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%