... for a 1.31 credit. Comments: The short leg aspect of a long put diagonal that is acting as a short delta hedge against the rest of my long delta portfolio, the back month of which is in June at the 520 strike. (See Post Below). Cost basis in the diagonal is now 65.76 with an upside break even of 454.24, delta -46.51. Portfolio net delta remains long.
... long put diagonal for a 68.09 debit. Comments: Re-erecting my short delta hedge in SPY to cut delta in a net delta long portfolio after closing out my previous setup which had converged on nearly flat delta. Here, selling the 50 delta strike in the front month and buying the 90 delta in the back month. Paying 68.09 for a 77 wide, -41.73 delta with a 451.91...
... for a 101.55 credit. Comments: Closing here .45 short of max, since both strikes have converged at around 95 delta (the short put +94 delta, the long put -95 delta) so that it's no longer a net delta short hedge. My cost basis was 95.96 (See Post Below), so closing out here results in a profit of 5.59 ($559). Will re-erect a broad market hedge here shortly.
... for a 1.11 credit. Comments: The short put aspect of a long put diagonal, the back month long of which is out in June at the 570 strike (See Post Below). Cost basis in the setup is now 95.96 with a 474.04 break even. The entire setup (i.e., the February 4th 468 short put/June 570 long put) is intended as a short delta hedge against a long delta portfolio,...
... for a 1.43 credit. Comments: The short put aspect of a long put diagonal, the back month of which is in the June monthly at the 570 strike. I originally paid 98.50 to put this on, (See Post Below), so my cost basis is now 98.50 - 1.43 = 97.07 with an upside break even of the long put strike (570) - 97.07 or 472.93. I'm using this as a short delta hedge...
... for a 98.50 debit. Comments: A short delta hedge against a perennially long delta IRA, which remains net delta long after the addition of this setup, just less long than it was. The back month isn't that liquid, so I no doubt gave up some to the liquidity gods getting this filled. Buying the 90 delta back month, selling the 50 delta front. Paying 98.50 for...
... with a scratch point of 36.99 and a 258.01 break even. Notes: To say that this setup hasn't worked out as a standalone trade so far is kind of an understatement (See Post Below). However, it still is short delta, so I'm keeping it on as a hedge against long delta positions.
... for a 48.23 debit Metrics: Max Loss: $4823 on setup Max Profit: $1277 on setup (26.5% ROC) Break Even on Setup: 246.77 vs. 243.72 spot Debit Paid to Spread Width Ratio: 79.1% Notes: Either a standalone short with the Q's at all-time-highs or a broad market short delta hedge against a long stock portfolio with the back month set up in the expiry nearest the...
... for a 26.47 debit. Metrics: Max Profit on Setup: 9.53 ($953) Max Loss on Setup: 26.47 ($2647) Break Even: 191.43 Debit Paid to Spread Width Ratio: 73.5% Delta/Theta: -62.91/4.51 Notes: While I'd like to wait for QQQ to revisit all time highs to put this on, I'm pulling the trigger on this delta cutter here in the IRA (See Post Below), buying the 90 in the...