Thursday, December 31, 2015

Managment of Delta in WTI

Oil is under pressure.  I decided to manage /CL delta for the expense of the collected premium. Also /ES was used to hedge the /CL position.
The resulting position and the trades are posted below.

Position Statement for D-11687156 (margin) on 12/31/15 12:39:17
using Beta Weighing on '/ES'
Instrument Qty Days Strike Breakeven Mark Delta Theta Vega
Light Sweet Crude Oil Futures,Apr-2016,ETH 2 81 45.41 39.69 45.77 0 0
1/1000 FEB 16 /LOG6 43.5 PUT -1 14 43.5 1.23 5.92 20.71 19.99 -12.32
1/1000 APR 16 /LOJ6 43.5 CALL -3 76 43.5 1.33 1.63 -24.2 55.37 -203.02
1/1000 FEB 16 /LOG6 24.5 PUT 5 14 24.5 0.04 0.01 -0.54 -16.02 5.24
1/1000 APR 16 /LOJ6 37.5 PUT -1 76 37.5 2.43 2.12 7.99 19.04 -67.46
1/1000 APR 16 /LOJ6 41 PUT -1 76 41 1.95 3.81 12.01 19.64 -72.5
1/1000 APR 16 /LOJ6 38.5 CALL -1 76 38.5 3.17 3.73 -13.77 19.93 -70.32
1/1000 APR 16 /LOJ6 43 CALL 1 76 43 1.32 1.78 8.59 -18.88 69.12
E-mini S&P 500 Index Futures,Mar-2016,ETH 0 78 2052.25 2052.25 0 0 0
44 44
1/50 JAN 16 (EOM) /EWF6 2015 PUT 1 29 2015
-17.02 -29.68 107.68
1/50 JAN 16 (EOM) /EWF6 2050 CALL -1 29 2050
-25.92 28.99 -116.97
1/50 JAN 16 (EOM) /EWF6 2050 PUT -1 29 2050
23.99 28.68 -116.97
1/50 JAN 16 (EOM) /EWF6 2140 CALL 1 29 2140
4.43 -8.43 47.19
Instrument Delta Theta Vega BP Effect
/CL 56.56 99.08 -351.25 -32860.00
/ES -14.52 19.56 -79.08 -4411.00
Total 42.04 118.64 -430.33 -37271


Trades
Exec Time Spread Side Qty Symbol Exp Strike Type Price Net Price
12/31/2015 12:33 IRON CONDOR SELL -1 /ESH6 1/50 JAN 16 (EOM) /EWF6 2050 CALL 35.5 44.05
BUY 1 /ESH6 1/50 JAN 16 (EOM) /EWF6 2140 CALL 2.45 CREDIT
SELL -1 /ESH6 1/50 JAN 16 (EOM) /EWF6 2050 PUT 34
BUY 1 /ESH6 1/50 JAN 16 (EOM) /EWF6 2015 PUT 23
12/31/2015 11:50 SINGLE SELL -1 /CLJ6 1/1000 APR 16 /LOJ6 43.5 CALL 1.51 1.51
12/31/2015 2:52 SINGLE SELL -2 /CLJ6 1/1000 APR 16 /LOJ6 43.5 CALL 1.29 1.29
12/31/2015 2:48 FUT CALENDAR SELL -2 /CLG6 16-Feb FUTURE 36.7 -1.96
BUY 2 /CLJ6 16-Apr FUTURE 38.66 DEBIT
12/30/2015 22:32 VERTICAL SELL -1 /CLJ6 1/1000 APR 16 /LOJ6 41 CALL 2.05 0.63
BUY 1 /CLJ6 1/1000 APR 16 /LOJ6 43 CALL 1.42 CREDIT
12/30/2015 22:31 SINGLE SELL -1 /CLJ6 1/1000 APR 16 /LOJ6 41 PUT 4.36 4.36
12/30/2015 22:31 SINGLE BUY 1 /CLG6 1/1000 FEB 16 /LOG6 41 PUT 4.49 4.49
12/30/2015 22:10 VERTICAL SELL -1 /CLJ6 1/1000 APR 16 /LOJ6 38.5 CALL 3.17 1.09
BUY 1 /CLJ6 1/1000 APR 16 /LOJ6 41 CALL 2.08 CREDIT


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