Adjust: EEM
Written on May 19, 2008 by OptionsRopeaDope
EEM hurts… it is up 10% in the past month and keeps maching forward, with IV declining all along the way. I cashed in half the position for a 10% loss and opened the same number of calendars at 160, balancing my deltas and increasing my theta a little in the process. Here’s the new risk graph. Wide profit range, though EEM seems determined to move beyond expectations lately.
EEM Calendar - 150/160 Jun/Sep
| RRDelta | -9.2% |
| RRGamma | -4.1% |
| RRVega | 26% |
Delta/Theta = 1.78
1 Day 1 Std Dev Move (2.02 points)
Everything is better, but vega is getting worse, much of that is because I’m down a little over 10% at the moment. An increase in vega would quickly vault this right back into contention.
One of the rules of keeping trades in perspective is, would you open that same position now, knowing what you know? I’d have to answer, yes, no doubt. I wouldnt open for the price I’ve paid to get here, but I’m in a good position nevertheless.
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, EEM
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