Closing the August Position

  Over the past few days, I have made a series of adjustments to my August position. All of the adjustments I have made were as a result of too much negative Delta. On July 27, July 28, and August 1, I added the vertical 1170/1200 to reduce the negative Delta value of the position (they were at -61, -67, and -60 respectively). The market had been outside of the tent for all of these adjustments. I decided to take the position off yesterday, August 2 with a profit of $1,018. With only 16 days left until expiration, I thought that I should take the profit -which has not been over $1,000 for the position- while I could.

The final risk profile graph of the August 2016 position can be seen below:

The September position is currently at a $479 profit and no adjustments have been needed for this position over the past few days. The September position still has 44 days until expiration.

This is what the September position's current risk profile graph looks like:

September Position and Updates to August Position

      As I said before, I put on my September position on Friday, July 22 with 56 days until expiration. The butterflies were placed at 1180 with the lower and upper wings at 1130 and 1230 respectively. I then bought a call at 1040 but that was not enough to offset the negative Delta of the butterfly so I added the vertical 1180/1200. Adding the vertical made the total Delta of the position -6 which is close to the ideal -5 starting Delta value for the M3 position. No updates have been necessary to the September position since Friday and the position is currently down $441.

Here is a risk profile graph from Friday:

            Now for the August position. Today, July 26, I moved half of my butterflies up to 1180 because the Vega value of the position was almost positive (only -6) and the market was 10 points above the upper wing. I also had to add the vertical 1180/1200 to reduce the negative Delta of the position from -57 to -45 which also increased the positive Theta and negative Vega. Having all the verticals of the position at 1180/1200 helps reduce the commission cost if this were a live trade. The position is currently down $53 and I see myself taking it down in the coming week since there are only 24 days until expiration.

The current risk profile graph looks like this:

Updates in the August Position

    With the market climbing significantly higher over the past week and a half, I have made a couple of adjustments to my August position. The first adjustment was on July 11 where the market had made a large move up and my Vega had become positive 80. In order to correct the value, I moved all of my butterflies up to 1160. The next adjustment was adding the verticals 1180/1200 in order to reduce the negative Delta of the position. Before the verticals were added, the value of the Delta was -72 which is -22 more than the allotted -50 Delta value outside the tent. This adjustment was made on July 12 and the Delta of the position is now -48.

This is what the risk profile graph looks after the first two adjustments:

A few days later, on July 15, I added two additional vertical spreads of 1180/1200 in order to reduce the negative Delta value of the position which was -72. With the addition of the verticals, the Delta value of the position became -42.

One July 18, I added two more of the verticals 1180/1200 for the same reason of reducing the negative value of the Delta value of the position. The value went from -57 to -42 and the value of the Vega became more negative as well.

The last adjustment of the week was on July 22 where I added two of the verticals 1180/1200 in order to reduce the negative value of the Delta from -68 to -26. The position is currently down $600.

Here is the current risk profile graph:

Keep reading as I put on my September position this Friday!

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:

Closing the July Position

     
         As you may have heard Brexit occurred two weeks ago and had large effects on the market. For a few days following the announcement, all the markets tanked a few percent every day all over the world. Having a position on at that time was nerve-wracking even though it was only a dummy position. I have many updates to record from the past two weeks that I will share with you below:

June 24th: On this day, I had to move my butterflies down to 1100 from 1120 in order to cope with Brexit repercussions.

June 27th: With the market tanking today, I moved all of my butterflies down to 1060. Now the position is at approximately 30 points below the market and is down about $1,000.

June 28th: Today I added the verticals 1080/1100 as well as moved half of my butterflies to 1080 in order to correct the positive Vega and negative Delta of the position. With the move, the Delta became -30 and the Vega returned to a negative value.

June 29th: I had to move the rest of the 20 butterflies up to 1080 because the Delta value had reached 24 which is a higher value then is what is recommended for the M3 position. Also, the Vega had turned positive again which was corrected with the movement of the butterflies.

June 30th: With yet another move up, I had to move all 20 of the butterflies to 1120 (30 points below the market position of 1150). At this point, the market is closer to the call than it was to the butterflies (before I adjusted them) and the Theta of the position became negative while the Vega of the position became positive. I also had to add the five verticals 1100/1130 because the negative Delta value was too high.

July 1st: The market only moved up 4 points today so it allowed the position to gain a little bit of the positive Theta but since the Gamma was negative and significant, I had to add the verticals 1130/1150 to keep the negative Delta within limits.

July 5th: I finally took the position off today with only ten days until expiration. Even though throughout a majority of the trade I was at a loss, at the end I made a profit of $1,483. I decided to take the position off because the Delta was very high and adjusting it again might risk the profit.

The final risk profile chart for this month can be seen below:

Updating July Position

     This week has been pretty busy with exams but I finally got a chance to update my position today. Because of the recent drops in the market, I had to move my entire position down 20 points to 1120, 30 points below the market position of 1150 in order to have a lower Delta value. Before adjusting the position, the Delta value of the position was 40 which is double the allotted positive Delta rule. When I moved the butterflies back, there was still 31 positive Delta so I had to move the call up to 1020 and remove some of the positive Delta from that. The current position is down $200 and there are 29 days left until expiration.

Here is the risk profile graph of the current position:

The t + 0 line is a bit lower than I would have liked it to be but I'm sure in the following days it will rise as the Theta becomes greater.

Updating July M3

        For the past few days, the market has constantly gone up so on Tuesday, I had to move my butterflies forward. As you may recall, I had put on 12 butterflies instead of 10 at the beginning of the position. With the adjustment forward, I took out the excess butterflies and the position now has the usual 10. I moved the butterflies from 1080 to 1130 with the market at about 1154. The Greek values from Tuesday are: Delta is -26.6, Theta is 102, and Vega is -489.

The risk profile graph can be seen below:

No other adjustments needed to be made to position after Tuesday. The current Greeks are: Delta is -44, Theta is 73, and Vega is -254. The position is currently down $100.