#oil scaling out +$190
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/30/2017 13:36 | SINGLE | BUY | 1 | TO CLOSE | /CLV7 1/1000 OCT 17 | /LOV7 | 37.5 | PUT | 0.19 | 0.19 | LMT |
#oil Scaling Out of Long WTI (#7) +$90
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/30/2017 10:21 | SINGLE | BUY | 1 | TO CLOSE | /CLV7 1/1000 OCT 17 | /LOV7 | 35 | PUT | 0.1 | 0.1 | LMT |
#SP500 Option Pins
Wednesday, Wednesday Expiration 6/28/17
2017-06-29 opt_pin@2430.0 /ES@2434.75 Force in $/handle=178,900
2017-06-28 opt_pin@242.5 SPY@243.085 Force in $/handle=76,465
2017-06-28 opt_pin@2435.0 SPX@2436.76 Force in $/handle=322,700
Wednesday, Friday Expiration 6/30/17
2017-07-01 opt_pin@2420.0 /ES@2434.75 Force in $/handle=472,674
2017-06-30 opt_pin@243.0 SPY@243.21 Force in $/handle=442,320
2017-06-30 opt_pin@2425.0 SPX@2437.77 Force in $/handle=4,026,201
Thursday, Friday Expiration 6/30/17
2017-07-01 opt_pin@2425.0 /ES@2429.25 Force in $/handle=291,250
2017-06-30 opt_pin@243.0 SPY@242.645 Force in $/handle=541,690
2017-06-30 opt_pin@2425.0 SPX@2432.66 Force in $/handle=2,449,593
Friday, Friday Expiration 6/30/17
2017-07-01 opt_pin@2420.0 /ES@2419.75 Force in $/handle=377,300
2017-06-30 opt_pin@243.0 SPY@241.83 Force in $/handle=155,440
2017-06-30 opt_pin@2425.0 SPX@2423.95 Force in $/handle=2,174,299
2017-06-29 opt_pin@2430.0 /ES@2434.75 Force in $/handle=178,900
2017-06-28 opt_pin@242.5 SPY@243.085 Force in $/handle=76,465
2017-06-28 opt_pin@2435.0 SPX@2436.76 Force in $/handle=322,700
Wednesday, Friday Expiration 6/30/17
2017-07-01 opt_pin@2420.0 /ES@2434.75 Force in $/handle=472,674
2017-06-30 opt_pin@243.0 SPY@243.21 Force in $/handle=442,320
2017-06-30 opt_pin@2425.0 SPX@2437.77 Force in $/handle=4,026,201
Thursday, Friday Expiration 6/30/17
2017-07-01 opt_pin@2425.0 /ES@2429.25 Force in $/handle=291,250
2017-06-30 opt_pin@243.0 SPY@242.645 Force in $/handle=541,690
2017-06-30 opt_pin@2425.0 SPX@2432.66 Force in $/handle=2,449,593
Friday, Friday Expiration 6/30/17
2017-07-01 opt_pin@2420.0 /ES@2419.75 Force in $/handle=377,300
2017-06-30 opt_pin@243.0 SPY@241.83 Force in $/handle=155,440
2017-06-30 opt_pin@2425.0 SPX@2423.95 Force in $/handle=2,174,299
#SP500 Covered Put
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/28/2017 18:45 | SINGLE | SELL | -1 | TO OPEN | /ESU7 1/50 JUN 17 (EOM) | /EWM7 | 2440 | PUT | 4 | 4 | LMT |
| 6/28/2017 15:59 | FUTURE | SELL | -1 | TO OPEN | /ESU7 | 17-Sep | FUTURE | 2437.25 | 2437.25 | LMT |
#SP500 SPX option pin for the end of June
one week ago
2017-06-30 max_pain@2420.0 2017-06-20_SPX@2434.5
Force=3333575
today
WTI Naked Puts: Roll Em Out Roll Em Down
