Opening (IRA): SPY January 21st 468/June 17th 570* LPD**
... for a 98.50 debit.
Comments: A short delta hedge against a perennially long delta IRA, which remains net delta long after the addition of this setup, just less long than it was.
The back month isn't that liquid, so I no doubt gave up some to the liquidity gods getting this filled. Buying the 90 delta back month, selling the 50 delta front. Paying 98.50 for a 102-wide, it currently has a max profit metric of the difference between what I paid (98.50) and the width of the spread (102) or 3.50 ($350), but its primary purpose is to hedge off or flatten long delta in the rest of the portfolio with its delta/theta metric of -42/8.67.
I'll work it like a covered put, rolling the short put up or out on approaching worthless or look to take profit on the entire diagonal on approaching max.
* -- The long put is shown below its actual strike in order to fit it on the chart without squeezing.
** -- Long put diagonal.
Comments: A short delta hedge against a perennially long delta IRA, which remains net delta long after the addition of this setup, just less long than it was.
The back month isn't that liquid, so I no doubt gave up some to the liquidity gods getting this filled. Buying the 90 delta back month, selling the 50 delta front. Paying 98.50 for a 102-wide, it currently has a max profit metric of the difference between what I paid (98.50) and the width of the spread (102) or 3.50 ($350), but its primary purpose is to hedge off or flatten long delta in the rest of the portfolio with its delta/theta metric of -42/8.67.
I'll work it like a covered put, rolling the short put up or out on approaching worthless or look to take profit on the entire diagonal on approaching max.
* -- The long put is shown below its actual strike in order to fit it on the chart without squeezing.
** -- Long put diagonal.
