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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