Neutral position on BTC

2017年2月22日

I currently have a debit spread open on BTC, with a $100 spread. BTC 31mar17 1100/1200.

I expect the price to be trading within this range for a bit, however not all of it is completely sound. The probability of the call leg being In-The-Money is about 60%, and as of current it is trading pretty close to my strike price. To hedge that, I opened up my short leg with a few more contracts, to collect premium and be net profit at expiration, because there's a 40% chance of it ever going In-The-Money from that strike price.

If all else fails, I'll adjust my position, and roll down my long call to a lower strike. For now, that doesn't seem necessary. All of the greeks are favourable. Theta decay is high on the short side, but that's also favourable- you want the top option to expire worthless so you get that sweet, sweet premium.

Good luck!

2017年2月22日

注释

Rolled down my long call. I realised I payed too much for premium and will never break-even if I do that. Rolling it down to 1080. Slightly higher premium, but it wasn't as much as I payed for 1100 call

2017年2月23日

交易开始

Watching the volatility closely now... An increase in volatility will usually hurt us in debit spreads (if you want to get technical, my position is a backspread, which means I have more contracts on one side of the spread than the other). If IV gets too out of hand, I might consider downsizing my position. But obviously, it's way too early to do anything yet. Keep an eye out for the next few days.

Best case scenario, we reach a high and trade down to and between 1120-1080(or infinity, my backspread is leaning more toward the short side).