Opening (Margin): /MES March 31st 4000/4330 Short Strangle

... for an 81.75 credit.

Comments: After closing out my last setup in profit, reentering anew, selling the 26 delta on both sides to get about 50% of the buying power effect of the setup in credit. I'm staying with the March 31st here, as the April expiry is a bit too far out in time yet. 81.75 credit (408.75 max) on BPE of 940.00 or so; 43.5% ROC at max; 21.7% at 50% max.

As before, I'll look to do additive delta adjustments at intervals to keep the delta/theta ratio <1.0.

Trade active:

Selling the 4040/4350 slightly long delta skewed short strangle for a 77.50 credit to delta balance and to throw another long on the theta fire. Total credits collected of 159.25 ($796.25 max).

Trade active:

Selling the -19 delta call at the 4325 strike for 21.25 to cut net delta in half. Total credits collected of 159.25 + 21.25 = 180.50.

Trade active:

Closing the 4330 and 4350 short calls for a realized gain and a total of a 38.50 debit; selling the -37 delta 4210 and -32 delta 4240 calls against their correspondent short puts for 105.00 in credits total; and selling the +19 delta put at 3860 strike for a 34.25 credit, bringing the entire she-bang back to delta neutral. 180.50 - 38.50 + 105.00 + 34.25 = 281.25 total credits collected.

Current position: March 31st 3860P/4000P/4040P/4210C/4240C/4325C.

Trade active:

Closed the 4210C for a 49.25 debit and the 4240C for a 38.75 debit and sold the 4170C for a 65.25 credit and the 4200 for a 52.75 credit to delta adjust. 311.25 total credits collected.

Trade active:

Functionally rolled the 4325 call down to the 4210 call for a 21.50 credit to cut net delta. Total credits collected of 332.75.

Trade active:

Closed the 4200 call for a 36.25 debit and the 4170 for a 46.25 debit. Replaced with oppositionally delta'd short calls at the 4075 and 4110 strikes for 89.50 and 71.75 respectively. Total credits collected of 332.75 - 36.25 -46.25 + 89.50 + 71.75 = 411.50 ($2057.50 max). Net delta of the position is now neutral.

Comment:

I'm looking to take maximal advantage of the vol expansion here by collecting as much credit as possible on the off chance IV contracts from here ... .

Trade closed manually:

Money, take, run ... . Closed for 380.50 in total. (411.50 - 380.50)/.2 - 1.55 ($155) profit. With IV contracting here somewhat (VIX was-1.14 to 21.14), will probably wait a little bit to see if we get another expansion before running this anew out in the April monthly.