Paper-folio made over $3000 today...
PORTFOLIO GREEKS
(SPX beta-weighted)
Delta: 24
Gamma: -2.2
Theta: -90 (probably miscalculated for a bunch of my way OTM options that expire on Friday)
Vega: 244
"Paper-folio" Value: $140,798
$3033 is the mark-to-market gross profit for the day. I went into the day long about 110 deltas since the market had sold off so much the past week or so and I didn't really need to rehedge that much because I was nailing the intra-day emini futures trades on the short side in order to make money through some technical analysis driven "dynamic hedging". I'd much rather trade the emini whenever possible since its far cheaper from a transaction cost standpoint than trading hundreds of options contracts in a bunch of spreads.
As if the paper-folio needed even better news, i nailed the middle strike of another one of my open butterflies that I opend for .35 a week ago. I sold it today for .75--I'll take it.
I also covered my short puts in my IWM vertical bull put spreads since they were at the 69 strike and they have far too much gamma for my comfort with only two days left till expiration and the IWM's trading at 69.50 at the close.
(SPX beta-weighted)
Delta: 24
Gamma: -2.2
Theta: -90 (probably miscalculated for a bunch of my way OTM options that expire on Friday)
Vega: 244
"Paper-folio" Value: $140,798
$3033 is the mark-to-market gross profit for the day. I went into the day long about 110 deltas since the market had sold off so much the past week or so and I didn't really need to rehedge that much because I was nailing the intra-day emini futures trades on the short side in order to make money through some technical analysis driven "dynamic hedging". I'd much rather trade the emini whenever possible since its far cheaper from a transaction cost standpoint than trading hundreds of options contracts in a bunch of spreads.
As if the paper-folio needed even better news, i nailed the middle strike of another one of my open butterflies that I opend for .35 a week ago. I sold it today for .75--I'll take it.
I also covered my short puts in my IWM vertical bull put spreads since they were at the 69 strike and they have far too much gamma for my comfort with only two days left till expiration and the IWM's trading at 69.50 at the close.
posted by Justin @ 8:39 PM
3 Comments:
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