tjlocke99

Good morning. I was wondering if anyone knows of a website, paid or free, that let's you see option prices, implied vol, and the associated greeks or at least delta? Its ok if there is a delay wit the quotes of 10 minutes or less. I am unable to access or use my brokers software during the day. Thanks!

Chris and Max, Try as a might I still can't see how this trade is doing well if someone can enter the trade now and be even or better than when it was original traded. I do think it is performing well in the sense that normally diagonals would probably have been hurt very badly with this level of volatility. This trade has protected you enough over time to keep you about even through these gyrations. When the stock moves much either way the extrinsic calculations are really thrown off. When GLD goes up for example, yes you are capturing intrinsic but also losing on the long. Paper or not its still a loss (mark to market). I'm going to sit this one out and see how it goes and perhaps join the party next time when my brain can comprehend this I get the math we do, just not how the trade is doing well week to week.

As I look at this trade, and what we know about equivalent option positions, I don't get how this is different then buying a long dated OTM put and selling a lower ratio of shorter dated OTM puts and then adjusting from there week to week or vice versa with calls? Yes w/ the current strategy your shorts gain quite a bit early in the trade if the underlying price goes up, however your long puts also lose a near equivalent amount if you are in a ratio.

Max, How will you account in your spreadsheet if you have to re-position the long at all? I don't understand how the trade is going well. If I entered the same position last Friday at end of day, wouldn't I be as well or better off as those in the original trade? I would be out about $4k out of pocket for the DITM long and take in around $1571 for the short. My long would be worth $4k and my short -$1571, so I would be about break even at that point and have the same allocation as you. You are about break even now. I think this trade is really going to make money when the underlying is flat or when it goes up a few points over the course of a week, so you can capture all that intrinsic gain on the short puts. Any other movements and we are re-structuring to keep our heads above the water. Does that make sense? Thanks for all these good responses!

Thanks Mikael!

Thanks Max. When you show 400 long and 4 short does that mean you were 1:1 one the whole time on this trade? How is the trade doing well? If you exclude the money taken in on Fri, the trade seems like it has lost quite a bit and thus requires gold to go up to make up some of the losses and when that happens the long's value will go down? Right now the long is probably worth about $4k right? I appreciate the info! Thanks! R

Max and Chris, Why not roll the ITM long now? These are certainly not easy trades to manage. You almost need GLD to go up and eat some of the short intrinsic to help. Would either of you mind posting your P&L so far? I think you have probably lost a fair amount on paper right now right? Thanks!

Also Chris, the max extrinsic would be if you held the short for 2 weeks, however you've been shorting w/ expiry 2 weeks out and holding for 1 week, so you'll probably only realize 1/2 of that extrinsic right? Thanks!

are you still long the sept 125? Is that getting too DITM at this point where you can get whip-sawed? Are you still doing ratios or are you at 1:1 on this? Thanks!

Sorry - I see this was already answered.

So you start looking at it if it goes ITM? How far out of the money does it have to go before you look at rolling that long? Thanks!

What logic is used in choosing that long strike price? Thanks!

So you are always rolling the short out 2 weeks but holding it for one week? e.g. today you short the 12 July but next week you roll that to the 19 July? Thanks!

i'll have to lookup the sharpe ratio this weekend. however, this seems like the type of trade that you could probably allocate a % of your portfolio to year round right? extremely large moves up or down in the underlying up would be the largest short term action that would hurt it. Large moves up mean that the long put would lose alot of its value (more than the ITM shorts). Large moves down and the high delta of the ITM shorts makes for short term losses (yes I know you say these can be recovered long term). if we basically turned this into a strangle with both sides that would not be an issue. i have no idea how you do this and keep up with you law practice!!!!

Has anyone who has been doing any trade with DITM shorts ever been exercised?

Could someone help me a bit on understanding the business rules as to when you probably roll that long put? I am sorry. I am sure it has been covered somewhere, but I haven't read all the old anchor trade posts. Thanks!

Max, This looks like IB. When you build a ratio spread the bid/ask spread is huge. If you don't me asking, how did you structure and execute this in IB? Thanks!

Wy are you subtracting out the "Sold 4 this week @ . . ."? You only realize that $2.19 on each short if SPY goes up to the short strike of 162 and you hold to expiration? You need .87 / week in gains, but any week where the short gains exceed the extrinsic of the ITM short, you'll lose money and need to collect more the following week. Right? Thanks.

Are you selling the 4th week July weekly or the July that expires next week (5 July)?

why did it end up being a "handsome profit"?

Chris, Are you considering ever trading that long far dated strangle, short weekly strangle trade you started last summer? If you recall we had started that trade by purchasing deep ITM strangles and selling weekly OTM strangles. However after some discussion and leveraging some old incite from Marco, we discussed that the ITM strangle had the same P/L graph as the equivalent OTM strangle except the ITM strangle tied up alot of unnecessary capital. You had at the time wrote you backtested with the long OTM strangle and the results were superior. GLD was one of the underlyings we were using. Its similar to what you are doing here, except we did it with strangles (so a diagonal on both the call and put). Could offer better protection.

Are you sticking with the long sept 125 put or going to adjust that too?

Chris, What happens if the price of GLD slowly goes up over time and your long put is deep OTM? Would you still sell ITM puts against it or adjust? Also these short ITM trades still concern me with a Thurs night assignment. Thanks.

Its the last weekly put option on GLD. It will say June4 (Think or swim) or 28Jun in some systems for options expiring the last week in June.

Interesting topic. On the arbitrage opportunity, I think the trading commissions would eat up any potential small gain. In your example it would be 11 x 2 = 22 total contract trades to enter and exit the spread.