OPENING: SPY JULY 2ND 237.5/AUG 18TH 235 PUT DIAGONAL
... for a 1.07 debit.
This is really part of my SPY core position, but I thought I'd set it out separately here, since I will manage it as a standalone trade.
The reason why I put this on here is that (a) I'm in need of long delta for my SPY core position; (b) we're in a low volatility environment and diagonals benefit from a volatility expansion; and (c) the other options available to add long delta to the position aren't particularly palatable (i.e., long call vert at all time highs and short put vert in a low volatility environment).
I don't pick up any long delta net net on the position because the front month short is at the 30 delta; so is the back month. However, the short put aspect of the setup does have +30 delta in it in the short term, which is naturally better than a poke in the eye with a sharp stick.
I'll look to roll the short put out for duration and credit to reduce the cost basis of the long and look to take it off when the credits received exceed what I paid to put it on ... .
This is really part of my SPY core position, but I thought I'd set it out separately here, since I will manage it as a standalone trade.
The reason why I put this on here is that (a) I'm in need of long delta for my SPY core position; (b) we're in a low volatility environment and diagonals benefit from a volatility expansion; and (c) the other options available to add long delta to the position aren't particularly palatable (i.e., long call vert at all time highs and short put vert in a low volatility environment).
I don't pick up any long delta net net on the position because the front month short is at the 30 delta; so is the back month. However, the short put aspect of the setup does have +30 delta in it in the short term, which is naturally better than a poke in the eye with a sharp stick.
I'll look to roll the short put out for duration and credit to reduce the cost basis of the long and look to take it off when the credits received exceed what I paid to put it on ... .
Trade active:
Rolling the July 7th 237.5 short put to the July 14th 237.5 for a .28 credit on this "down" day (lol). Scratch point -- .79.
Trade active:
Rolling the July 14th 237.5 to the July 21st 237 for an .18 credit; scratch at .61.
Trade active:
Rolling the July 21st 237 short put to the July 28th 237.5 (the expiry still has oddball strikes) for a .26 credit. Scratch at .35. In addition to keeping an eye on the value of the short put, I'm watching the value of the long as well and will consider rolling that down to recapture some of what I paid for that before it decays too much (current value 1.39; delta 21.53).
Trade active:
Staying mechanical here by rolling the July 28th 237.5 to the Aug 4th 239 for a .43 credit (around 30 DTE and at the 30 delta). Scratch at (.08) (which means I've basically only now just collected enough credit to exceed what I put the setup on for).
Trade active:
Rolling the Aug 4th 239 to the Aug 18th 238 for a .46 credit (scratch point at (.54)), so it's now an Aug 18th 235/238 short put vert. I can now do several things (a) roll it up as a unit toward current price if that's productive in the time remaining; (b) leave it alone/take it off at worthless; (c) extend duration on the setup by rolling out the long for a credit and then the short out for a credit, but in a duration shorter than the long ... . We'll just have to play it by ear.
Trade closed manually:
Covering here for a .21 db, so a lot of work for a small winner (.33/$33).