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IncomeLab Forum Forums Income Lab Trade Discussion

This topic contains 164 replies, has 18 voices, and was last updated by  Igor 4 years ago.

Viewing 15 posts - 106 through 120 (of 165 total)
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  • #5398

    Igor
    Keymaster

    igor, i am sorry I am getting confused by the expiration dates. May1, May2 or May etc. its not quite the same on IBKR

    May SPX for me is May 19th and my 2145 short strike is 14.
    May3 SPX for me is May13th and my 2130 short strike is 18

    May (may 19th) BPS is showing 0.3 to close 1870/1880
    June 1 (june 3rd) BPS is showing 0.4 to close after 1 day.

    I think the mid weeklies may have messed up the May1, may 2 labelling?

    #5400

    Igor
    Keymaster

    Andras,

    JUN1 Position is fine right now, IF/WHEN 2155’s delta hits 20 we’ll look to defend it.

    #5401

    Igor
    Keymaster

    Faz,

    Positions we have on are MAY2 (2nd Friday of MAY), MAY (3rd Friday of MAY, monthly opex), JUN1 (1st Friday of JUNE). The Wednesday expiration weeklys are screwing things up, so have to pay attention and look at DTE. Hope this clears things up a bit.

    #5403

    Igor
    Keymaster

    igor, It does i am glad we agree on our expiration dates..

    however i dont get the adjustments. i posted my deltas above. A OTM call for a delta 14 on the may? and sell 1/2 the call side on the May2 with my delta of 18 (ok that one is ok)..

    as an aside will you be putting on mid weeklies and what are we calling them May1.5 or May2.5 etc ? :-).

    #5406

    Igor
    Keymaster

    igor, i still wouldn’t mind an explanation/clarification of my above post.

    however, i have now loaded up in ONE and I see gamma risk with < 30DTE.. is that why we are doing our adjustments at this point?

    Or is it because we hit the adjustment point and despite reverting we adjust anyway

    Or is it because you are very concerned about upside risk?

    #5408

    Igor
    Keymaster

    Faz,

    MAY2 2130 call is a 19 delta.

    MAY 2135 call is a 19 delta.

    I will not be using Wednesday expiration options, so if you can remove them from your screen that’ll prob. help you. I hedged MAY position as there is still time to roll it (if needed). I took off 1/2 size in MAY2 because I do not plan to roll this position higher and wanted to remove short delta. If you’re in higher strikes and your delta is 14 you may not need to hedge your position.

    Or is it because we hit the adjustment point and despite reverting we adjust anyway

    Or is it because you are very concerned about upside risk?

    We hit adjustment point when my alert on short strike’s delta >20 went off. I dont count on reversion and will go ahead with the plan of making adjustments when we reach that point. Upside risk/short gamma kicking up is why I make these adjustments instead of playing ‘wait and see’ game. Hope this helps.

    #5409

    Igor
    Keymaster

    yes i know the difference now i have a higher strike on the May thats why i am delta 14..

    but thanks v much for the main point

    “We hit adjustment point when my alert on short strike’s delta >20 went off. I dont count on reversion and will go ahead with the plan of making adjustments when we reach that point.”

    #5421

    Igor
    Keymaster

    I like setting alerts for spread prices. Here’s an example: http://tos.mx/4vF0VC
    IF/WHEN SPX MAY2 1950/16940 Bull Put mid price shows .40c or less I will be notified and I may choose to take action. Sometimes mid prices dont mean the actual fill will be there but it helps especially if I’m not infront of my screen all day.

    #5427

    Igor
    Keymaster

    Hi Igor!

    I like the way you cut the half of the may 2… if i just knew that before ;(…

    Are we going to close the puts verticals of May 2 and Jun1?? They are near .40, maybe we can take that out today…

    #5428

    Igor
    Keymaster

    Jose,

    I think putting an order to close MAY2 puts for .30 is a good idea, if they fill it then be it, but I’m more active defending the upside right now.

    #5455

    Igor
    Keymaster

    Hi Igor,

    **May2 IC**

    We now hit the very advanced part of these ICs.. 25 DTE we are rolling inwards and playing the LP IC game it seems.. if i were not on this programme i think i might close now.

    so what the rules for ICs as we approach last few weeks.

    1. its more/too expensive to roll
    2. its good to consider managing delta via removing risk rather then adding via OTM call/puts.
    3. other considerations ?
    4. How far do we expect to ride this towards expiration?
    5. We want more credit now because ?

    pls correct/add/remove at will :-)..

    #5456

    Igor
    Keymaster

    The general idea heading into the last few weeks is to manage delta while waiting for theta to kick in. This is a potentially dangerous game to play (rolling in with <30 days) and might require a little more attention from risk management standpoint. To answer some of your questions:

    1. Yes, it’s too expensive to roll at this point, that’s why we’re doing No.5 (incase we’re forced to roll if short strike gets close to ATM)
    2. Taking off spreads also removes short gamma, otherwise we’d have to pay up for long gamma in OTM options and then face the risk of getting hit by theta.
    3. If new spreads that were sold start to backfire and they double in price, I’d consider buying them back and leaving the rest of the trade on.
    4. I want to be out of these trades the week of expiration or earlier (if possible). And remember, we’re not going to keep ALL of the premiums on either side of any IC.
    5. See No.1

    #5458

    Igor
    Keymaster

    JUN1 2155 Call delta touched 20 and I’ll be making an adjustment

    #5469

    Igor
    Keymaster

    Hi igor,

    June1.

    difficult for me to take of one call as i am 1/5th your size… johnny 2 lot for now.

    i could replace one of the call spreads with 10 x SPY call spreads then buy back equivalent 2 x call. = complicated set-up..

    OR I could buy an OTM call and potentially greedy roll the put side to pay for it while aiming to cut net detal in 1/2

    thoughts ?

    #5470

    Igor
    Keymaster

    Cut NET delta in 1/2, use SPY calls if OTM SPX call is delta <5

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