[CLOSED] – RUT ICRally Setup, Jun Expiry

Update: May 5th, 2018

Closing out the put spread.

Update: May 11th, 2018

Rolling call spreads, adding new put spreads.
Cuts short delta by 46%, increases long theta by 56%

Update: May 21st, 2018

Adding call buy to hedge.

Update: May 30th, 2018

Closing out the put spreads.

Update: June 8th, 2018

Adding put spreads, rolling call spreads into opex. Just managing losses and the greeks here.

Update: June 12th, 2018

Rolling put spreads higher, reducing 10% of the short calls.

Update: June 14th, 2018

Closing out the Trade.

Margin and P/L Calculations

Trade #1

Sell to Open Half Size RUT Jun 1650/1660 Call Spread @1.10

Sell to Open Full Size RUT Jun 1430/1420 Put Spread @0.80

Margin: 8650

Trade #2

Buy to Close RUT Jun 1430/1420 Put Spread @0.30

Realized Profit: 500

Margin: 8950

Trade #3

Buy to Close RUT Jun 1650/1660 Call Spread @2.05

Realized Loss: 475

Sell to Open RUT Jun 1670/1680 Call Spread @0.95

Sell to Open RUT Jun 1530/1520 Put Spread @0.80

Margin: 8300

Trade #4

Buy to Open RUT 29Jun18 1720 Call @2.65

Margin: 8830

Trade #5

Buy to Close RUT Jun 1530/1520 Put Spread @0.25

Realized Profit: 550

Margin: 9080

Trade #6

Buy to Close RUT Jun 1670/1680 Call Spread @4.85

Realized Loss: 3900

Sell to Open RUT Jun 1690/1700 Call Spread @1.70

Sell to Open RUT Jun 1640/1630 Put Spread @0.87

Margin: 11360

Trade #7

Buy To Close RUT Jun 1640/1630 Put Spread @0.25

Realized Profit: 620

Sell to Open RUT Jun 1660/1650 Put Spread @0.65

Buy to Close RUT Jun18 1690 Call @4.80 (reduced short calls by 10%)

Margin: 11440

Trade #8

Buy to Close Jun 1690/1700 Call Spread @0.25

Realized Profits: 1305

Buy to Close Jun 1640/1630 Put Spread @0.25

Realized Profits: 400

Sell to Close Leftover 1700 Call @0.20

Realized Profits: 20

Jun 1690 call buy “hedge” isn’t closed as it was part of the original bear call spread.

Total P/L: -980

Max Margin: 11440

-8.56%

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