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Shortdeltahedge

Opening (IRA): QQQ March 24th 280/May 19th 323 LPD*... for a 31.72 debit. Comments: Short delta hedge against a long delta portfolio. Buying the back -90 delta put and selling the front +30 to give me -60 delta/contract worth of hedge. This isn't a commentary or forecast of where the market goes from here, but rather in the nature of buying protection to keep my wife from yelling at me because her portfolio is down too much. 31.72 cost basis with a 291.28 break even on a 43 wide. * -- Long put diagonal.
NASDAQ:QQQShort
by NaughtyPines
2
Opening (IRA): QQQ March 17th 288/May 19th 327 LPD*... for a 29.86 debit. Comments: Re-establishing my short delta hedge against a long delta portfolio, buying the back month -90 delta and selling the front +30 to give me -60 delta of hedge per contract. This is not a comment on where the market goes from here, but rather protection to keep me from filling my diaper in the event the market sells off (although you can certainly use this setup to take a directional shot, too). Cost basis of 29.86 with a 297.14 break even on a 39 wide. * -- Long Put Diagonal
NASDAQ:QQQShort
by NaughtyPines
Opening (IRA): SPY March 24th 390/May 19th 434 LPD*... for a 31.62 debit. Comments: Re-establshing my short delta hedge in SPY against a long delta portfolio. Buying the back month -90 delta put and selling the front month +30 to give me around -60 delta of pro per contract. As with my other short delta hedges in IWM and QQQ, will look to roll out the short option leg to keep my portfolio "net delta happy" as well as to maintain a break even at or around where the underlying is currently trading. 31.62 cost basis with a 402.38 break even on a 44 wide.
AMEX:SPYShort
by NaughtyPines
Opening (IRA): SPY October 28th 358/January 20th 420 LPD*... for a 49.44 debit. Comments: Re-erecting my SPY short delta hedge here against my long delta portfolio, buying the back month 90 delta in the January monthly (98 days), and selling the front expiry 30 (14 days). 49.44 cost basis with a 370.56 break even on a 62 wide. 12.56 ($1256) max profit; 6.28 ($628) 50% max. Will look to roll out the short put aspect to reduce cost basis in the setup over time. * -- Long Put Diagonal.
AMEX:SPYShort
by NaughtyPines
2
Opening (IRA): QQQ Nov 18th 251/Jan 20th 300 Long Put Diagonal... for a 38.21 per contract debit. Comments: After taking profit on my previous long put diagonal in the Q's (See Post Below), re-erecting it immediately here, since I still need QQQ short delta. Selling the front expiry 30 delta and buying the back month 90 to delta hedge against a long delta portfolio. Going a little larger contract wise due to having some QQQ short puts that are basically right at the money ... . 38.21 cost basis on a 49 wide with a 261.79 break even with a take profit that is 50% of max (49.00 - 38.21)/2 + 38.21 = 43.60.
NASDAQ:QQQShort
by NaughtyPines
1
Opening (IRA): SPY October 14th 352/December 16th 409 LPD*... for a 43.10 debit. Comments: Short delta hedge against a long delta portfolio; buying the back expiry 90 delta, and selling the front expiry 30. 43.10 cost basis on a 57 wide with a 365.90 break even, a 13.90 ($1390) max, and a 6.95 50% max. Will look to take profit at 50% max, which would be for a 50.05 credit and/or roll out the short put to reduce cost basis if the setup doesn't hit take profit by the time the short put runs out of road. * -- Long put diagonal.
AMEX:SPYShort
by NaughtyPines
4
Opening (IRA): QQQ Oct7th 269/Dec 16th 320 LPD* (Hedge)... for a 39.88 debit. Comments: Having closed out my QQQ short delta hedge earlier, immediately re-erecting one here, since I still need the short delta. Buying the back month 90 in the December monthly, selling the front 30, giving me about 60 short delta to hedge off my long deltas in the Q's. Cost basis of 39.88 for a 51 wide with a 280.12 break even. Max profit of 11.12, with 50% max at 5.56, so will enter an order to take profit at 45.44.
NASDAQ:QQQShort
by NaughtyPines
Update (IRA): IWM Sept 30th 177/Nov 18th 200 Long Put DiagonalComments: Just updating my short delta hedge (See Post Below) in IWM so that it appears more toward the top of my ideas queue ... . As of the last short leg roll: Cost basis of 22.58 with a 177.42 break even on a 23 wide. As you can see, price has pushed up quite a bit into the long leg of the setup, but I'll keep rolling the short leg out to reduce cost basis and look to roll the long leg up and out if I run out of time and/or don't get the move I need (i.e., back through the short leg of the setup; this may be somewhat of a tall order at this point, that's 18 strikes below where IWM is currently trading). At the moment, doing this would cost me (and will probably cost me when I actually go ahead and do it). For example, rolling the November 18th 200 long to the December 16th 230 (90 delta), would cost 28.69 at the mid price, increasing my cost basis to 51.27 on a resulting 53 wide with a 178.73 break even (a slight improvement over my current 177.42 break even). I've still got 7 potential rolling opportunities of the short leg from week to week, so will cross that bridge when I come to it ... .
AMEX:IWMShort
by NaughtyPines
7