Position Updates - Holy Theta!

Written on May 9, 2008 by OptionsRopeaDope

How are your positions? My calendars are freaking fantastic.

I’m skipping the Greeks today, as I’m going to revamp the way I calculate them. Doing the 1-day Standard deviation move exercise a couple of days ago made some light bulbs go off - namely, that I’m still too-tied to raw greek numbers. A delta measurement on SPX is wholly different than deltas on RTH. By a magnitude of close to 15, in fact. The impact of a 1 standard deviation move though, compared to my distance to my max loss, will be a more reliable, and accurate, measure to gauge the health of my positions. For the readers, which are now considerably more than 3 (nice to meet ya!), expect that writeup shortly.

Fortunately at the moment, all my positions are effectively delta neutral. My current profitability, with comments….

SPX Double Diag - 1335 May/ 1315 June Puts, 1425 May/1455 June Calls 

Up about 6% right now, with not much more to squeeze out. Happy enough with this, though I hoped for more. Vol drops really caused the profit curve to sag in the middle, which is right where I am now. I’ll actually lose some profit if I stay on till expiration.

RTH Calendar - 95 May/June Puts 

This position exploded yesterday, and now I’m open an astounding nearly 35%. With that much more to go. Theta is kicking (to the tune of adding another 8% trade over the weekend, all other things being equal) And I’m exactly in the sweet spot. I will peel profits off Monday one way or the other. Good show.

EEM Double Calendar - 145/150 May/June Calls 

I’m at break even over all now on EEM (slightly poriftable, but not factoring in my adjustment costs. Next week though, I’ll be making 5% PER DAY or so if EEM is any where between 145 and 150. It is at 147 right now. Worked like a charm, though I am glad I didn’t adjust higher earlier this week. That would have changed this profile a good deal. Pleased this loser turned into a winner with patience and adjustments.

On both RTH and EEM, profits came despite the low (and lowering) level of IV. That means I’ll be opening the same trades for next month soon.

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