This post collates all my current SPY positions in the June expiry including (a) the legs noted as 2x (which were from a setup rolled out to avoid call-side assignment risk around March ex-divvy); (b) a Jade Lizard addition that was intended to add in long delta with no upside risk; and (c) my most current short put vertical credit spread, which was also intended to add in long delta to move the net delta of the entire she-bang back to neutral/slightly short (as of Friday market close, the net delta of the SPY position is -4.51). Its scratch point is 5.40.*
Naturally, it looks like something of a mess in the manner in which it is graphically depicted, but there is a method to the madness.
First, the notion is keep the entire setup at near net delta neutral to slightly short from this point until about 25 DTE, after which I generally don't tweak or add to the position, since there is generally too little time for it to be worthwhile after that point. This "tweakage" can be done in a variety of ways -- adding in short put verts/naked short puts for long delta, short call verts/naked short calls for short, skewed iron condors/short strangles that are slightly one way or the other, or by peeling off sides to get the same result.
As you can see, however, things can get quite crowded where you may want to set up your tent, so it sometimes requires a little bit of creativity and fiddling to squeeze setups in where you want them (e.g., going with a 2x 2-wide versus a 1 x 4 wide or vice versa).
As time progresses, you will want to start peeling stuff off, particularly as it becomes worthless (and therefore of little protective use). As you can see, rolling things in toward current price becomes problematic with such an arrangement, because you'll potentially be stepping on other legs, and you don't want to inadvertently close legs out by rolling.
You can either peel off things as they were originally set up or look to mix and match individual legs. For example, I could peel off the 222/228 short put vert, the 222/226 short put vertical, or the 225/226 short put vertical to subtract long delta from the setup, that is, assuming it was profitable to do so.
Similarly, I can mix and match sides that were put on at different times: for example, pulling off the 2x 238/242 short call vert with the 222/226 and 225/228 short put verts, again assuming that was profitable.
Alternatively, I can treat the entire position as a single unit and look to take everything off at the same time when it becomes profitable to do so.
* -- I previously calculated the scratch point for the entire position at 3.46, overlooking the fact that the rolled out 231/234/238/242 had twice as many contracts as the other legs.
Naturally, it looks like something of a mess in the manner in which it is graphically depicted, but there is a method to the madness.
First, the notion is keep the entire setup at near net delta neutral to slightly short from this point until about 25 DTE, after which I generally don't tweak or add to the position, since there is generally too little time for it to be worthwhile after that point. This "tweakage" can be done in a variety of ways -- adding in short put verts/naked short puts for long delta, short call verts/naked short calls for short, skewed iron condors/short strangles that are slightly one way or the other, or by peeling off sides to get the same result.
As you can see, however, things can get quite crowded where you may want to set up your tent, so it sometimes requires a little bit of creativity and fiddling to squeeze setups in where you want them (e.g., going with a 2x 2-wide versus a 1 x 4 wide or vice versa).
As time progresses, you will want to start peeling stuff off, particularly as it becomes worthless (and therefore of little protective use). As you can see, rolling things in toward current price becomes problematic with such an arrangement, because you'll potentially be stepping on other legs, and you don't want to inadvertently close legs out by rolling.
You can either peel off things as they were originally set up or look to mix and match individual legs. For example, I could peel off the 222/228 short put vert, the 222/226 short put vertical, or the 225/226 short put vertical to subtract long delta from the setup, that is, assuming it was profitable to do so.
Similarly, I can mix and match sides that were put on at different times: for example, pulling off the 2x 238/242 short call vert with the 222/226 and 225/228 short put verts, again assuming that was profitable.
Alternatively, I can treat the entire position as a single unit and look to take everything off at the same time when it becomes profitable to do so.
* -- I previously calculated the scratch point for the entire position at 3.46, overlooking the fact that the rolled out 231/234/238/242 had twice as many contracts as the other legs.
Comment:
Rolling the 222/226 to the 230/233 for a .24 credit, picking up some long delta, locking in the profit experienced by this up move, as well as narrowing the spread. Scratch point for June is now 5.64; Delta at -16.75 post-adjustment ... .
Comment:
Selling some cheap (buying power wise) ATM short put vert to add a touch of long delta to reduce chances of getting getting "gamma slammed": June 19th 238/239 short put vert for a .43 credit. Scratch point now 6.07. Delta at -12.81.
Comment:
Covering the June 16th 255/228 short put vert at 50% max (a .26 db). Scratch point now at 6.33; net delta -17.24. Basically washed out the ATM delta adjustment I just made ... . Lol.
Comment:
In light of that delta adjustment wash, rolling the 2x 234 to the 235 for a .25/contract credit (.50 gross). Scratch at 6.83; net delta at -10.49.
