Opening (Margin): /MES April 21st 3960 Short Straddle

... for a 225.00 ($1135.00 max) credit.

Comments: The 30-day IV isn't as high as I would like at 20.5, nor is the IVR (11.5%), but you can't always have everything. Will look to make additive adjustments first to get to the size of position I want and then look to just manage sides to delta balance. Starting out skewed just a smidge short here, but I'll naturally adjust if the market has other ideas on its mind.

I'm generally looking to get 25% of total credits collected (25% of $1135.00 would be $283.75 in profit), but won't be hesitant to take quick profit and then re-establish.

Trade active:

Small uptick in volatility here I want to take advantage of. Filled the slightly long skewed 3980 short straddle for a 223.25 credit. Total credits collected: 448.25 with 50 days to go.

Trade active:

Sold the long delta-skewed 4075 short straddle for a 209.75 credit to cut net delta in about half. Total credits collected: 658.00. Still leans short ... .

Trade active:

Sold the 3880 standalone put for a 42.50 credit to delta balance, after which it continued to move up, so sold the 3825 for 33.75 as well after looking at where my net delta was. Total credits collected of 734.25. As with my /MCL position, I've got unit imbalance, so will look to add in call side should the position skew net long at some point. I'm also kind of at the size I want, so will look to manage sides (i.e., rolling in) to delta balance from here on out as opposed to adding units.

Trade active:

Rolled the 3880 up a smidge to the 3920 for a 13.75 credit. Total credits collected of 748.00.

Trade active:

Closing the 4075 short straddle as a unit for a realized gain and a 203.75 debit. It was also slightly skewed short, so this relieves me of some short delta, as well as frees up buying power. Total credits collected of 544.25.

Trade active:

Now replacing the short delta-skewed short straddle I took off at the 4075 with a long delta-skewed short straddle at the 4125. Filled for a 198.75 credit. It still leans short, but with a delta/theta ratio of <1.0. Total credits collected of 743.00 ($3715.00, notionally).

You can see a sort of pattern here with what setup I use to adjust: use the short straddle for smaller adjustment (i.e., to pick up net delta of <+/- 15), standalone short options for bigger ones (i.e., net delta of > +/- 15). This is primarily because smaller delta, standalone short options may not pay enough to make the adjustment "worthwhile." For example, I probably won't bother selling a +6 delta put to adjust (which is only paying $50 in credit), but I might sell a +6 delta skewed short straddle instead (which has far more than $50 of extrinsic in it).

Trade active:

Rolling the 3825 up to the 3875 for a 7.50 credit to delta balance. Total credits collected of 750.50 ($3752.50). Position still leans slightly short here.

Trade active:

Sold the 4260C against one of my standalone short puts to delta balance for an 18.50 credit. Total credits collected of 769.00. Will look to sell a call against my other standalone short put once the futures session opens ... .

Trade active:

Closed the 3980 short straddle for a realized gain and a 210.75 debit; closed the 3960 short straddle for a realized gain and a 217.00 debit. Sold the 4140C against for a 48.25 credit and the 4170C against for a 38.75 credit. Total credits collected now 428.25 ($2141.25). Position leans slightly long with unit imbalance on the call side with the 4260C being the "odd man out." Position leans slightly long, but with the delta/theta ratio now <1.0.

Trade active:

Sold the slightly short delta skewed 4010 short straddle for a 203.25 credit. Total credits collected of 631.50 ($3157.50). Position now leans a smidge long, but is basically net delta flat at 45 days until expiry.

Comment:

No adjustments required here with net delta at neutral ... for the moment.

Trade active:

Ay caramba. Quite the sell-off. Closed the 4260C for a 9.75 debit; the 4140C for a 30.00; the 4170C for 23.00; opened the 3980, 4000, and 4070C for a total of 223.00. Credits to date: 791.75. Basically, I'm rolling down calls here to pick up short delta and flatten directionality. Still leans long ... .

Trade active:

And now rolling down the 4125C to the 3950C to delta balance for a 73.50 credit and the 4010 down to the 3940 for a 35.00 credit. Total credits collected of 900.25 (4501.25). Position is now slightly net delta negative.

Trade active:

Rolled the 3950C down to the 3925C for a 13.00 credit to cut net delta. Total credits collected of 913.25 (4566.25). Still leans long.

Trade active:

Closing the 3980C for a realized gain and a 81.50 debit. Opting to sell the short call that cuts the resulting net delta in half, which happens to be at the 4040 for a 54.50 credit. Total credits collected: 886.25.

Trade active:

And closing the 3940C for a realized gain and a 101.50 debit and selling the 3990C to cut the resulting net delta in half for a 75.00 credit. Total credits: 859.75.

Trade active:

Rolling the 4000C down to the 3900C for a 49.00 credit. Total credits collected of 908.75.

Trade active:

Closing the 4070C for a realized gain and a 40.75 debit. Total credits collected of 868 even. Looks like we might be getting a small bounce here, so may wait a little bit.

Trade active:

Rolled the 3925 down to the 3920C for a 1.75 credit. Total credits collected of 869.75.

Trade active:

Selling the 4010C for a 62.25 credit on this little bounce. Total credits collected of 932.00 (4660.00).

Trade active:

Rolled the 3990C down to the 3890C for a 50.00 credit. Total credits collected of 982.00 (4910.00).

Trade active:

Closed the 4040C for a realized gain and a 45.25 debit. Total credits collected of 936.75.

Trade active:

Sold the 4125C to cut net delta for a 26.00 credit. Total credits collected of 962.75. Position leans long.

Trade closed manually:

Closed here for 1092.00; 129.25 ($646.25) loss. Will look to reset with something that has more room to be wrong.