Labels

Monday, June 27, 2016

Bond Position Progress

At the moment  Bond Position is a problem kid. Let us  sell more premium in /ZB and hedge  it using /ES Call spread.
-------------------------------------------------------------------------------------------------------------------------
Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price
6/27/2016 13:04 VERTICAL SELL -3 TO OPEN /ESU6 1/50 JUL 16 (Wk4) /EW4N6 1985 CALL 48.75 6.5
BUY 3 TO OPEN /ESU6 1/50 JUL 16 (Wk4) /EW4N6 1995 CALL 42.25 CREDIT
6/27/2016 13:00 SINGLE SELL -1 TO OPEN /ZBU6 1/1000 AUG 16 /OZBQ6 178 CALL 1''00 1''00
-------------------------------------------------------------------------------------------------------------------------
Position Statement on 6/27/16 14:04:10
using Beta Weighing on 'SPY'
Instrument Qty Days Strike Trade Price Mark Delta Theta Vega BP Effect
/ES -56.18 3.84 0.57 ($1,456.50)
E-mini S&P 500 Index Futures,Sep-2016,ETH 0 81 0 1989 0 0 0
1/50 JUL 16 (Wk4) /EW4N6 1985 CALL -3 25 1985 48.75 45.75 -790.36 125.94 -316.41
1/50 JUL 16 (Wk4) /EW4N6 1995 CALL 3 25 1995 42.25 39.5 734.17 -122.1 316.98
/ZB 199.27 83.54 -328.79 ($10,424.13)
30-Year U.S. Treasury Bond Futures,Sep-2016,ETH 0 86 0'00 173'10 0 0 0
1/1000 AUG 16 /OZBQ6 170 PUT 1 25 170 2''42 0''58 61.25 -34.07 151.54
1/1000 AUG 16 /OZBQ6 171 CALL -1 25 171 2''23 3''34 156.86 38.84 -166.08
1/1000 AUG 16 /OZBQ6 171 PUT -1 25 171 3''15 1''16 -76.53 38.28 -167.67
1/1000 AUG 16 /OZBQ6 178 CALL -1 25 178 1''00 0''61 57.69 40.49 -146.59

No comments:

Post a Comment