The portfolio is recovering, I'm slightly negative at this point and depending on how the market behaves the next few days, It may start turning the table and getting into the profitable side. No change Today, except I added the 2nd half of the IBM calendar position.
One of the blog readers asked me what are the orange lines on the Volatility cone, they are the original expiration break-even for the position, at least that's what they are on the MNX Iron Butterfly. I didn't include them on the RUT position. This has been a busy week for me, so I didn't have much time to clean up the dashboard on the RUT trade and still need to put one together for the IBM trade.. Plan on doing it later in the week.
Position's Details:
08/26 IBM Calendar
08/26 RUT Iron Butterfly
08/26 MNX Iron Butterfly
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2 comments:
Hi Gustavo,
What are your predefined levels of your Greeks which trigger an adjustment? e.g. Theta goes negative you want to add Theta +ve positions. What about Delta? or is this diff for different strategies?
I use the Risk Related formulae from this Blog which have worked for me.
http://www.optionsropeadope.com/2008/05/13/greek-exposure-calculations/
Cheers
Doodelzack
Hi Doodelzack,
Thank you for sharing the link. I like the author's approach.
I confess I follow a simpler view, this might actually be a great topic for me to explain in a separate posting, someone else asked the same question a few months back.
I'll collect my thinking process and put it together in a separate posting, look for it on Today's summary (I'll also link on my key postings link on the blog menu)
thanks,
Gustavo
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