OPENING: SPY JULY 19TH 278 SHORT STRADDLE

... for a 12.34 credit.

Metrics:

Max Profit: $1234/contract
Max Loss/Buying Power Effect: Undefined/~$5560
Break Evens: 265.66/290.34
Delta/Theta: -.83/13.27

Notes: Basically, an expected move short straddle ... . Will look to roll out as a unit at 25% max/side approaching worthless to an expiry/strike that cuts net delta to +/- 30 or at 21 days 'til expiry, whichever comes first.

Trade active:

Ay, caramba! One thing that you can never expect with these is for them to remain delta neutral for long ... . As of today's close, it's skewed out to -49. Will look at an intraexpiry adjustment next week.

Trade active:

Rolling from the July 278 to the Sept 282 for a 4.76 credit; scratch at 17.10 (rolling to a strike/expiry to keep it within +/- 30 delta). Here, I've got some ex-divvy assignment risk on the short call, so am rolling for duration now as opposed to inverting intraexpiry. I couldn't get much (if anything) to roll it to August to a strike to keep it within +/- 30.

Trade active:

Rolling the 282 short put up to the 288 strike for a 1.65 credit to bring the setup back to within +/- 30 delta; scratch at 18.21. Now a Sept 282C/288P six-wide inverted valued at 22.90 with delta/theta of -29/9.18.

Trade active:

Looking like a no adjustment week here ... . Current net delta is -30.75. To bring it back to within +/- 30 would require only a roll up of the short put by one strike, which isn't all that productive from a credit collection standpoint; rolling from the 288 to the 289 only brings in .29 in credit, which is kind of "marginal."

Trade active:

Rolling the 288 up to the 293 intraexpiry for a 1.28 credit; scratch at 19.49. Now an inverted 11-wide (282C/293P) with delta/theta of -30.3/9.42, 10.13 in extrinsic.

Trade active:

Going to leave this setup alone for this week. The current delta's at -33 or so and rolling the short put up to get it back to within +/- 30 wouldn't be all that productive from a credit collection standpoint. Current value of setup: 24.09 versus 19.49 scratch; 9.63 in extrinsic.

Trade active:

Rolling the 293P to the 300P at 67 DTE for a 1.95 credit; scratch at 21.44. Now an 18-wide 282C/300P inverted. Inverted value of 27.49 versus 21.44 scratch; 8.78 in extrinsic; delta/theta -31.87/9.68. Max profit is credits collected (21.44) minus width of inversion (18) or 3.44. In other words, I can invert another 3 strikes or so and still make money on the setup, although it'll become a "marginal" trade at that point, so am more likely to roll out, reassemble the short straddle and then lather, rinse, repeat.

Trade active:

A "do nothing" week: the 18-wide 282C/300P inverted has a value of 25.95 versus 21.44 scratch, delta/theta of -22.01/10.38, 7.95 of extrinsic left in it, and 60 days 'til expiry.

Trade active:

Because I can't invert this much further (it's an 18-wide on which 21.44 has been collected (i.e., my max profit is 3.44), anticipate rolling it out into a +/- 30 delta short straddle at some point, and want to wait until more extrinsic bleeds out of the setup before rolling out, I'm adding a longer-dated delta cutter by selling the Nov 18th 270 short put for 2.45, 14.49 delta/3.1 theta with scratch for the whole shebang at 21.44 + 2.45 = 23.89. The resulting setup -- a Nov 15th 270P/Sept 20th 282C/300P with a net delta of -14.59, theta of 13.38.

Trade active:

Taking miniature profit (about .31/$31) and using this down move as an opportunity to reassemble my short straddle by rolling to Dec 282 for a 1.54 credit. Straddle scratch at 22.98 versus current straddle value of 27.02, -27.02 delta/8.85 theta/17.76 extrinsic. Still have the Nov 270 short put on as a delta cutter.

Trade active:

A little more profit taking on this down move: Rolling the 282 short straddle as is out to Jan for a realized profit of .98 ($98) over the previous roll for a 1.73 credit. Straddle scratch at 24.71 versus current straddle value of 27.79, delta -12.46/8.30. Breakevens are at 309.71 to the upside, 257.29 to the down.