Added Verticals to November Position

       On Monday, I had to adjust my position because of too much negative Delta. I put on two verticals at 1120 (buy) and 1130 (sell) and was able to increase the Delta value to above -50, following the rules of the M3. As of today, I am at a profit of $1,061 and my Greeks are: Delta is -24.37, Gamma is only -0.24, Theta is 148.2 and Vega is -318. The position is 30 days until expiration so I am in no hurry to take the position out, especially since my t + 0 line have a nice, flat line.

This is what the position looked like after the verticals were added:

This is the risk profile of the graph today:

November Position Update

     Late last week, I moved my butterflies from 1,070 up to 1,110 where the position was originally initiated. This is because of the rapid move back up from 1070's to where it is now, at 1,164. Also, my Greeks were a bit off, meaning my Vega had gone positive at about 164. My Theta was also at the edge of going negative at only 4. Overall, it was a risky position. As of today, my Greeks are all within their limits and the position if up $476. The current risk profile graph looks like this:

Starting and Adjusting of the November Position

       The past few days have been extremely busy for me so I apologize for not updating. Last Friday, I put on my November position. The butterflies were placed at 1,110, about 30 points below the market position of 1138 at that time, like I normally do. The one thing I had to do differently while putting on the position was buying 16 butterflies instead of 10. I was forced to do this because if I had just put on the 10 butterflies like usual, the call I would have had to buy in order to offset the Delta would have been closer to the money than I would have been comfortable with.

       On Monday, since the market dropped so substantially, I had to move my butterflies back. The overall value of the Delta was 55 and since the rule is to sustain it under 50 I had to adjust it. The position as of Monday night after the adjustment is at 7.34 Delta, 96 Theta (slight decrease in the Theta after adjusting) and -356 Vega which became largely more positive. This is not something I am worried about since it will become more negative as time progresses. The risk profile graph looks like this:

         I did not adjust the position the rest of the week since there were no there drastic changes. The positions current Greeks are: -7 Delta, 123 Theta and -391 Vega. Currently, I am only down about $70 as opposed to being down about $700 on Tuesday after the market was down again. What is interesting is that if I hadn't adjusted my position at all on Monday, I would have been up over a thousand dollars. Of course this is unrealistic since I will always adjust my position based on the given rules. The position as of today looks like this:

       

Closing of September Position

          After such a fluctuating market, I decided that it would be best to take the position out at a profit of $1,821. The position was taken off on Tuesday the eight. At that point the Delta was extremely negative (-151) and it didn't make sense for me to keep the position trading, especially because the volatility isn't going to drop until Wednesday. This is because the Federal Reserve is meeting and deciding if they want to raise interest rates. Since there is an event coming  up the implied volatility is and continues to be high until after the event is over and either drops dramatically or stays where it is.

          I am looking to put on my October position tomorrow even though it is only 38 days until expiration. I believe it will be a helpful experience for me in order to learn how the position reacts in a higher gamma environment.

This is how the end position looked like when I removed it.

What a Week!

     Wow. What a roller coaster this past week has been. I apologize for not keeping the blog updated on the position but my first adjustment was yesterday. I adjusted the position because the gamma trend behind and in front of the butterfly was not too good.

As you can see, even though the market jumped around so much, I am still not down too much. A lot of that is thanks to the position being placed 56 days to expiration. This gives the trade time to develop and is not as effected by the market being so fickle as a trade that was put on recently right before the market tanked. As I have learned, the market has not fallen so much in the past two decades and while I would have preferred an easy trade, being affected by this with the rest of the world has been a wonderful learning experience for me. 

This is what my position looked after adjusting it yesterday. I moved my five 1160 butterflies back to 1120 and moved my call back to 1090 to increase my Delta value. My dad taught me that if you have to adjust a position, you should never change the signs of the Delta and since I started with positive Delta, I had to keep it positive Delta. The adjustment brought more positive Theta and more negative Vega to create an overall balanced position. Today, my current position is up $1,111 (hopefully that means luck) and my Greeks are all within their limits. I will keep the blog posted throughout the school year as best I can and look forward to sharing my position with you in the near future.

Another Position Update

      After the market tanked on Friday, I had to adjust my position again. I did this by moving half of my butterflies from 1200 to 1180. Currently, I am up over a thousand dollars but since my t + 0 line is still fine I am going to stay in the position.

   

September Position Update

     Over the weekend, after the market rose on Friday I put on a vertical of the strike prices 1210 and 1180. Unfortunately, after I put it on, the market fell half a percent on Monday. By putting on the vertical when the Delta was only -35 inside the butterfly was technically breaking the rule but I didn't like the way my t + 0 line was drooping into the curve. If the market continued to rise as it did last week, I would be facing losses so I decided it was best to buy it since the backside of the butterfly was strong anyway. I was not able to record the Greeks from when I put on the position but the current values are: Delta is -36, Theta is 98, Vega is -453.