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Shortdeltahedge

Opening (IRA): QQQ Sept 30th 278/Nov 18th 329 LPD* (Hedge)... for a 39.14 debit. Comments: After closing out my previous QQQ short delta hedge for a profit, opening a new one. Selling the front week 30 delta; buying the back month 90, resulting in around a -60 delta metric. Cost basis of 39.14 with a 289.86 break even on a 51 wide with a max profit potential of 11.86. Will look to take profit on the entire setup at 50% of max, rolling the short put out if needed to reduce cost basis and improve my break even. * -- Long Put Diagonal.
NASDAQ:QQQShort
by NaughtyPines
Opening (IRA): QQQ June 17th 272/September 16th 355 LPD*... for a 60.78/contract debit. Comments: Additional short delta hedge to a long delta portfolio. Here, selling the front month 30 delta, buying the back month 90 to provide me with a net -60 delta/contract. Paying 60.78 for an 83-wide with a 294.22 break even. I generally don't like to add on weakness, but my other broad market short delta hedge is converging on max profit (See Post Below) and doesn't have much short delta left in it. * -- Long Put Diagonal.
NASDAQ:QQQShort
by NaughtyPines
Opening (IRA): IWM July 15th 165/November 18th 200 LPD*... for a 29.95/contract debit. Comments: Erecting a short delta hedge specifically against my IWM longs here, tailored to my specific delta needs, so I've gone with selling the front month 50 and buying the back month 90 for -40 or so delta per contract. (The math just worked out better with multiples of -40 versus multiples of -60; call me delta anal). I've already done a little bit of portfolio-wide SPY beta-weighted delta hedging here using SPY, but wanted to flatten out net delta a smidge further, particularly in my IWM position. 170.05 break even, paying 29.95 on a 35 wide with a max profit potential of 5.05 ($505)/contract. Generally speaking, you want to address delta imbalances on an instrument by instrument basis first and then look at your portfolio-wide net delta to see if anything additional needs to be done (usually via a broad market, SPY beta-weighted short delta hedge). To a certain extent, this is why you always want to keep some dry powder around -- to adjust your delta on either a per-position or a portfolio-wide basis, some of which may or may not be buying power free. * -- Long put diagonal.
AMEX:IWMShort
by NaughtyPines
Opening (IRA): SPY July 15th 351/November 18th 430 LPD*... for a 60.76/contract debit. Comments: Re-erecting my short delta hedge here after taking profit on my previous one. Buying the back month 90 and selling the front month 30 delta strikes to provide me with -60 delta/contract. 369.24 break even, paying 60.76 for a 79 wide with a max profit potential of 18.24 ($1824) assuming a finish sub-351. I would note that this probably isn't the best place to erect a short delta hedge, which you want to do on strength, so this is most likely not a good (or even mediocre) standalone trade. This is more about what my personal portfolio needs to remain "net delta happy."
AMEX:SPYLong
by NaughtyPines
Opened (IRA): SPY May 20th 406/September 16th 486 LPD*... for a 58.84 debit. Comments: Opened this yesterday with my other short delta hedge convergent on max profit and with little short delta left in it, (See Post Below), such that it was no longer functioning as much of a hedge. Bought the back month 90, sold the front month 30, paying 58.84 for an 80 wide with a 427.16 break even and a max profit potential of 21.16 ($2116) (36.0% ROC at max). * -- Long put diagonal.
AMEX:SPYShort
by NaughtyPines
Opening (IRA): SPY February 18th 443/June 17th 520... long put diagonal for a 68.09 debit. Comments: Re-erecting my short delta hedge in SPY to cut delta in a net delta long portfolio after closing out my previous setup which had converged on nearly flat delta. Here, selling the 50 delta strike in the front month and buying the 90 delta in the back month. Paying 68.09 for a 77 wide, -41.73 delta with a 451.91 break even. As before, I will roll out the short put aspect weekly to collect credit and reduce my cost basis in the hedge and keep it on as long as I continue to need the short delta.
AMEX:SPYShort
by NaughtyPines