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Thursday, January 14, 2016

Eight Points to Margin Call


Position Statement for D-11687156 (margin) on 1/14/16 17:19:38












Group "iron condor"







Instrument Qty Days Strike Break Mark Delta Theta Vega
/CL




266.67 20.65 -31.21




2.4 2.68


1/1000 APR 16 /LOJ6 24 PUT 1 62 24 0.25 0.4 -87.78 -11.13 22
1/1000 APR 16 /LOJ6 32.5 PUT -1 62 32.5 1.87 3.32 413.97 28.4 -53.63
1/1000 APR 16 /LOJ6 34 CALL -1 62 34 3.78 4.65 -550.3 39.63 -54.52
1/1000 APR 16 /LOJ6 35.5 CALL 1 62 35.5 3 3.62 490.73 -36.25 54.94


















Group "CL covered call"







Instrument Qty Days Strike Break Mark Delta Theta Vega
/CL




2148 59.64 -96.57
Light Sweet Crude Oil Futures,Apr-2016,ETH 2 67
45.41 33.17 2000 0 0
1/1000 APR 16 /LOJ6 45 CALL -2 62 45 0.31 0.38 -225.9 23.24 -52.79









Light Sweet Crude Oil Futures,Apr-2016,ETH 1 67
33.15 33.17 1000 0 0
1/1000 APR 16 /LOJ6 32.5 CALL -1 62 32.5 3.14 5.68 -601.3 41.8 -53.18









1/1000 APR 16 /LOJ6 17 PUT 3 62 17 0.04 0.03 -24.89 -5.4 9.4









Group "big_lizard_cl"







Instrument Qty Days Strike Break Mark Delta Theta Vega
/CL




866.23 102.44 -118.88




2.85 6.35


1/1000 APR 16 /LOJ6 17 PUT 1 62 17 0.04 0.03 -8.3 -1.8 3.13
1/1000 APR 16 /LOJ6 37.5 PUT -1 62 37.5 3.08 8.16 531.18 42.41 -54.29
1/1000 APR 16 /LOJ6 37.5 CALL -1 62 37.5 1.2 2.24 -389.6 29.16 -52.84
1/1000 APR 16 /LOJ6 40 CALL 1 62 40 0.74 0.79 217.95 -16.42 40.57













2.15 9.45


1/1000 APR 16 /LOJ6 17 PUT 1 62 17 0.04 0.03 -8.3 -1.8 3.13
1/1000 APR 16 /LOJ6 41 PUT -1 62 41 4.36 11.66 565.07 49.21 -53.12
1/1000 APR 16 /LOJ6 41 CALL -1 62 41 0.63 0.69 -192.4 15.62 -37.67
1/1000 APR 16 /LOJ6 43 CALL 1 62 43 0.43 0.53 150.57 -13.94 32.2













Delta Theta Vega





266.7 20.65 -31.21





2148 59.64 -96.57





866.2 102.44 -118.9

total:


3281 182.73 -246.7

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