After taking off a similar setup earlier in the day, re-upping with a covered call long delta cutter setup using cheap longs in the September cycle (I paid .07 a piece for them) and shorties in the May, June cycles (for which I received 5.84/contract).
At the moment, I bought a few more long contracts than short ones, so that I can add more short call units later...
... for a 1.26 credit.
Max Profit: $126
Max Loss/Buying Power Effect: Undefined/$440
Credit Received/Buying Power Effect Ratio: 28.6%
Notes: Selling a directionally neutral short strangle in the first expiry in which the at-the-money short straddle pays greater than 10% of the stock price with the intention to delta under hedge...
... for a .48 credit and selling the June 19th 23 call against for .32. Scratch at 9.20; delta/theta 146.51/.93.
Notes: Was hoping to get a bounce such that the 21P was out of the money, but am going to roll out here and then continue to reduce net delta/cost basis over time ... .
... for an 8.02 credit.
Notes: Re-upping my SPY core position in the first expiry in which the at-the-money short straddle pays at least 10% of where the stock is trading and selling the 16 delta puts and twice the number of 8 delta calls to accommodate skew. This is actually in November, but December offers some greater strike granularity where I want to set up...
... for a 7.87 credit.
Notes: With this little pop in volatility, going out to the first expiry in which the at-the-money short straddle is paying greater than 10% of the stock price, which is in October. Since I'm basically net delta flat here, adding delta neutral camped out at the 16 delta. Scratch at 102.50. Delta/theta: -2.32/26.01.
... for a 5.59 credit; scratch at 96.47.
Notes: Adding back in some 16 delta short put side as a delta under hedge after taking profit on some long delta on Friday (See Post Below). Overall setup remains net delta short.
... for a 1.60 credit; scratch at 16.50 versus total setup value of 15.65 (i.e., currently up 16.50 - 15.65 = .85/$85).
Notes: A delta under hedge in the first expiry in which the at-the-money short straddle is paying greater than 10% of the underlying. Net delta leans short.
... for a 3.14 debit; 4.09 ($409) profit.
Notes: Taking profit on the put side. Delta/theta -26.43/30.65. Position value at 89.18 versus scratch at 87.41. Will look to flatten short delta going forward if the market doesn't do it for me.
... for a .37 credit. Scratch at 7.43; delta/theta 48.52/1.07, extrinsic of .81, cost basis of 14.57 if assigned on the 22 short put.
Notes: A continuation of a trade (See Post Below) I've been working to get into a state where I'm not hugely underwater from a cost basis standpoint if I get assigned on the 22 short put, which is the most likely outcome of this. ...
... for a 6.47 credit. Scratch at 84.87.
Notes: Back to cutting net delta a smidge in the first expiry in which the at-the-money short straddle is paying more than 10% of the share price with a 16P/8C short strangle. Delta/theta -11.03/23.65, extrinsic 46.72.
Also looked at rolling out the short delta heavy short straddle aspect out to October with some minor...
... for a 3.59 debit, a 1.71 ($171) profit on that leg; scratch at 78.40.
Notes: Here, delta balancing subtractively. The September 18th 260 short put was an 11 delta strike, so by taking it off, I pick up -11 delta, leaving the entire spaghetti works slightly net short delta. I considered just rolling the 345 short call down (but it's at the 26 delta), as well...
... for a 1.70 ($170) credit; scratch at 24.50.
Notes: Ordinarily, I wouldn't sell against in this short of duration, but here's my thought process behind doing this here: (1) The entirety of the January call side is subject to max loss with this up move. Since they're each one-wides, that's the equivalent of one three-wide. (2) Selling a two-wide brings in...
... for a .36 credit.
Notes: A delta hedge against my XOP position in the first expiry that pays greater than 10% of the value of the stock. Delta/theta -4.94/3.22, with 3.19 extrinsic and setup value of 10.19 versus 8.64 scratch.
... for a 5.52 credit.
Notes: A delta under hedge in the first expiry in which the at the money short straddle pays more than 10% of the share price (currently in October). Scratch at 81.99 versus current setup value of 88.02; delta~21; theta 22; extrinsic of 44.89.
I'm approaching the max that I want to devote to working my way out of this trade, so will...
... for a 1.60 credit.
Notes: Filled this on the 27th as a delta hedge against January short call positions, one or more of which may require duration extension into February. Longer-dated than I'd like, but going out to where the at-the-money short straddle pays greater than 10% of the underlying (which actually starts in April) and religiously collecting at...
... for a $110 credit.
Notes: A delta cutting adjustment trade. My preference is to do these on strength on the call side, on weakness on the put, but you sometimes do what you gotta do.
Scratch at 5.20 for the whole show ... .