Steady as She Goes... and lookin' for a little Alpha!

PORTFOLIO GREEKS
(SPX beta-weighted)

Delta: -6.3
Gamma: -2.4
Theta: 110.2
Vega: 210.4
Buying power: $104,203
"Paper-folio" Value: $136,135

The paper-folio made $430 today as the SPY and IWM were slightly positive. The value is about where we started when I started opening positions a few days ago, so I guess I've already made enough to cover the commissions--not too exciting, but better than a sharp stick in the eye.

No need to put on anymore positions today, but I am going to put a buy stop above resistence and a sell stop below support for a couple S&P eminis, because the jobs number tomorrow is gonna break this market out of its little trading range big time tomorrow and I want to profit from what will likely be a large intraday move. If my stop order to open gets hit I'll have a contingent limit order automatically opened (to close half the position) a few S&P points away to just capitalize on the quick sharp move that is likely to happen once the S&P breaks out of it range. I'll let the other half of the position run until the close, then close it out MOC.

This futures trade is not really part of the "managing a delta-neutral" portfolio, but since the "paper-folio" is so profitable thus far this year, I don't mind being a little more aggressive with this "one-off" trades when the odds are in my favor (big headline event in the employment number tomorrow pre-market, coupled with the tight trading range should yield a large intraday move tomorrow, either up or down.)

These types of trades are the one's that I like to think makes my strategy stand-out from other PURE delta-neutral trading methods. I just don't like to sit back and watch my delta-neutral portfolio get slammed intraday when I intuitively "know" the market is going to make a huge directional move--so I try to profit from this directional intuition. And I don't want to take off my options positions either, because I like how my book is positioned right now for next week. This is kind of like the mutual fund manager who trades around a core position of his favorite stocks--always keeping a big chunk of stock on his books but selling some off on days when its up big, then buying the shares back if it comes back down. In my mind, these are the little things that really add up to serious alpha at the end of the year!