Notes: Selling a delta neutral short strangle in the first expiry in which the at-the-money short straddle is paying greater than 10% of the underlying. Given the smallness of the instrument, will do additive adjustments if necessary to delta under hedge.
Trade active
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Selling the 21/29 short strangle for a .70 credit to delta under hedge. Delta/theta 13,74/1.48; setup value of 1.96 versus 1.64 scratch.
Trade closed manually
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Closing this for 1.52, a Happy Meal winner. Less liquid than I would've liked ... .