Sunday, August 19, 2012

Current Holdings

9/1

Position #1: short Sep SPY 131 puts $0.26 basis.  Market value $0.26.  Long delta. 96% probability expires worthless.
Position #2: short Sep XLE 64/77 strangle $0.54 basis.  Market value $0.23.  Mildly long delta. 94% probability expires worthless.
Position #3: long VXX, short Sep 12/13 calls, short Sep 11 puts.  Short Sep volatility.
Portfolio is structured with a bullish bias, short volatility.  <50% of total acct value invested.  Book ~ flat week-on-week.


8/25
Position #1: short weekly SPY 141 puts $0.65 basis; short Sep SPY 131 puts $0.26 basis.  Long delta.
Position #2: short Sep XLE 64/77 strangle $0.54 basis.  Mildly long delta.
Position #3: long VXX, long Sep VXX 10 call, short Sep 12 calls (pseudo-covered call play).  Mildly delta-short.

8/18
Position #1:  short Sep SPY 125/149 Strangles for $0.33 per contract for a net credit.  Trade is 100% profitable as long as SPY closes between 125 and 149 at September expiration on 9/21.  Current probability for max profit is 84.5%.

Position #2:  short Sep XLE 64/77 Strangles for $0.54 per contract for a net credit.  Trade is 100% profitable as long as XLE closes between 64 and 77 at September expiration on 9/21.  Current probability for max profit is 86%.

Position #3:  for each share of VXX long, short 2 contracts Sep VXX 12 for $1.07 per contract.  Basically, a custom covered call.  Max profit comes with a VXX close at $12 at September expiration.  This trade is merely a vega-hedge against short vega exposure from the SPY and XLE positions. 


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