... for a 234.00 credit. Comments: Re-establishing here with 53 days until expiry. $1170 max on buying power of $1028; 114% ROC as a function of buying power effect; 28.5% at 25% max. 3756/4224 break evens. As before, will look to first add to get to the size of position I want, then do additive, subtractive, and rolling adjustments at intervals to keep the...
... for a 242.75 credit. Comments: Ask (for higher IV) and you shall receive ... . 3767.25/4254.75 break evens on buying power effect of less than the credit received. Although I look for 25% max out of short straddles, I won't hesitate to take it off in profit early, since this is a tad longer dated than I like to start out with (56 days until expiry).
... 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;...
... for an 86.50 credit. Comments: And ... back into /MES in the expiry nearest 45 DTE. Selling the 24 delta strikes on both sides to get something approaching 50% ROC as a function of buying power effect. 432.50 max on buying power effect of 879.92, 49.2% ROC at max as a function of buying power effect; 24.6% at 50% max. Will generally look to make...
Considering the upcoming news release 2/14/23 i am projection one of these projections to manifest over the course of this week markdown bias = if highs (412x) are attacked during N.Y. sessions markup bias = if lows (4050) are attacked during N.Y. sessions
... for a 199.75 credit. Comments: 199.75 credit (998.75 max) on buying power effect of 1038.55; 96.2% ROC at max; 24.0% at 25% max.* A different form of a reverse gamma scalping setup using short straddles. In this case, delta adjustments are made using additive skewed short straddles to delta balance. For example, if the position skews out to -20 short...
... for a 56.00 debit. Comments: Filled this for a 70.75 credit. Closing out here results in a (70.75 - 56.00)/.2 = $73.75 profit.
... for a 50.50 credit. Comments: Continuing to adjust to keep my delta/theta ratio sub-1.0, with the position still leaning net delta short.
... for a 21.00 debit. Comments: Opened for 32.50; closed for 21.00. (32.50 - 21.00)/.2 = $57.50 profit.
... for a 73.75 credit. Comments: Functionally rolling to a 4080 short straddle here to delta balance and bring my delta/theta ratio to back under 1.0. The position remains net delta short, which I'm fine with since we're at 30 day highs here. Will look to take off the whole kit and caboodle in the next several days here, since I've only got 32 DTE to go in...
... for a 37.25 debit. Comments: Filled this leg for a 59.25 credit. Closing here results in a (59.25 - 37.25)/.20 = $110.00 profit.
Comments: Replacing the short puts I took off in profit to delta balance. Opened the 4000 for a 56.00 credit. Opened the 4010 for a 59.00 credit. Opened the 4040 for a 70.75 credit. Net delta of the position leans net short, but delta < theta, so I'm fine with the position remaining slightly short for now. The basic notion here is to make delta adjustments for...
Comments: Going to continue reverse gamma scalping this for a bit with 33 days to go in the contract. Closed the 3890 for 30.25. (41.00 - 30.25)/.2 = $53.75 profit. Closed the 3925 for 37.50. (49.25 - 37.50)/.2 = $58.75 profit. Closed the 3940 for 41.00. (53.25 - 41.00)/.2 = $61.25 profit. Will open new, higher delta short puts to delta balance in a minute here.
... for a 32.50 credit. Comments: After taking off a lower delta'd short put leg in profit, replacing it here with a short put with a strike that cuts my net delta in half or so.
... for a 15.75 debit. Comments: Filled this leg for a 24.25 credit. Closing it out here results in a realized gain of (24.25 - 15.75)/.2 = $42.50. I'll replace it with an appropriately delta'd short put higher up the ladder in a minute here ... .
... for a 13.00 debit. Comments: A subtractive delta adjustment here ... . Closing out its +9 delta flattens my net delta (which had begun to skew long), frees up buying power (I had an extra put unit on relative to call units), and results in a small profit of (18.50 - 13.00)/.2 = $27.50.
... short puts. Comments: Replacing the short puts I stripped off in profit to delta balance what is now the -27, -31, -33, and -36 delta calls. The remaining -42 delta short call at the 4080 is only partially hedged, so position net delta still leans short. Opened the February 28th 3890 for a 41.00 credit. Opened the February 28th 3925 for a 49.25...
... short puts. Comments: Filled the 3620 for a 18.00 credit; closed it here for a 10.25 debit. (18.00 - 10.25)/.2 = $38.75 profit. Filled the 3700 for a 22.00 credit; closed it for a 15.25 debit. (22.00 - 15.25)/.2 = $33.75 profit. Filled the 3760 for a 31.25 credit; closed it for a 20.75 debit. (31.25 - 20.75)/.2 = $52.50 profit. Filled the 3770 for a 28.25...