Friday, July 8, 2016

Starting the August Position


       Even though there are only 43 days until expiration, I want to put on an August position. With the market at 1150, I put my butterflies at 1120 with the wings at 1170 and 1070. The butterfly had -113 Delta so I had to buy the vertical 1120/1140 along with a call at 970 to offset it. The Delta value is now -7, the Theta value is 94, and the Vega is -361.

Here is the current risk profile graph of the position:


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