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fazParticipant
igor, It does i am glad we agree on our expiration dates..
however i dont get the adjustments. i posted my deltas above. A OTM call for a delta 14 on the may? and sell 1/2 the call side on the May2 with my delta of 18 (ok that one is ok)..
as an aside will you be putting on mid weeklies and what are we calling them May1.5 or May2.5 etc ? :-).
fazParticipantigor, i am sorry I am getting confused by the expiration dates. May1, May2 or May etc. its not quite the same on IBKR
May SPX for me is May 19th and my 2145 short strike is 14.
May3 SPX for me is May13th and my 2130 short strike is 18May (may 19th) BPS is showing 0.3 to close 1870/1880
June 1 (june 3rd) BPS is showing 0.4 to close after 1 day.I think the mid weeklies may have messed up the May1, may 2 labelling?
- This reply was modified 7 years, 1 month ago by faz.
fazParticipantfilled on june 1 SPX IC @ 1.8 1850/1860/2150/2160 (deltas had moved a stike after you posted) — i see the market (and deltas) have just moved back again while i type this out 🙂
fazParticipantexited @ 1.8 = might not have been a good idea but in the absence of ONE to see what my p& is I did not want to take the gamma run into next week.
will setup ONE from tonight.
fazParticipantdid not get filled on APR4 call side :-(.. The intra day moves are far to brief…
but my hedge did.. (that’s second time I made that mistake)
delta @24 — ~2.6 to close.i might hold on until 2070 and close there.
fazParticipantit does i think.. the hedge became of less use so you got rid but that adds short delta so you adjusted again to take some short delta off. (As oppose to adding long deltas)
thanks its the reasoning that would allow me to make a synthetic equivalent.
fazParticipantSeems like net effect is removing 1 lot on the call side and moving the hedge from 2110 to 2100 and one week in to match expiry date?
So why did you do that? in terms of credit/risk/greeks — To manage your deltas but you also reduce your position at the same time?
Since you went for 10 lots to 9 lots how could you replicate that from smaller lots?
Im trying to understand this adjustment vs you just removing 1 call spread and keeping the hedge.
fazParticipanti forgot to multiply by lots again.
so is -10+2= -8
fazParticipantcall side short strike = 16 long strike = 11
i have SPY APR5 2090 (under hedge as i forgot to multiply by lots ) = 20 SPY delta/2 SPX delta.net delta = -5+2 = -3
As mentioned i am without ONE for 3 weeks and I will be back on it but have had zero time until this w/e
fazParticipantApr4 adjustments since yesterday a bit difficult to follow. (I am Johnny 2 lot for now)
Anyway i am currently sitting with Apr5 hedge and call side spread. 2090/2100..
also small request — how to keep the open trades up to date. they look a little incorrect now?
fazParticipantHi Igor,
While getting crushed on my calls on Friday afternoon i put a sneaky close order on the APR4 BPS greedy roll for 0.2 and got filled @ close.. so my net delta position is less neutral then yours but with delta @ 14 I am sanguine until if we get back to 2060
also did you notice that the short strike is 14 delta while the long strike is 24 delta? quite a jump? a consequence of approaching expiration? I don’t see anything odd on the vol smile.
cheers
FazfazParticipanthi Igor,
previously I was doing a Steve IC, an Igor IC and a Faz IC, and managing how many of 1, 2 or 3 positions I had at any one time and it was a bit random. I just aimed to be fully invested except for my dry powder ~20% at all times. — In this time I discovered diversifying over time e.g in feb I might as well just have had on 1 big IC instead 3 x smaller ICs.
So now that you closed the April IC. We have 3 positions on. Do you aim to keep fully invested? are you currently looking to enter a new one? For what reasons might you not try to keep have 4 on at any one time? do you have any specific rules for diversifying over time?
thoughts?
fazParticipantI just got filled @ 1.80 on May 1860/1870/2145/2155 initiated after yellen so moved the strikes a bit — still took till now to get filled.
May2 Put side also closed @0.30
fazParticipantHi Igor,
i am wondering what makes you choose a balanced vs an unbalanced IC at any given moment?
To me it feels like a nightmare when a call side is under attack vs a put side and is nearly 2 x a loser from a risk mgmt POV vs puts..
That makes me want to do 1/2 size on the calls but even more we know the market spends most of its life going up anyway which confirms the condition making me think why anyone would ever NOT want to do unbalanced unless we in a clear bear market
Other reasons to do unbalanced are getting more delta neutral implying perhaps when u do balanced you are bearish?
fazParticipantno but if you want to put similar then you can follow this part
“10-13 delta put for the bull put spread and about a 10 delta call for the bear call spread.”
but if you do not understand that, wait until the next Igor May trade.
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