Readers, the past two days saw the equity markets move considerably in the positive direction. Accordingly, we had to make some adjustments to our position to ensure that we maintain our safe distance in regards to the delta of our call positions. As the markets moved up yesterday, the short call delta’s moved up to 17. Although our positions were safe, we thought it prudent to adjust our positions pending the jobs report this morning. Accordingly, we moved our call positions further up the chain from 780/790 to 790/800 to get a delta of 10. Thus, we executed the following trade for a total debit of .95 cents.
+50 RUT Dec 780C
-125 RUT Dec 790C
+75 RUT Dec 800C
Note that the trade just closes our 780/790 and opens a new one at 790/800. We added on 25 additional contracts to help pay for a part of the trade.
Since our 610/600 put position (we had 25 contracts at this level) had declined to just .05 cents, we took our profits and closed the position. However, to help pay for our adjustments on the call side, we adjusted our remaining put positions i.e. the 25 contracts at 650/660. We took some credits / premium by moving the 650/660 position up to it up to 680/670 (delta of 6). We received .85 cents credit. Accordingly, we executed the following trade:
-75 Rut Dec 680P
+75 Rut Dec 670P
+25 Rut Dec 660P
-25 Rut Dec 650P
Note that we added an additional 50 contracts to take some credits and then turn the overall position back into an iron condor. The total cost of the overall trade calls plus puts is .10 cents (.95-.85)
Find below the resulting graph. Enjoy the weekend.
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