16 credit.

SPY Jan 19th 466 Cost Basis: 455.08
LPD Cost Basis: 40.76
Entire Setup Cost Basis: 495.84

Trade closed manually:

Global Close: Closed the covered call aspect for a 462.14 credit. 7.06 ($706) winner, but ... closed the the short delta hedge for a 5.07 credit, 35.09 ($3509) loser. I'm fine with that, since in spite of it, I made goal this year.

The short delta hedges in SPY and QQQ were far and away the biggest losing trades of 2023 (I managed to scratch out the IWM). I'm not sure I'll re-erect those, given my strategic approach (i.e., selling the shortest duration <16 delta put paying around 1% of the strike price in credit) and the frequency with which I got assigned shares at the strikes I sold (0 times).