My current trade: short 30 OCT 27 420 puts & short 30 OCT 27 443 calls. I will adjust based on delta using ES futures and moving untested sizes. My target is making $13800 from the strangle
Trade active:
The trade is still active: the price has moved within the expected range so far and there are 9 days to go until options' expiration. I am still targeting the full strategy premium: roughly $14000.
Although the position has accumulated about -600 deltas, I have not hedged yet with futures because with current IV levels the price has stayed relatively apart from the strangle edges.
Although the position has accumulated about -600 deltas, I have not hedged yet with futures because with current IV levels the price has stayed relatively apart from the strangle edges.
Trade active:
With 6 trading days to go until options' expiration, my startegy is still active. Price went down and now my position delta is in excess of +600. I moved the untested short call down to 438, I have plenty of room there to lower the call and collect more premium to compensate for price movement. I will most likely delta hedge the strategy with ES futures by end of the day to take a defensive stance in case potential bad news appear over the weekend. The overall position premium has surged to $16300 which is now the target goal for the strategy.
Trade active:
As expected SPY price went down and has now approached my short puts at 420. I have 5 days to go and I needed to make adjustments. First, I moved the untested calls down to 432 collecting premium (I am reserving more room for adjustment, I can even go inverted). Furthermore, I sold ES futures to reduce my positive delta exposure to about 500. If price keeps going down next week I will sell more futures and move my calls down even more. My total premium has increased to over $20000.
Trade active:
More futures sold, I am now practically delta hedged. My price range for net gain is now 411-434. With only 5 days to go I will establish delta neutrality at end of each trading day until friday. My maximum gain is currently $21800 at 420.5.
Trade active:
There are 4 days left to options' expiration and price is still hanging around my 420 puts. Yesterday, I needed to work some adjustments: I moved the short calls down to 428 to collect premium and sold and bought futures several times. This last hedging activity yielded losses, about $1173. This was expected given the negative gamma exposure of my strategy. All in all, I am still doing ok with a total collected premium of $21600, which I would gain at 420.5. Price range for net gain is now 414-432. I have decided to maintain a slightly positive 300 delta exposure in case price keeps bouncing up from the 200d MA support today.
Trade active:
I got rid of 1 day towards expiration: now I only have 3 days left and the strategy is still active. Yesterday, I carried out several hedging adjustments: the usual selling and buying of ES/MES futures (total losses of this hedging increased to $1700), I sold more 420 puts to get positive delta and bought 1DTE 428 calls to hedge against build-up of the position negative gamma (hedge against violent SPY up moves overnight). I will sell these calls today during trading hours to recoup some value and adjust delta then with futures. All in all, the strategy is still on its way to a maximum gain of $23000 at 420.5
Trade active:
Finally I got a challenging day for my strategy yesterday. Price pierced my 420 puts during standard trading hours and even more after hours (SPY is currenty at 414.5). I performed all sorts of hedging selling more calls and rolling them down to 425 (I will have to go inverted most likely today or tomorrow) and selling ES/MES futures. At this stage I have not fully hedged my short puts with futures yet, I am still leaving some room for the market to come back to me towards 420. As far as strategy gain expectactions, my maximum profit would be $20000 at 420 right now and the net gain range has changed to 409-425
Trade active:
Yesterday was another hard day for the short strangle strategy I put in place less than a month ago. Price kept falling and then went up and down twice and up again after hours. This made me hedge the short options several times with futures and this eroded my premium substantially. As expected I rolled down the calls to 418, so I am now inverted on the strangle. I have a positive position delta right now but I am ready to hedge my short puts fully in case price goes down. My maximum potential profit has shrinked to $13000 at 418 and my net gain range shrinked as well to 412.5-421
Trade closed: target reached:
The last day of my short strangle strategy was another tough one. SPY went up then pierced the 415 mark and went down as far as 410 were it got pinned by a supporting put wall: option open interest was quite high right there as far as puts. Now that the trading is over the balance is a gain of $8000 for me while my initial target was $13000 based on the initial set-up for the 20 delta short strangle with puts at 420 and calls at 443. In order to be successful I had to work quite a bit of hedging with futures rolling down calls, going inverted with the basic goal of turning short puts that were being challenged into short calls following the downtrend of the market. Next week I will set up a new monthly strategy with 20 delta short strangles for SPY which I will follow with posts through close.