... for a 7.10 credit. Comments: I still have a little bit of time in this cycle (35 DTE) to putz around with reverse gamma scalping /MCL, so putting on a fresh short straddle at the 78 strike for the starter position. Will generally look to make additive adjustments to keep the delta/theta ratio <1.0 right up until 21 DTE, at which time I'll take the whole...
... for an 86.50 credit. Comments: And ... back into /MES in the expiry nearest 45 DTE. Selling the 24 delta strikes on both sides to get something approaching 50% ROC as a function of buying power effect. 432.50 max on buying power effect of 879.92, 49.2% ROC at max as a function of buying power effect; 24.6% at 50% max. Will generally look to make...
... for a 199.75 credit. Comments: 199.75 credit (998.75 max) on buying power effect of 1038.55; 96.2% ROC at max; 24.0% at 25% max.* A different form of a reverse gamma scalping setup using short straddles. In this case, delta adjustments are made using additive skewed short straddles to delta balance. For example, if the position skews out to -20 short...
... for a 9.19 credit. Comments: A short delta additive adjustment trade here to cut net long delta in my entire /MCL position by about half, with the goal being to keep the delta/theta ratio under 1.0. The entire position still leans net long, but I will leave it that way to see if the market does some of the lifting for me. Total credits collected of 13.90....
... for a 56.00 debit. Comments: Filled this for a 70.75 credit. Closing out here results in a (70.75 - 56.00)/.2 = $73.75 profit.
... for a 50.50 credit. Comments: Continuing to adjust to keep my delta/theta ratio sub-1.0, with the position still leaning net delta short.
... for a 21.00 debit. Comments: Opened for 32.50; closed for 21.00. (32.50 - 21.00)/.2 = $57.50 profit.
... for a 73.75 credit. Comments: Functionally rolling to a 4080 short straddle here to delta balance and bring my delta/theta ratio to back under 1.0. The position remains net delta short, which I'm fine with since we're at 30 day highs here. Will look to take off the whole kit and caboodle in the next several days here, since I've only got 32 DTE to go in...
Comments: Replacing the short puts I took off in profit to delta balance. Opened the 4000 for a 56.00 credit. Opened the 4010 for a 59.00 credit. Opened the 4040 for a 70.75 credit. Net delta of the position leans net short, but delta < theta, so I'm fine with the position remaining slightly short for now. The basic notion here is to make delta adjustments for...
Comments: Going to continue reverse gamma scalping this for a bit with 33 days to go in the contract. Closed the 3890 for 30.25. (41.00 - 30.25)/.2 = $53.75 profit. Closed the 3925 for 37.50. (49.25 - 37.50)/.2 = $58.75 profit. Closed the 3940 for 41.00. (53.25 - 41.00)/.2 = $61.25 profit. Will open new, higher delta short puts to delta balance in a minute here.
... for a 1.68 debit. Comments: Received 2.00 in credits for this pair of legs. Closing out here for 1.68 as a profitable, subtractive delta adjustment trade. .32 ($32.00) profit. This leaves me (at the moment) with a 10 delta short strangle at the 66/97 and a 17 delta short strangle at the 70.5/93, with the entire position being net delta flat.
... for a 1.58 credit. Comments: Selling the +10 delta put and the -17 delta call to delta balance.
... for a 4.66 credit. Comments: (Late Post). Delta balancing. Additionally, rolled up the 170 short put to the 180 for a 3.45 credit. Resulting delta/theta -115/139.
... for a 3.88 credit. Comments: Delta balanced back to neutral. Total credits collected of 63.63 with a resulting delta/theta of 2/136.
... for a 6.00 credit. Comments: Delta balanced with existing units ... . Total credits collected of 59.75. Resulting delta/theta -48/115.
... for a 9.02 credit. Comments: Sure enough, it kept on going. Rolled up an existing unit in lieu of adding units. Total credits collected of 53.75 with the resulting setup being 150P/165P/170P/175P/160C/165C/175C with a delta/theta of -72/111.
... for a 10.55 credit. Comments: And that took off like a rabbit ... . Total credits collected of 44.73 with a resulting delta/theta of -77/97. I'll probably look to roll up the 120P before adding additional put side units if I don't get favorable movement.
... for a 5.57 credit. Comments: Delta balancing/reverse gamma scalping on net delta skew out. Total credits collected of 37.03. Resulting delta/theta: 13/76.