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Opening (Margin): /MES March 17th 4075 Short Straddle... for a 199.75 credit. Comments: 199.75 credit (998.75 max) on buying power effect of 1038.55; 96.2% ROC at max; 24.0% at 25% max.* A different form of a reverse gamma scalping setup using short straddles. In this case, delta adjustments are made using additive skewed short straddles to delta balance. For example, if the position skews out to -20 short delta, you sell a slightly skewed long delta short strangle to delta balance. I'm intending to leave the entire position on (the original plus any skewed straddle adjustments) running into no later than about half way into the cycle (21 DTE), but will pull the entire thing off in profit earlier if I get an opportunity to do so. An example of a short straddle that is skewed long delta: March 17th 4140 short straddle, +19 delta (put deeper in-the-money than the call). An example of a short straddle that is skewed short: March 17th 4020 short straddle, -20 delta (call deeper in-the-money than the put). * -- With short straddles, I generally look to take profit at 25% max, since these have less room to be wrong than a short strangle. Most at-the-money short straddles set up with expected move break evens, which is less room to be wrong than I would ordinarily set up with a short strangle, where I generally set up sides at 2 x the expected move.
CME_MINI:MES1!
by NaughtyPines
2
Opening (Margin): /MCL March 16th 79.25 Short Straddle... for a 9.19 credit. Comments: A short delta additive adjustment trade here to cut net long delta in my entire /MCL position by about half, with the goal being to keep the delta/theta ratio under 1.0. The entire position still leans net long, but I will leave it that way to see if the market does some of the lifting for me. Total credits collected of 13.90. As with my /MES reverse gamma scalping setup, looking to take about 25% of total credits received out of the position, closing it out in its entirety at no later than about half way through the cycle (i.e., around 21 DTE) before moving on to the next monthly. For those of you just tuning in: This is not a standalone trade. It is an adjustment to an existing position with delta/theta metrics peculiar to that position. Unless you have that exact same position on with the exact same delta/theta metrics, this trade will only be informational or educational as to how to make an additive delta adjustment to a position you currently have on, particularly using a skewed short straddle to accomplish the task. I would note that this isn't the only way in which to adjust position net delta; it is just the tool I am using in this particular case. The entire position is also nondirectional by nature with the sole effort being to keep the net position's zero delta/gamma point within shouting distance of current price with various delta adjustments, some of which will be additive (adding contracts), some of which will be subtractive (closing out contracts). I have no opinion as to where oil goes from here or how much it will move in any given day or over a given time frame or whether a particular level is important or not for price action purposes. This type of setup is basically a bet that the underlying stays within the expected move (EM) or some factor of the expected move as determined by options delta and little else.
NYMEX:MCL1!
by NaughtyPines
Assignment (IRA): QQQ October 21st 300 Short PutComments: The one rung I couldn't strike improve very much with duration, so opted to let this rung go to assignment. I collected a total of 10.46 in credits (See Post Below), so the way I generally look at assignments is that the credits collected of10.46 ($1046) represent a realized gain. Unfortunately, the difference between the strike price (300.00) and current price (275.42) is that it is an unrealized loss. For purposes of tracking my cost basis post-assignment, I look at the strike at which I was assigned as my cost basis going forward, which starts out at 300.00, with credits received in short call premium reducing that over time. I'll look at selling a call against on Monday at the 300 strike, targeting the expiry that is going to pay me 1% or greater of the strike price in credit. Currently, that would be the December 16th 300, paying 5.13, but we'll see what the market does with the underlying post-mopex.
NASDAQ:QQQLong
by NaughtyPines
Opening (Margin): /MES February 28th 4080 Short Put... for a 73.75 credit. Comments: Functionally rolling to a 4080 short straddle here to delta balance and bring my delta/theta ratio to back under 1.0. The position remains net delta short, which I'm fine with since we're at 30 day highs here. Will look to take off the whole kit and caboodle in the next several days here, since I've only got 32 DTE to go in this contract, and would like to move on to the March fairly soon.
CME_MINI:MES1!Long
by NaughtyPines
Opening (IRA): SPY February 17th 407 Covered Calls... for a 391.65 debit. Comments: As with my IWM covered calls, re-erecting long delta that I took off yesterday to offset the short delta of my SPY short delta hedges, targeting the short call strike paying around 1% of the strike price in credit. The February 17th 407 is paying 4.21 at the mid at the moment. Similarly, probably not the greatest spot to be doing this, but just trying to keep my port "net delta happy." I'll only be doing this in IWM and SPY, since I still have some covered call on in the Q's, a March 31st 296, and a June 16th 310 and don't need the long delta there at the moment.
AMEX:SPYLong
by NaughtyPines
Opening (Margin): /MES February 28th 4000, 4010, 4040 Short PutsComments: Replacing the short puts I took off in profit to delta balance. Opened the 4000 for a 56.00 credit. Opened the 4010 for a 59.00 credit. Opened the 4040 for a 70.75 credit. Net delta of the position leans net short, but delta < theta, so I'm fine with the position remaining slightly short for now. The basic notion here is to make delta adjustments for realized gains at intervals to keep delta < theta, peeling off oppositional sides in profit where possible or the whole she-bang at once, so long as total realized gains exceed unrealized losses (which is the current case with what I have on now).
CME_MINI:MES1!
by NaughtyPines