My current trades, for April Expiration

Written on March 19, 2008 by OptionsRopeaDope

Here are my open trades at this moment….

Description                Qty Price Mkt Value Cost Basis Gain/Loss
IWM Mar 08 81.00 Call 40 0.01 40 400 -360
IWM Apr 08 55.00 Put 60 0.21 1260 1140 120
IWM Apr 08 57.00 Put -60 0.37 2190 -1860 -330
IWM Apr 08 73.00 Call -60 0.32 1920 -1511 -409
IWM Apr 08 75.00 Call 60 0.14 840 785 55
QQQQ Apr 08 36.00 Put 120 0.15 1800 1680 120
QQQQ Apr 08 37.00 Put -120 0.22 2700 -2400 -300
QQQQ Apr 08 48.00 Call -120 0.04 540 -1560 1020
QQQQ Apr 08 49.00 Call 120 0.03 360 840 -480
SPY Apr 08 111.00 Put 11 0.43 473 462 11
SPY Apr 08 113.00 Put -11 0.56 610.5 -594 -16.5
SPY Apr 08 145.00 Call -11 0.11 126.5 -330 203.5
SPY Apr 08 147.00 Call 11 0.06 66 187 -121

 

 

Little tough to reaad, but that’s the best I can do :) All these were put on about 2 weeks ago (first week of March) for about .12-.15 credit per leg for SPY and IWM (across two strikes) and .06 on each for the QQQQs. Here’s how my short deltas look right now for each -

  • IWM - 8.7 on the put side, 12.7 on the call side ****
  • QQQQ - 9.5 on the put side, 4.4 on the call side
  • SPY - 7.3 on the put side, 4.3 on the call side

**** - This is so narrow because I had a 77/79 upper leg that I rolled down for another .08 in credit (closed for .04, opened new one for .12).

Here’s how my Greeks look across all positions -

  • Deltas - -53
  • Gamma - -418
  • Theta - -76.56
  • Vega - -326

I like the theta, and Vega is in my favor in this high vol envrionment… Deltas are not bad at all, and Gamma sucks, mostly reflecting that IWM condor and how narrow it is (When I put it on, the short Put delta was at 18 or so, and the new short call at 9).

All in all, I’m pleased with the position as it stands, even though the IWM is making me nervous. I almost adjusted to the upside when the short call delta nearly hit 20. In the analysis, I’m underwater right now on the IWMs, but profiatble elsewhere, with alot of time for theta and hopefully vega to give some significant return.

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    • Category Posted in Real Trades, Iron Condors, QQQQ, SPY, IWM

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