Tuesday, September 20, 2016

Position Statement on 9/20/16

using Beta Weighing on 'SPY'
Instrument Qty Days Strike Break Mark Delta Theta Vega BP Effect
/CL 46.32 24.1 -71.2 ($2,579.00)
Light Sweet Crude Oil Futures,Dec-2016,ETH 0 62 0 44.12 0 0 0
Light Sweet Crude Oil Futures,Jan-2017,ETH 0 91 0 44.79 0 0 0
1/1000 DEC 16 /LOZ6 37.5 PUT -1 57 37.5 0.51 0.7 32.23 16.13 -42.26
1/1000 JAN 17 /LOF7 32.5 PUT -1 86 32.5 0.33 0.35 14.09 7.97 -28.94
/ES -101.57 12.4 -102.09 ($3,687.50)
E-mini S&P 500 Index Futures,Dec-2016,ETH 0 87 0 2136.25 0 0 0
1/50 OCT 16 (EOM) /EWV6 2200 CALL -1 41 2200 9 8.25 -101.57 12.4 -102.09

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