Saturday, May 21, 2016

Putting on an July Position


    Along with taking off my June position, I also put on my July position. I put it on Friday at exactly 56 day to expiration which is the recommended time. Because of the low Delta value, had to put on 12 butterflies at 1080 because only 10 butterflies would have had -85 Delta. With the 12 butterflies, the position had -99 Delta and to balance that I bought a 940 call with positive 95 Delta bringing the position's Delta to the recommended -5. The current Greeks of the position are: -5 Delta, -0.47 Gamma, 83.88 Theta, and -380.4 Vega.

The risk profile graph of the position can be seen below:


No comments:

Post a Comment