... for a .52/contract credit.
Just adding a little long delta to my core SPY position, with the short put at the 30 delta strike.
Metrics:
Probability of Profit: 69%
Max Profit: $52/contract
Max Loss/Buying Power Effect: $248/contract
Theta: .19
Delta: 6.26
Notes: I'm adding in a touch of long delta to my core June SPY position. However, the metrics would be...
... to the Dec 23rd 130/135 for a .25 credit.
I previously rolled to the Dec 16th expiry with the intention of setting up an iron fly there by selling a put side against. Unfortunately, I set up the short put vert (which I sold for .43 cr) in the Dec 23rd expiry, so at that point, I had a weird ass setup -- a Dec 16th 128/131 short call vert with a Dec 23rd...
Here, I'm opening a short call vertical to pair with a short put vertical that I originally put on as a delta hedge. IWM, after all, is looking overextended, toppy here, and I want to have more short delta in place for my overall IWM position if the election "exuberance" begins to wear thin.
I filled the spread for a .52 ($52)/contract credit and will look to...
My current IWM positions are skewing more delta negative than I would like, even after rolling up the short put sides of those yesterday to delta balance. Much as I hate to do it here (general rule: buy on weakness, sell on strength), I'm adding in a "smidgeon" of IWM long delta here selling the as nearest as I can get to the 20 delta strike on the put side.
If...
With 4 DTE left in this troubled post-Brexit setup and the short put side nearing worthless, I bought to cover it for a .15 ($15)/contract debit, rolled out the short call side from the Aug 12th 2145/2160 to the Aug 26th 2155/2175 for a .55 ($55)/contract credit, and sold a 83% probability of profit short put vert against in the same expiry for an additional 1.05...
