A neutral strategy to squeeze AF - KLM
Hi all,
Today I entered a trade in AirFrance - KLM which has been struck quite significantly by the pandemic. My guess is that they will recover in the coming months but there could be some nasty surprises on the way to it. To summarize: I expect some movement in this ticker the next few months. Directional trading is not easy since you basically need to be on the right side of the trade.
My starting position is a 2.8 / 5 long strangle (10 contracts) with a position delta of 2 (-4 at the moment, which is ok, it wil fluctuate). I am long 375 gamma and short theta by 2. I will update regularly about the position but I already enabled some alerts to warn me when to hedge my delta's accordingly.
Key focus:
- Look for shorts when delta moves positive
- Look for longs when delta moves negative
Keep you posted.
Today I entered a trade in AirFrance - KLM which has been struck quite significantly by the pandemic. My guess is that they will recover in the coming months but there could be some nasty surprises on the way to it. To summarize: I expect some movement in this ticker the next few months. Directional trading is not easy since you basically need to be on the right side of the trade.
My starting position is a 2.8 / 5 long strangle (10 contracts) with a position delta of 2 (-4 at the moment, which is ok, it wil fluctuate). I am long 375 gamma and short theta by 2. I will update regularly about the position but I already enabled some alerts to warn me when to hedge my delta's accordingly.
Key focus:
- Look for shorts when delta moves positive
- Look for longs when delta moves negative
Keep you posted.
Comment:
Hi all. Delta moved significantly to minus 94 which means that I am now 94 delta's short. The gamma increased to 397. Total floating P/L is not that significant, it is ~50 euro's on the position. Today I bought 94 shares in order to rebalance the delta. Will update soon.