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/27/2017 10:43 | SINGLE | SELL | -1 | TO OPEN | /CLV7 1/1000 OCT 17 | /LOV7 | 37.5 | PUT | 0.39 | 0.39 | LMT |
| 6/27/2017 10:41 | SINGLE | BUY | 1 | TO CLOSE | /CLQ7 1/1000 AUG 17 | /LOQ7 | 40 | PUT | 0.12 | 0.12 | LMT |
/es MAX_PAIN
| 2380 | 415,758,250 | 243,819,250 | 171,939,000 |
| 2390 | 402,946,000 | 284,210,250 | 118,735,750 |
| 2395 | 401,023,000 | 305,704,250 | 95,318,750 |
| 2400 | 401,237,000 | 327,818,750 | 73,418,250 |
| 2405 | 410,029,000 | 353,047,500 | 56,981,500 |
| 2410 | 421,097,250 | 379,205,750 | 41,891,500 |
Flat Commodity Hedge +$80
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/16/2017 11:19 | CUSTOM | BUY | 1 | TO CLOSE | /ESU7 1/50 JUL 17 (Wk3) | /EW3N7 | 2420 | CALL | 28.25 | 37 | LMT |
| BUY | 1 | TO CLOSE | /ESU7 1/50 JUL 17 (Wk3) | /EW3N7 | 2420 | PUT | 24.5 | DEBIT | |||
| SELL | -1 | TO CLOSE | /ESU7 1/50 JUL 17 (Wk3) | /EW3N7 | 2385 | PUT | 15.75 |
OPEX /ES max_pain
| 17 JUN 17 (1) 1 /ESM7 | |||
| 2350 | 996,758,500 | 290,778,000 | 705,980,500 |
| 2360 | 898,917,000 | 345,259,000 | 553,658,000 |
| 2370 | 826,910,500 | 407,458,000 | 419,452,500 |
| 2380 | 786,684,000 | 479,758,000 | 306,926,000 |
| 2385 | 778,797,500 | 519,528,500 | 259,269,000 |
| 2390 | 774,895,000 | 560,342,500 | 214,552,500 |
| 2395 | 776,593,500 | 603,235,500 | 173,358,000 |
| 2400 | 782,397,500 | 647,375,500 | 135,022,000 |
| 2410 | 827,752,500 | 749,985,000 | 77,767,500 |
| 2420 | 905,980,000 | 867,669,500 | 38,310,500 |
| 2430 | 1,018,122,000 | 1,001,569,500 | 16,552,500 |
| 2440 | 1,161,058,000 | 1,154,697,000 | 6,361,000 |
| 2450 | 1,327,366,500 | 1,324,510,500 | 2,856,000 |
OPEX SLV max_pain
| SLV on 6/15/17 19:17:12 | 15.88 | ||||
| 16 JUN 17 (1) | call | put | |||
| 14 | 11,843,650 | 164,700 | 11,678,950 | ||
| 14.5 | 9,071,300 | 275,100 | 8,796,200 | ||
| 15 | 6,393,400 | 420,150 | 5,973,250 | ||
| 15.5 | 3,977,700 | 673,850 | 3,303,850 | ||
| 16 | 2,619,250 | 1,205,300 | 1,413,950 | ||
| 16.5 | 3,151,200 | 2556300 | 594900 | ||
| 17 | 5,666,900 | 5,523,700 | 143,200 | ||
| SLV on 6/15/17 21:47:12 15.88 | |||
| 21 JUL 17 (36) 100 | |||
| 14 | 12,558,000 | 846,400 | 11,711,600 |
| 14.5 | 9,868,202 | 1,061,959 | 8,806,243 |
| 15 | 7,540,250 | 1,286,950 | 6,253,300 |
| 15.5 | 5,663,950 | 1,704,100 | 3,959,850 |
| 16 | 4,484,100 | 2,367,700 | 2,116,400 |
| 16.5 | 4,374,050 | 3,503,050 | 871,000 |
| 17 | 5,610,550 | 5,341,800 | 268,750 |
| 18 | 11,513,050 | 11,461,250 | 51,800 |
WTI: Another Naked Put (#7)
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/14/2017 12:00 | SINGLE | SELL | -1 | TO OPEN | /CLV7 1/1000 OCT 17 | /LOV7 | 35 | PUT | 0.2 | 0.2 | LMT |
Silver (#26)
With rising interest rates silver may visit $5-$10 range. That's why ratio spreads.