Comment:
Hold on ... . Hold on. In this recent flurry of trades, did my math wrong (again). Scratch started out at 5.64, sold a spread for a .43 credit, covered a spread for a .26 debit, rolled up for a .50 (gross) credit, so 5.64 + .43 - .26 +.50 = 6.31. C'mon, man, get it together ... . Lol.
Comment:
Net delta's at -13.07, but if you look at the chart, it's really not doing much here since the post-French election upmove, so not making any adjustments at the moment.
Comment:
On second thought: Opening: June 9th 237/238.5 short put vert for a .48 credit here and to pick up some long delta for not only this position, but the overall portfolio (two birds, one stone). June position scratch point at 6.79/net delta -4.56. Opened in the June 9th because I wanted the half strike and the June 16th expiry is getting "peskily crowded."
Comment:
A little cleanup, a little delta balancing here. Adding a bit of "sensible" long delta around the 30 delta in the June 16th expiry -- a 234/236 short put vert for a .36 credit and pulling off risk by covering the 230/233/240/241 iron condor for an .88 db. The IC covering basically scratches out that IC, but also takes the tested 240/241 short call side "out of the equation." Scratch point -- 6.27; net delta -13 ish.
Comment:
Additional cleanup/delta balancing: Here, taking off the two ATM short put verticals -- the June 9th 237/238.5 and the June 16th 238/239 -- that I put on to avoid being gamma slammed while on vacation, the former for a .31 db; the latter for a .35 db. Buying (yes, buying) a June 16th 243/245 call vertical for a .48 db to add long delta back in. The long call vertical is more easily worked intraexpiry than the short put vert: if price continues up, I'll roll the long call up; if it caves in, I'll roll the short call down. Scratch point: 5.13; net delta: 7.60.
Comment:
And pretty much immediately "flipping" the long call vert I bought yesterday to a short call vert by rolling out to the June 21st 243/244 short call vert for a .51 credit and selling the June 23rd 231/233 short put vert for .37 to add some long delta on this down move (I could I not with VIX at 13+; lol). Scratch at 6.01; net delta 10.42.
Comment:
With the short call vert I flipped this morning nearing 50% max (yeesh), selling a June 16th 241/243 for a .39 credit here. I get this buying power free since I have a unit imbalance (more puts than calls) in that expiry. Scratch at 6.40; net delta 12.12.
Comment:
Darn relentless up move. Going right ATM and selling a June 21st 238/239 short put vert for a .37 credit to pick up some sorely needed long delta. Scratch point now at 6.77. This matches up with a short call spread I have in the same expiry, so getting it "buying power free." As you can see, you can chase your tail constantly with these delta adjustments ... .
Trade active:
With 25 DTE running into June 16th expiry, I'm starting to look at which pairs can be pulled off in profit. Nothing appears sufficiently ripe yet, but decay should accelerate running into expiry over the next couple of weeks ... .
Trade active:
With the 235 short put reaching 50% max (I rolled it up some time ago), covering the June 16th 2x 231/235 for a .48 db (.96 gross) and opening a June 16th 233/236 for a .46 credit and a June 30th 232/235 for a .46 credit (laddering down side risk; what down side risk, you say?) ... . Scratch at 6.77. Although this is a bad point at which to add long delta generally, it's more about mitigating potential loss with the ITM June 16th 238 short call at this point ... .
Trade active:
Starting to peel off/reduce risk where I can profitably: covering the June 23rd 231/233 short put vert along with the June 21st 243/244 short call vert a .49 db; scratch at 6.28. The short put vert profit exceeds the loss of the short call vert, so I'm small net profit for the cover.
Trade active:
Late post: I must have missed posting these last week: Covering: June 21st 238/239 short put vert for a .22 db and the June 23rd 233.5/235.5 for a .19 db. These were not pairable with a call side, and I wanted to reduce some downside risk in the event we got a sell-off (that's a funny one). Scratch point at 5.87.
Comment:
Opening: SPY June 30th 248/250 short call vert for a .13 credit. This is to pair up against a short put vert in the same expiration. The credit is ungodly small because I mistakenly entered an order farther out than I wanted (oops). I would roll it in for additional credit, but the way it looks is that I'll be able to pull off the entire June 30th IC at 50% max tomorrow anyhow.
Trade active:
Covering the June 30th 232/235/248/250 for a .32 db here (nearly 50% max). Scratch is now at 5.68.
Trade active:
Covering the June 16th 233 long put/234 long put/2x236 short puts for a .05 db (near worthless); scratch at 5.63. Now, I've only got my troublesome call sides, both of which are ITM -- the 2x 238/242 and the 241/243.
Trade closed manually:
Covering the June 16th 2 x 238/242 for a 3.84 db and the 231/243 for a 1.80 db -- 5.63 - (2 x 3.84) - 1.80 = 3.85 loss. Avoiding assignment risk.
