Position Updates - CAT, EEM, RTH, IWM, SPX
Written on June 3, 2008 by OptionsRopeaDope
Looking up - my goal for each month is 3-7%, with the rest as gravy, and I’m up 5.44% for June, with a couple of losing positions poised to turn profitable. Details below.
CAT Calendar - 85 Jun/July
| RRDelta | 24% |
| RRGamma | -7% |
| RRVega | 10% |
Delta/Theta = 11.6
1 Day 1 Std Dev Move (1.08 points)
A little IV bump gives me a 15.5% profit so far. Quite nice, but my deltas are quite high despite my risk being quite low, and I have alot of directional risk to the downside. It may not matter, but I’m ready to adjust if needed.
EEM Calendar - 150/160 Jun/Sep
| RRDelta | 26% |
| RRGamma | -2% |
| RRVega | 20% |
Delta/Theta = 14.44
1 Day 1 Std Dev Move (2.35 points)
Ready for an adjustment here - my second one on this, as I’m past my adjustment point. Will make it tomorrow if EEM fails to open up. If that happens I’ll write up my choices and reasoning here. Still only down 3% right now, but I need to get my deltas flat quickly as it could get worse quickly with any move downward.
RTH Double Calendar - 95 June/July Puts, 100 June/July Calls
| RRDelta | 32% |
| RRGamma | -15% |
| RRVega | 31% |
Delta/Theta = 3.61
1 day 1 Std Dev Move = 1.26 points
Back down to -10%… no chance for an adjustment here either, as the underlying is where it should be. My theta keeps improving, which is responsible for the much lower delta/theta. Just need to keep holding on, I should get a spike on this one soon.
IWM Iron Condor - June 63/65 Puts, 79/81 Calls
| RRDelta | -2% |
| RRGamma | -5% |
| RRVega | -4% |
Delta/Theta = -1.59
1 Day 1 Std Dev Move (.81 points)
Up 10.3% on invested capital, with a little more to squeeze out, even with an IV bump. Short put has a delta of 3, short call has a delta of 4. Excellent.
SPX Iron Condor - 1280/1290 Puts, 1460/1470 Calls
| RRDelta | 4% |
| RRGamma | -1% |
| RRVega | -7% |
Delta/Theta = 1.05
1 Day 1 Std Dev Move (13 points)
Up 6%. Short call has a delta of 4, short put has a delta of 9. Glad I made the adjustment. Theta is very high, and I think much of the current position is suffering from the bid/ask spread. Expecting steady improvement the rest of this week.
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, RTH, CAT
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