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Deltahedge

Update (IRA): QQQ Sept 30th 315/Oct 21st 355 Long Put DiagonalComments: Update to my QQQ short delta hedge (See Post Below), which is in somewhat better shape than my IWM and SPY short delta hedges, since price has been hanging out around the short leg of the setup, which has allowed me to collect more cost basis reducing extrinsic value than for my small cap and S&P short option legs. The short option leg of this setup is at the 40 delta, while those of my SPY and IWM setups are at the 12 and 15 delta strikes respectively. That being said, I'm running out of road sooner with this setup than in the other two, with only three potential rolls of the short leg to go before I hit the "back month long wall." As usual, I'll cross the bridge of having to roll out the long option leg for duration when I come to it ... . In any event: Cost basis of 36.77 as of the last short leg roll on a 40 wide with a 318.23 break even.
NASDAQ:QQQShort
by NaughtyPines
Opening (IRA): SPY April 14th 426/Sept 520 Long Put Diagonal... for an 81.05 debit/contract. Comments: Adding in a short delta hedge here to flatten net delta in my portfolio, buying the back month 90 delta and selling the front month 50. It has -41.53 worth of short delta/contract associated with it and a break even of 438.95. I'll look to work it like a covered put, rolling the short option aspect out for duration on extrinsic approaching worthless or look to take profit if it converges on max (which would be 94.00 here). Granted, this isn't an ideal place to erect a short hedge, which you'd ordinarily want to do on strength. However, this weakness appears to be hanging in there, and you never know how far it will go or how long it will last. Net delta in the portfolio remains long.
AMEX:SPYShort
by NaughtyPines
Rolling (IRA): SPY March 4th 443 Short Put to March 25th 437.. for a 2.18 credit. Comments: The short put aspect of a long put diagonal, the back month long of which is in June at the 520 strike. Cost basis in the setup is now 63.58 (debit) with a 456.24 break even. By widening the diagonal a bit, I'm increasing not only profit potential, but also shortening net delta of the diagonal a little bit since an at-the-money is slightly less long delta than an in-the-money. I'm using this setup as a portfolio-wide delta hedge, so would prefer its short delta not flatten out or at least not flatten out while I still need it.
AMEX:SPYShort
by NaughtyPines
OPENING (IRA): SPY CALL DIAGONALAfter taking off a similar setup earlier in the day, re-upping with a covered call long delta cutter setup using cheap longs in the September cycle (I paid .07 a piece for them) and shorties in the May, June cycles (for which I received 5.84/contract). At the moment, I bought a few more long contracts than short ones, so that I can add more short call units later if the market decides not to do any of the heavy lifting for me. Previously, I laddered the short calls out quarterly, but longer-dated options' liquidity isn't all that great here, so keeping things on the shorter duration end of the stick. I pick up around -16/contract net delta by doing this, rendering my entire setup flatter, but still net long delta here.
AMEX:SPYShort
by NaughtyPines
OPENING: SPY DECEMBER 18TH 275/2 X 380 RATIO'D SHORT STRANGLE... for an 8.02 credit. Notes: Re-upping my SPY core position in the first expiry in which the at-the-money short straddle pays at least 10% of where the stock is trading and selling the 16 delta puts and twice the number of 8 delta calls to accommodate skew. This is actually in November, but December offers some greater strike granularity where I want to set up my short put side. The short put is currently valued at 5.75, the short calls at 1.17/contract; delta/theta at -.66/3.95.
AMEX:SPY
by NaughtyPines
2
OPENING: SPY OCT 16TH 275/370 SHORT STRANGLE... for a 6.47 credit. Scratch at 84.87. Notes: Back to cutting net delta a smidge in the first expiry in which the at-the-money short straddle is paying more than 10% of the share price with a 16P/8C short strangle. Delta/theta -11.03/23.65, extrinsic 46.72. Also looked at rolling out the short delta heavy short straddle aspect out to October with some minor strike improvement to cut some delta attributable to that without doing an additive adjustment, as well as trying to strike improve the 282 short call, but neither of those options seemed particularly productive from a delta cutting standpoint. Naturally, I could have also just rolled one of the short puts out and/or up ... .
AMEX:SPY
by NaughtyPines
CLOSING: SPY SEPT 18TH 260 SHORT PUT... for a 3.59 debit, a 1.71 ($171) profit on that leg; scratch at 78.40. Notes: Here, delta balancing subtractively. The September 18th 260 short put was an 11 delta strike, so by taking it off, I pick up -11 delta, leaving the entire spaghetti works slightly net short delta. I considered just rolling the 345 short call down (but it's at the 26 delta), as well as adding a slightly skewed short strangle and/or just a short call, but would prefer not getting much bigger here. Naturally, if this continues on its up grind, I'll add long delta back into the mix via short put or skewed short strangle, but think that the short to medium term risk is to the downside, so am fine with being a smidge short delta here.
AMEX:SPY
by NaughtyPines
OPENING: /CL JAN 15TH 59/61 SHORT PUT VERTICAL... for a 1.70 ($170) credit; scratch at 24.50. Notes: Ordinarily, I wouldn't sell against in this short of duration, but here's my thought process behind doing this here: (1) The entirety of the January call side is subject to max loss with this up move. Since they're each one-wides, that's the equivalent of one three-wide. (2) Selling a two-wide brings in some credit, while representing a smaller max loss risk metric than currently exists on the call side in the event that price dramatically craters in the next 10 days such that the put side in the January cycle is subject to max loss (which my gut says probably won't happen, although you naturally never know). Perhaps more importantly, the credit collected to date exceeds the width of this spread by 4.50, although naturally some of this credit is attributable to spreads sold farther out in time. (3) Even assuming the worst case scenario (price implodes through the 59 long put strike) such that I can exit the entirety of the call side profitably, I'm left with a single spread to address, rather than three.
C
by NaughtyPines
OPENING: SPY OCTOBER 16TH 276 SHORT PUT... for a 5.52 credit. Notes: A delta under hedge in the first expiry in which the at the money short straddle pays more than 10% of the share price (currently in October). Scratch at 81.99 versus current setup value of 88.02; delta~21; theta 22; extrinsic of 44.89. I'm approaching the max that I want to devote to working my way out of this trade, so will potentially look at delta adjustments using existing units as opposed to additive ones going forward.
AMEX:SPY
by NaughtyPines
OPENING: /CL MAY 14TH 51/52 SHORT PUT VERTICAL (LATE POST)... for a 1.60 credit. Notes: Filled this on the 27th as a delta hedge against January short call positions, one or more of which may require duration extension into February. Longer-dated than I'd like, but going out to where the at-the-money short straddle pays greater than 10% of the underlying (which actually starts in April) and religiously collecting at least 1/6th the width of the spread. Scratch on the whole works at 23.00.
CLong
by NaughtyPines