Get started

Continuoushedging

OPENING: SPY SEPT 18TH 271 SHORT PUT... for a 5.38 credit. Notes: A continuation of my troubled SPY short straddle trade (See Post Below), I've been attempting to continuously delta hedge the short straddle in place in an attempt to exit the trade profitably (after goofing around with it way too much) or at least for a scratch out. It's probably more work than it's worth, but functions as a good engagement trade while I'm not doing a ton of other things here. Updating the post so that you can see all the strikes at once. Scratch at 69.44.
AMEX:SPY
by NaughtyPines
DEMO TRADE: CONTINUOUSLY DELTA HEDGED PREMIUM SELLINGPictured here is a delta neutral ratio'd short strangle set up in the September '20 expiry. It pays 8.60 ($860) and has delta/theta metrics of 1.01/4.12, and extrinsic currently equal to the premium received of 8.60. The purpose of this demo is to show how continuous delta hedging might work in practice on a premium selling setup. The goal is to bring the setup back to delta neutral at intervals in order for theta to be allowed to do its work while simultaneously maintaining extrinsic in excess of scratch point and to ultimately exit the entire spaghetti-works in profit. In this particular case, a short option hedge will be applied at intervals, assuming the adjustment involves a short option of sufficient value to make it "worthwhile" (i.e., it won't make much sense to sell a 1 delta option in order to get the setup back to flat if that option is only paying, .05, for example). Although profitable sides will be frequently taken off to balance in practice, here I will just be adding for purposes of simplicity.
AMEX:SPYEducation
by NaughtyPines
4