Opening (IRA): IWM July 15th 165/November 18th 200 LPD*
已更新
... 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.
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.
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Rolled July 15th 165 to July 22nd 165 for .67. 29.29 cost basis; 170.73 break even on a 35 wide.交易开始
Adjusting my short delta slightly here by rolling out. Rolling the July 22nd 165 to the July 29th 165 for a .63 credit. 28.64 cost basis; 171.36 break even on a 35 wide.交易开始
Rolling the July 29th 165 to the August 5th 165 for a .55 credit. Cost basis 28.09 on a 35 wide, 171.91 break even.交易开始
Rolling the August 5th 165 to the August 12th 167 for 1.03. 27.06 cost basis on a 33 wide, 172.94 break even.交易开始
Rolled the August 12th 167 to the August 19th 167 on weakness here for a .56 credit. Resulting cost basis of 26.50 on a 33 wide with a 173.50 break even.交易开始
Rolled the August 19th 167 to the August 26th 173 for a 1.47 credit. Cost basis of 25.03 on a 27 wide with a 174.50 break even.交易开始
Rolling the August 26th 173 to the September 2nd 175 for .80, which basically puts my short put at my setup breakeven. Cost basis of 24.23 on a 25 wide with a 175.77 break even.交易开始
Rolled the September 2nd 175 to the September 9th 175 for .35. Cost basis of 23.88 on a 25 wide with a 176.12 break even.交易开始
Rolled the September 9th 175 to the September 16th 176 for a .39 credit. Cost basis of 23.49 on a 24 wide with a 176.51 break even.交易开始
Finally some weakness to roll into ... . Rolling the September 16th 176 to the September 23rd 176 for a .30 credit. 23.19 cost basis on a 24 wide with a 176.81 break even.交易开始
More weakness. More rolling. Rolling the September 23rd 176 to the September 30th 177 for a .63 credit. 22.56 cost basis with a 177.44 break even on a 23 wide.评论
Oops. Was a .61 credit, so cost basis of 22.58/177.42 break even/23 wide.
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