Monday, June 1, 2009

06/01 JUN portfolio

The portfolio is still under a profit zone, there is not many deltas, this may not be so good if we have a big drop Tomorrow. We'll see what happens.

06/01 Greek Salad (paper)

The calendar helped the trade, it is down by only 4%, and vega positive. If we go back down it should get better. One way or another, it is right under the top of the calendar, so getting the benefit of time decay.

06/01 DIA Iron Butterfly

With Today's upside move we're back at negative territory on P&L, Gamma took its toll on the trade and profits slipped by. I now have it fully hedged, it might be an overkill. I'm still getting the hang on these Iron Butterflies.



06/01 SPY Calendar

SPY still trading inside the tent, I plan on adding a second calendar if we push beyond the break-even point. Volatility stayed up Today, and that helped the P&L on the position, let's see if we get better Tomorrow.


06/01 MDY 30-Day Condor

I hedged the position using debit spreads because there were no long contracts available to cut small deltas. It was very inneffective and as a result it hit max loss. I couldn't get out with no fills on the PUT side, so I hedged once again and will re-evaluate it Tomorrow.

One possibility is to add a calendar to the trade, it obviously increases the capital allocation, but it might be worth if it allows me some breathing room to save the position (See possible profile bellow).

06/01 RUT 30-Day condor

The position is hedged, There is no longer up-side risk, it can still make $, provided we retrace and start trading under the short strikes. Otherwise I might have to review it once again, as time decay is actually hurting the position (it is theta negative as of now).

06/01 RUT 50-Day Condor

Today was rough on the position! It is in rough shape, the good thing here is that this is not my full allocation for JULY Condors, so I still have potential for gains by allocating the remaining capital once the market shows some signals of stabilizing.

As far as the current trade, I'll manage it by the rules, if it hits -1.5x my cashflow I'm out.