Position Updates - 4 Calendars, 2 Condors
Written on May 27, 2008 by OptionsRopeaDope
Anybody watch the UFC this weekend? Some great fights… check out these pics, especially the 3rd one down.
For the last week several of my calendars are right on the edge of needing to be adjusted. I wish they’d make their mind up! Overall, all my calendars are down, and my condors are nicely up, making me mildly profitable overall for now.
CAT Calendar - 85 Jun/July
| RRDelta | 34% |
| RRGamma | -9% |
| RRVega | 18% |
Delta/Theta = 10.13
1 Day 1 Std Dev Move (1.07 points)
Still have the sniffles on this one.. it is a little above my breakeven (about 80.75). I can still take a big hit on a downward move or volatility drop, but in both cases, things are more likely to go in my favor, and I think that support has contributed to this position not going worse. Currently down about 6% on this trade.
EEM Calendar - 150/160 Jun/Sep
| RRDelta | 30% |
| RRGamma | -3% |
| RRVega | 20% |
Delta/Theta = 12.08
1 Day 1 Std Dev Move (2.26 points)
Looking sickly… again, been right on the edge of adjusting this. I prefer Delta and Vega to be much less. Still, only down around 5%.
RTH Double Calendar - 95 June/July Puts, 100 June/July Calls
| RRDelta | 30% |
| RRGamma | -7% |
| RRVega | 22% |
Delta/Theta = 13.77
1 day 1 Std Dev Move = 1.14 points
Currently down about 4-5%, with a risk of losing more quickly on a downward move. I actually let this one fall under my adjustment point and was down more… but I “hoped” it up (really!). Just reminded me that I need to just pul the trigger. The position is looking worse than last week, still don’t have to adjust yet, with the rise in price today.
MSFT Calendar - 30 June/July Puts
| RRDelta | 141% |
| RRGamma | -40% |
| RRVega | 60% |
Delta/Theta = -210
1 Std Dev Move (.35 points)
This trade will officially hold my title for worst numbers ever. Fortunately it is a tiny position, unfrtunately, it’s one I’m having alot of trouble adjusting. The loss (15% right now) is not harmful to my overall returns, and now that MSFT seems to have found some support and is inching up, I’ll hang on. If this was a bigger trade, I’d be out immediately, and if I happen to need to free up some capital, this will be the first to go, profitable or not.
IWM Iron Condor - June 63/65 Puts, 79/81 Calls
| RRDelta | -3% |
| RRGamma | -6% |
| RRVega | 6% |
Delta/Theta = -1.29
1 Day 1 Std Dev Move (.86 points)
Every day this gets a little more profitable. I’m ub around 7% now, not too far from taking profits. Wish all my trades could work out like this.
SPX Iron Condor - 1280/1290 Puts, 1500/1510 Calls
| RRDelta | 9% |
| RRGamma | -1% |
| RRVega | -11% |
Delta/Theta = 2.22
1 Day 1 Std Dev Move (11 points)
Same position, same small profit, waiting for the premiums to collapse and take nice profit here. My short put has a delta of 10.
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, Iron Condors, Calendars, IWM, SPX, EEM, MSFT, CAT
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