Position Updates - CAT, RTH, IWM
Written on June 5, 2008 by OptionsRopeaDope
Two other positions were detailed earlier, with adjustments, these are the remaining ones (with the exception of a new trade I have not mentioned yet). An up and down day the last coupld of days, but more up than down. The overall portfolio is up 7.46% for the month now, with more yet to harvest if things go right.
CAT Calendar - 85 Jun/July
| RRDelta | 25% |
| RRGamma | -7% |
| RRVega | 10% |
Delta/Theta = 10.6
1 Day 1 Std Dev Move (1.08 points)
Up a rock solid 18.1% now, but still with some trong directional risk. I had the chance to close this out for 25% yesterday, but chose to pass, and almost needed to adjust this morning. I’d prefer that the price rise, but not stressing if it doesn’t. I may open the 80 leg just to try and lock in the profit if possible, but if the price rises to 84 or so, this could be a 50% blockbuster.
RTH Double Calendar - 95 June/July Puts, 100 June/July Calls
| RRDelta | -2% |
| RRGamma | -7% |
| RRVega | 15% |
Delta/Theta = -.7
1 day 1 Std Dev Move = 1.09 points
Finally… up 12% now after being underwater for weeks. The strong move today (up 2 standard deviations) gets me right where I’d prefer. In the last update I said a spike should come soon, and it did today. IV actually dropped too, so if it rises again, even a little, I should get a big benefit.
IWM Iron Condor - June 63/65 Puts, 79/81 Calls
| RRDelta | -22% |
| RRGamma | -13% |
| RRVega | -7% |
Delta/Theta = -5.39
1 Day 1 Std Dev Move (.80 points)
My healthiest position got hit today, up only 4% now. Short call delta has risen to -14, which is in dangerous territory…. but the deltas, and premiums, fall sharply at 80 and 81, which tells me that the market doesn’t have alot of conviction about continued strong movement upward. Those signs have been prophetic in the past, hopefully they will again, but if not I’m prepared to salvage this one. Note- much like EEM, today’s IWM move was 2.5 standard deviations.
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Posted in Real Trades, Iron Condors, Calendars, IWM, EEM, RTH, CAT
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