Weekly Update: March and April M3's

This week was a relatively uneventful week for me in relation to my March M3. The only adjustment I had to make was on Tuesday, February 21st because the Vega value of the position was only at -5. I moved half of my butterflies up from 1350 to 1370 as well as added two 1380/1390 verticals to get the position to an adequate Greeks level. The Delta value after the adjustments was -37.6, the Vega was -309.5, and the Theta was 122.2.

The risk profile graph after the adjustment can be seen below:

On Friday of this week, I put on my April M3 since it is now 56 days to expiration. Even though the market was at 1394, I decided to put on 12 butterflies at 1360 because I wasn't getting a high enough negative Delta value that the call I would have had to buy would not have been deep in the money. So, the butterflies bought at this level gave me -95 Delta and allowed me to buy a 1270 call. This also gives me the ability to reduce the butterflies I have in the position instead of buying verticals.

The risk profile graph of the April M3 can be seen below:

Stay tuned as I close my March M3 in the coming weeks!

March Expiration M3

Hello everyone, below you can see how my March expiration M3 is going.

1/20: To start off the position, I put on 12 butterflies at 1320 with 50 point wide wings and a call at 1180 that gave me a total Delta value of -4. I had to add those two extra butterflies to get greater negative delta and vega values so that I could buy a call deeper in the money with a higher positive Delta value. The market was at 1352 when I started the position.

The risk profile for the beginning position can be seen below:

2/9: I bought a 1360/1370 vertical to reduce the negative Delta of the position. The market was outside of the tent of the butterfly and the Delta value needed to be lower than -50.

2/13: Because the market is just constantly moving up, the Vega became positive and the negative Delta value increased to be more than -50. The verticals themselves would not be able to offset the values, so half of the butterflies were moved up to 1350. A 1370/1380 vertical was also added.

The risk profile from 2/13 can be viewed below:

2/14: With yet another day of the market being up, two 1360/1380 verticals are added to offset the negative Delta value.

2/15: The rest of the butterflies were moved up to 1350 to fix the positive Vega value. Also, two more 1360/1380 verticals are added to gain a satisfactory negative Delta value.

2/17: The extra two butterflies were removed from the position to reduce negative Delta from -70 to -36 and increase the negative Vega. The position is currently down -$589 but there are still 28 days until expiration.

The risk profile from 2/17 can be viewed below:

Stay tuned in the coming weeks to watch as I close my March position and put on an April M3!