Trade Updates - SPY, EEM, RTH, SMH, SPX
Written on April 28, 2008 by OptionsRopeaDope
Couple of new trades added beow (the SMH Calendar and SPX Double Diag.) Overall, nearly all of my positions are under water, but just barely. Very large negative delta right now which I may need to adjust on sharp moves.
First my new trades…
SMH 30 May/June Calendar - the chart looked right for this one - historically low vols, stable price.
SMH Calendar - 30 May/June Calls
| RRDelta | -55% |
| RRGamma | 64% |
| RRVega | 17% |
Delta/Theta = 9.6
Way, way out of wack. Didn’t realize it till just now, probably because it is my smallest position, and very small.
SPX Double Diag - 1335 May/ 1315 June Puts, 1425 May/1455 June Calls
| RRDelta | -1% |
| RRGamma | 1% |
| RRVega | 26% |
Delta/Theta = -.14
Perfect - except for Vega. A crush would hurt right now. But it can’t crush much more. Now for position updates -
RTH Calendar - 95 May/June Puts
| RRDelta | -23% |
| RRGamma | -9% |
| RRVega | 27% |
Delta/Theta = 1.7
Gotta watch closely on an up move… down about 6% right now.
EEM Calendar - 145 May/June Calls
| RRDelta | -1% |
| RRGamma | 2% |
| RRVega | 12% |
Delta/Theta = .16
Great position, even though I lost some profit on movement today.
SPY Iron Condor - 126/128 May Puts, 145/147 May Calls
| RRDelta | -19.4% |
| RRGamma | 8% |
| RRVega | 11% |
Delta/Theta = 3.7
Deltas are a problem, and it only looks this good because I rolled up my put wing for an additional credit. My short put has a delta of 5, and the short call has a delta of 14, after peaking close to 20 today.
The market falling tomorrow would be a huge help to all of these positions, but Im not in a panic situation at all. Still tweaking these new metrics, but they are helping me see a little more clearly (esp on the SMH, and on the SPYs). In one case, it helped me see a problem that might have been lost in my overall portfolio, and in the other, helps me see clearly when I’m dealing with greeks that are very large (the largest I’ve dealt with so far, due to increasing my account size). If a goal of trading is take emotions out of your plan, these are helping me do just that.
Popularity: 24% [?]
If you enjoyed this post, make sure you subscribe to my RSS feed!
Other posts like this one:
Posted in Real Trades, Iron Condors, Calendars, Double Diagonals, SPY, SPX, EEM, RTH, SMH
No comments yet.