... 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 .58/contract credit. Notes: One of my troubled setups that I seem to have been working forever (See Post Below) and probably could've gotten out of sooner if I'd been a touch more aggressive on the call side as the underlying descended to long-term lows. Rather than inverting the short strangle further, I'm leaving the setup in place and adding a delta...
... for 7.23/contract. Notes: Rather than inverting my short straddle (See Post Below), adding a short put to delta cut instead. Position scratch at 49.09, delta/theta -23.22/8.36.
... 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 ... .
... for a $90 credit. Notes: Delta hedge. Put on before the pop, unfortunately.
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...
... for a 1.10 ($110) credit. Here, I'm adding a touch of long delta into an existing RUT position (an iron condor) for which I do not feel comfortable rolling the short put side up further to protect that particular setup from further upside. Additionally, I get the side benefit of just adding a little long delta to my entire portfolio, which (no surprise) is a...
Pictured here is one of my broken index setups. As price has moved up, short delta in the setup has increased, and I have defended the call side somewhat by rolling the put side toward current price, which increases the long delta in the setup. At some point however, rolling the short put side toward current price becomes unproductive because there is too...