Position Updates - SPX, EEM, RTH
Written on May 13, 2008 by OptionsRopeaDope
Some updates on positions and greeks, w/analysis… I’m using the calculations I referred to in the last post.
SPX Double Diag - 1335 May/ 1315 June Puts, 1425 May/1455 June Calls
| RRDelta | 1% |
| RRGamma | -1% |
| RRVega | 27% |
Delta/Theta = .17
1 Std Dev Move (12 points)
I’m not losing any money here, but not making any either. Will probably be a wash unless the market falls, and IV gives me some juice.
RTH Calendar - 95 May/June Puts
| RRDelta | -11% (-17%) |
| RRGamma | -14% (-22%) |
| RRVega | 9%(20%) |
Delta/Theta = -1.05
1 Std Dev Move (1.31 points)
This position is up now close to 40%… with the potential of another 40% in a perfect world. I’ll hold on for a little more, as Theta is terrific. The numbers in parenthesis are calculations considering my break even as my max loss. Banner trade here, will look to take offbetween now and Thursday.
EEM Double Calendar - 145/150 May/June Calls
| RRDelta | -22% |
| RRGamma | 14% |
| RRVega | 21% |
Delta/Theta = -1.24
1 Std Dev Move (1.94 points)
This trade is frustraing the hell out of me. It just hovers around break even seemingly every day… but I suppose that’s an improvement from hovering at 10% down which I was for several weeks. The position is still sound however, so I’ll stick around. Hoping for a 10%+ return on this over the next couple of days.
Overall, looking good.
If you don’t know what is up with these numbers, read this about how I look at greeks.
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Posted in Real Trades, Calendars, Double Diagonals, SPX, EEM, RTH
Well done on the RTH trade, I closed mine last week for a small loss, I tend to be out of my trades a by the last friday before expiry week, I have been hurt in the past due to gamma, so preferably I like to close most of my positions.
EEM had a volatility pop last week, when it fell by more than 1 std, was a good chance to close the position for a profit, well, thats what I did, I had the same position as you, ROI wasnt great at 12.28%, but I aint complaining, given the vols crush experienced this expiry.
My overall portf greeks were to exposed to vega, something I will be on the look out for next time.
I like your approach to the ratio’s for the greeks, I tend to look at my overall portfolio greeks, i.e.my overall vega exposure, like you, I’m always positive theta, hence my risk lies in delta and vega. I however, play vega depending on my outlook on volatility (I know, very subjective), but in this game you have to take some risk to make money.
Try combining condor, flys and calendars, this will help you to determine the vega you want. Double Diagonals, can be used to have less vega exposure than calendars, this will be dependent on the width b/w your short and long strikes.
Michael,
Thanks for the comment, as you’ll see on my next post I wasn’t quite so lucky… yesterday’s moves hurt. Still came out winner overall, but I left some on the table.
And thanks for the advice about combinng strategies… I don’t do that on a single underlying, but want to do some testing and see how it works out.
Duncan