OPENING: SPY DECEMBER 18TH 275/2 X 380 RATIO'D SHORT STRANGLE

... for an 8.02 credit.

Notes: Re-upping my SPY core position in the first expiry in which the at-the-money short straddle pays at least 10% of where the stock is trading and selling the 16 delta puts and twice the number of 8 delta calls to accommodate skew. This is actually in November, but December offers some greater strike granularity where I want to set up my short put side.

The short put is currently valued at 5.75, the short calls at 1.17/contract; delta/theta at -.66/3.95.

Trade active:

Selling the December 283P/385C 16/9 delta short strangle for a 6.91 credit to delta flatten and add extrinsic; delta/theta -2.82/7.51; scratch at 14.93 versus current value of 15.19. Basic goal is to keep net delta < theta and let theta do its magic over time.

Trade active:

Sold the December 287/385 16/10 delta short strangle for 7.45 credit to delta flatten and add extrinsic; scratch at 22.38; delta/theta at -1.42/11.40, extrinsic at 22.85.

Trade active:

Sold the December 265/2x364 ratio'd short strangle to delta under hedge and take advantage of this spike in IV -- for 11.10. Scratch at 33.48; delta/theta 24.31/17.85.

Comment:

I would note that the delta/theta ratio is less than what I would consider ideal, but I always like to give the market an opportunity to do my delta balancing for me. If it doesn't, I'll look at continuing to delta under hedge as appropriate in the coming weeks.

Trade active:

Selling the December 350 short call for 3.20 to delta under hedge. Scratch at 36.68.

Trade active:

The strikes I want to use out in December have gone illiquid, so selling in shorter duration: the May 317 for 2.54. Scratch at 39.92.

Trade active:

Cleaning this setup up: Closing the Dec 2 x 380's for .31 for a total of .62; the Dec 2 x 385's for .23 for a total of .46; the Dec 2 x 364's for .46 (.92 total) and the Dec 350 for .92 to sell in shorter, higher IV durations. Scratch at 39.00 even with the resulting setup being the Dec 265/275/283/287 P - May 17th 317 C.

Comment:

Correction: Scratch at 37.00. Now that I think about it, also pulling off the low delta May 317 for .31 here. Scratch at 36.69. Will add short call back in a bit here.

Trade active:

Selling the May 17th 294 for 2.25. Scratch at 38.94. More directional than I would like at the moment, but am wary of being whipped, so going small, incremental, rather than attempting to correct the delta skew out all at once.

Trade active:

Late Post: Sold 3 x the May 15th 281's for a total of 7.59 in credits to cut long delta and to balance units in advance of employment numbers on Friday, which are likely to be brutal. Scratch at 46.53; delta at +186-ish/46 long per contract.

Trade active:

Selling the June 308's for 2.50; scratch at 49.03. Current Setup: Dec 265/275/283/287P/May 17th 294/3x291/June 308C.

Comment:

That should read "May 15th ... 3 x 281."

Comment:

Going to pass on adjusting this this week: the May short calls have 17 days left in them and the 281's will have to be rolled up and out should they stay monied. I'll evaluate overall delta/theta at that point now that things aren't the whipsaw-fest they were a couple of weeks ago.

Trade active:

With 10 days to go in May, rolling the 3 x 281's out and up to the June 288's for a 1.15 per contract credit -- a total of 3.45. Scratch at 52.48. Waiting until next week to address the May 294's if necessary. Resulting setup: Dec 265/275/283/287P--May 294/June 3 x 288's/June 308 C.

Trade active:

With net delta leaning short, adding in a 16 delta cutter in June at the 254 strike for 3.83. Scratch at 56.31.

Trade active:

Rather than roll the May 294's out, closing them here for 1.83. In for 2.25, out for 1.83 -- a profitable subtractive adjustment that relieves me of some short delta. Remaining setup: Dec 265/275/283/287P, June 254P -- June 3 x 288/June 308C's. Delta/Theta: -26.84/75.64, so leaning slightly short here, but with a good delta/theta ratio. Scratch at 54.48.

Trade active:

Naturally, setup starting to push short -82/80 delta/theta, but some of that will resolve itself when I address June short calls. June is an ex-divvy month, so I'll probably want to roll them out-of-the-money if that's required.

Trade active:

Out of the June 254 puts for .32/contract; scratch at 54.16. The June 288 C's will in all likelihood have to be rolled out, but they still have some extrinsic in them, so will probably wait another week here. June's an ex-divvy month, so there is a heightened assignment risk for in-the-money calls whose extrinsic is less than the divvy. Here, extrinsic in the 288's is around 1.75 versus last divvy of 1.41.

Trade active:

Rolling the 3 x 288's to the August 291's for a 1.07 per contract credit (3.21) total and the 308's to the July 310's for 1.45. Scratch at 58.82.

Trade active:

Rolling the July 310's to the August 316's for 1.43. Scratch at 60.25.

Trade active:

Rolled the 3 x 291's to the December 297's for a 1.32/contract credit (for a total of 3.96) and the August 316's to the December 329's for a 1.59/contract credit. Scratch at 60.25 + 3.96 + 1.59 = 65.80. Resulting setup: Dec 265P/275P/283P/287P/3 x 297C/316C. Will look at adjusting the put side to cut net delta shortly ... .