... for a 2.95 credit. Comments: Re-erecting my short delta hedge in /ES, which I get buying power free.
Comments: Update to my QQQ short delta hedge (See Post Below), which is in somewhat better shape than my IWM and SPY short delta hedges, since price has been hanging out around the short leg of the setup, which has allowed me to collect more cost basis reducing extrinsic value than for my small cap and S&P short option legs. The short option leg of this setup is...
... for an 81.05 debit/contract. Comments: Adding in a short delta hedge here to flatten net delta in my portfolio, buying the back month 90 delta and selling the front month 50. It has -41.53 worth of short delta/contract associated with it and a break even of 438.95. I'll look to work it like a covered put, rolling the short option aspect out for duration...
... for a 79.15 credit. Comments: Having erected a new short delta hedge in my IRA that I don't want "step on" with potential rolls of the short leg aspect of this setup, taking profit on this hedge here. My cost basis was a 63.58 debit (See Post Below). Closing it out here results in a realized gain of 15.57 ($1557)/contract.
.. for a 2.18 credit. Comments: The short put aspect of a long put diagonal, the back month long of which is in June at the 520 strike. Cost basis in the setup is now 63.58 (debit) with a 456.24 break even. By widening the diagonal a bit, I'm increasing not only profit potential, but also shortening net delta of the diagonal a little bit since an at-the-money...
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. Metrics: Max Profit: $126 Max Loss/Buying Power Effect: Undefined/$440 Credit Received/Buying Power Effect Ratio: 28.6% Delta/Theta: -1.53/1.32 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 .43 credit. Scratch at 9.08. Notes: A delta under hedge as this whips back "the other way." Still slightly net delta long.
... 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...