Position Updates - that sucked
Written on May 1, 2008 by OptionsRopeaDope
Yesterday was a happy day… price movement compared with volatility increases handed me a significant profit to go from flat to up 4% for the calendar month of April. Every position was profitable. With a 2% spike today, I gave it all back. Still looking great for the month, but it would be much nicer if I kept increasing my account size every day without any down days 
I sold the SMH calendar for .48, taking a 7% or so loss. It was a tiny tiny position, so had no impact on my portfolio. In the future, I’ll also rule out SMH completely… the availability of option strikes is terrible. Butterflies, maybe, but nothing requiring small adjustments.
Here are my open positions:
SPX Double Diag - 1335 May/ 1315 June Puts, 1425 May/1455 June Calls
| RRDelta | -2% |
| RRGamma | 0% |
| RRVega | 33% |
Delta/Theta = -.37
Still perfect - except for Vega. A crush would hurt right now, but things are right where they should be.
RTH Calendar - 95 May/June Puts
| RRDelta | -28% |
| RRGamma | -7% |
| RRVega | 22% |
Delta/Theta = 3.41
I’m at break even right now, even though the underlying has moved up quite a bit (was up 5% yesterday). In good shape although I have to watch the deltas very closely.
EEM Calendar - 145 May/June Calls
| RRDelta | -16% |
| RRGamma | 5% |
| RRVega | 27% |
Delta/Theta = -1.21
The absolute loss scares me a bit as I’m down about 15%. The risk adjusted greeks are ok though. Getting the sniffles but not sick yet. All of the loss came today after EEM gapped up strongly in the middle of the day (and I have no idea why). A bit more movement up and I’ll move some spreads up a strike. Overall, this is still in an excellent position to recover.
SPY Iron Condor - 126/128 May Puts, 145/147 May Calls
| RRDelta | -26% |
| RRGamma | 9% |
| RRVega | -12% |
Delta/Theta = 3.3
My short put has a delta of 3, and the short call has a delta of 15. I tried to close my put wing for a .04 credit today but couldn’t get it filled… which is a head scratcher. Still not as bad as it could be, especially since I’m flat with no loss on this condor right now, which is also very strange. Based on nothing but past experience dealing with condors I see indicaors that there’s not alot of confidence in today’s rally. First, I couldn’t get that fill which should have been an acceptable premium for a bear spread that far down. Market maker’s seem to think they deserve more for their risk. Maybe they know something.
Second, my 145 calls increased in price by .29 - huge! The 147 calls only increased by .09. Not many people think that It would squeak that much higher. That discrepency, once again, indicates to me that the “smart money” is leaning the other direction. Of course that could change at any time. But when I’ve seen this in the past the indexes usually headed in the directions the options indicated. Would be nice if that happened now!
Overall, Despite my overall loss in my account for these trades, Time and probabilities are most definitely on my side.
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Posted in Real Trades, Iron Condors, Calendars, Double Diagonals, SPY, SPX, EEM, RTH
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