Full ARKK Reverse Gamma Scalping Position
The basic essence of reverse gamma scalping is to do additive and subtractive delta adjustments over time to keep delta fairly neutral so that theta can do its dirty work.
Shown here is my full ARKK position that started as a delta neutral iron condor to which (a) I layered in an additional iron condor as a delta adjustment trade; (b) mixed and matched profitable put side with profitable call side to reduce units and/or risk; and (c) did an additive long delta short put vertical as a delta adjustment. Rather than continue showing each of these additive/subtractive delta adjustments as separate trades, I'm setting out the full banana here.
I've collected a net 3.22 in credits on a buying power effect of 11.78, and the position has a delta/theta ratio of -2.09/6.00. With 36 days to go, I'll primarily look at doing profitable subtractive adjustments first; then additive ones.
Shown here is my full ARKK position that started as a delta neutral iron condor to which (a) I layered in an additional iron condor as a delta adjustment trade; (b) mixed and matched profitable put side with profitable call side to reduce units and/or risk; and (c) did an additive long delta short put vertical as a delta adjustment. Rather than continue showing each of these additive/subtractive delta adjustments as separate trades, I'm setting out the full banana here.
I've collected a net 3.22 in credits on a buying power effect of 11.78, and the position has a delta/theta ratio of -2.09/6.00. With 36 days to go, I'll primarily look at doing profitable subtractive adjustments first; then additive ones.
Note
Closed the in-profit 45/52 short put vertical for a .57 debit and opened the Feb 28th 50/54.5 short put vertical for a .78 credit. Net credits: 3.43.
I had an imbalance of units in the February 21st expiry (which I resolved by closing out the 45/52), so going out an additional week in time doesn't affect buying power. It actually decreases it a smidge because I had to use a slightly narrower spread due to the unavailability of a 49.5 strike.
Note
The other thing you can do as a delta adjustment ... . Buy or sell shares. Here, buying 7 shares @ 59.74 for 418.18 to cut net delta in half. Delta/theta -6.24/5.31.
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