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MES1!

Opening (Margin): /MES April 21st 3960 Short Straddle... for a 225.00 ($1135.00 max) credit. Comments: The 30-day IV isn't as high as I would like at 20.5, nor is the IVR (11.5%), but you can't always have everything. Will look to make additive adjustments first to get to the size of position I want and then look to just manage sides to delta balance. Starting out skewed just a smidge short here, but I'll naturally adjust if the market has other ideas on its mind. I'm generally looking to get 25% of total credits collected (25% of $1135.00 would be $283.75 in profit), but won't be hesitant to take quick profit and then re-establish.
CME_MINI:MES1!
by NaughtyPines
Opening (Margin): /MES March 31st 4000/4330 Short Strangle... for an 81.75 credit. Comments: After closing out my last setup in profit, reentering anew, selling the 26 delta on both sides to get about 50% of the buying power effect of the setup in credit. I'm staying with the March 31st here, as the April expiry is a bit too far out in time yet. 81.75 credit (408.75 max) on BPE of 940.00 or so; 43.5% ROC at max; 21.7% at 50% max. As before, I'll look to do additive delta adjustments at intervals to keep the delta/theta ratio <1.0.
CME_MINI:MES1!
by NaughtyPines
4
Opening (Margin): /MES March 17th 4075 Short Straddle... for a 199.75 credit. Comments: 199.75 credit (998.75 max) on buying power effect of 1038.55; 96.2% ROC at max; 24.0% at 25% max.* A different form of a reverse gamma scalping setup using short straddles. In this case, delta adjustments are made using additive skewed short straddles to delta balance. For example, if the position skews out to -20 short delta, you sell a slightly skewed long delta short strangle to delta balance. I'm intending to leave the entire position on (the original plus any skewed straddle adjustments) running into no later than about half way into the cycle (21 DTE), but will pull the entire thing off in profit earlier if I get an opportunity to do so. An example of a short straddle that is skewed long delta: March 17th 4140 short straddle, +19 delta (put deeper in-the-money than the call). An example of a short straddle that is skewed short: March 17th 4020 short straddle, -20 delta (call deeper in-the-money than the put). * -- With short straddles, I generally look to take profit at 25% max, since these have less room to be wrong than a short strangle. Most at-the-money short straddles set up with expected move break evens, which is less room to be wrong than I would ordinarily set up with a short strangle, where I generally set up sides at 2 x the expected move.
CME_MINI:MES1!
by NaughtyPines
2
Opening (Margin): /MES February 28th 4080 Short Put... for a 73.75 credit. Comments: Functionally rolling to a 4080 short straddle here to delta balance and bring my delta/theta ratio to back under 1.0. The position remains net delta short, which I'm fine with since we're at 30 day highs here. Will look to take off the whole kit and caboodle in the next several days here, since I've only got 32 DTE to go in this contract, and would like to move on to the March fairly soon.
CME_MINI:MES1!Long
by NaughtyPines
Opening (Margin): /MES February 28th 4000, 4010, 4040 Short PutsComments: Replacing the short puts I took off in profit to delta balance. Opened the 4000 for a 56.00 credit. Opened the 4010 for a 59.00 credit. Opened the 4040 for a 70.75 credit. Net delta of the position leans net short, but delta < theta, so I'm fine with the position remaining slightly short for now. The basic notion here is to make delta adjustments for realized gains at intervals to keep delta < theta, peeling off oppositional sides in profit where possible or the whole she-bang at once, so long as total realized gains exceed unrealized losses (which is the current case with what I have on now).
CME_MINI:MES1!
by NaughtyPines
Opening (Margin): /MES February 28th 3890, 3925, 3940, 3960... short puts. Comments: Replacing the short puts I stripped off in profit to delta balance what is now the -27, -31, -33, and -36 delta calls. The remaining -42 delta short call at the 4080 is only partially hedged, so position net delta still leans short. Opened the February 28th 3890 for a 41.00 credit. Opened the February 28th 3925 for a 49.25 credit. Opened the February 28th 3940 for a 53.25 credit. Opened the February 28th 3960 for a 59.25 credit.
CME_MINI:MES1!Long
by NaughtyPines
Closed (Margin): /MES February 28th 3620, 3700, 3760, 3770 ... short puts. Comments: Filled the 3620 for a 18.00 credit; closed it here for a 10.25 debit. (18.00 - 10.25)/.2 = $38.75 profit. Filled the 3700 for a 22.00 credit; closed it for a 15.25 debit. (22.00 - 15.25)/.2 = $33.75 profit. Filled the 3760 for a 31.25 credit; closed it for a 20.75 debit. (31.25 - 20.75)/.2 = $52.50 profit. Filled the 3770 for a 28.25 credit; closed it for a 22.00 debit. (28.25 - 22.00)/.2 = $31.25 profit. Will re-erect short puts to delta balance ... .
CME_MINI:MES1!
by NaughtyPines