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/14/2017 11:33 | SINGLE | BUY | 1 | TO OPEN | SLV | 20-Oct-17 | 12.5 | PUT | 0.02 | 0.02 | LMT |
| 6/14/2017 11:11 | SINGLE | BUY | 1 | TO OPEN | SLV | 20-Oct-17 | 13 | PUT | 0.04 | 0.04 | LMT |
| 6/14/2017 11:09 | SINGLE | SELL | -1 | TO OPEN | SLV | 20-Oct-17 | 16 | PUT | 0.59 | 0.59 | LMT |
Take your money and run: $290 Gold to Platinum(#17)
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type | Spread |
| 338 | ||||||||||||
| 6/13/2017 22:08 | FUTURE | BUY | 1 | TO CLOSE | /GCQ7 | 17-Aug | FUTURE | 1271.6 | 1271.6 | MKT |
Gold to Platinum (#17)
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type | Spread |
| 341.1 | ||||||||||||
| 6/13/2017 12:54 | FUTURE | SELL | -1 | TO OPEN | /GCQ7 | 17-Aug | FUTURE | 1267.1 | 1267.1 | MKT | ||
| 6/13/2017 12:54 | FUTURE | BUY | 2 | TO OPEN | /PLN7 | 17-Jul | FUTURE | 926 | 926 | MKT |
Silver: New Entries & Position
New Entries
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/12/2017 12:31 | SINGLE | BUY | 5 | TO OPEN | SLV | 29-Dec-17 | 12 | PUT | 0.05 | 0.05 | LMT |
| 6/12/2017 12:30 | SINGLE | BUY | 1 | TO OPEN | SLV | 29-Dec-17 | 12 | PUT | 0.05 | 0.05 | LMT |
| 6/12/2017 12:17 | SINGLE | SELL | -1 | TO OPEN | SLV | 29-Dec-17 | 16 | PUT | 0.9 | 0.9 | LMT |
Position
| None (using Beta Weighing on 'SLV') | ||||||||||||
| Instrument | Qty | Days | Strike | Trade Price | Mark | Delta | Theta | Gamma | Vega | P/L Day | P/L Open | BP Effect |
| SLV | 920.13 | 3.14 | -296.62 | -56.52 | ($206.00) | $168.50 | ($6,901.30) | |||||
| ISHARES SILVER TRUST | 0 | 0 | 16.055 | 0 | 0 | 0 | 0 | $0.00 | $0.00 | |||
| 100 21 JUL 17 13.5 PUT | 1 | 39 | 13.5 | 0.09 | 0.005 | -1.19 | -0.05 | 2.48 | 0.17 | $0.00 | ($8.50) | |
| 100 21 JUL 17 16.5 PUT | -1 | 39 | 16.5 | 0.38 | 0.635 | 66.36 | 0.41 | -39.02 | -1.93 | ($14.00) | ($25.50) | |
| 100 18 AUG 17 13.5 PUT | 1 | 67 | 13.5 | 0.13 | 0.02 | -3.17 | -0.08 | 4.61 | 0.5 | $0.00 | ($11.00) | |
| 100 18 AUG 17 16.5 PUT | -1 | 67 | 16.5 | 0.73 | 0.75 | 61.46 | 0.33 | -30.53 | -2.65 | ($13.50) | ($2.00) | |
| 100 (Weeklys) 29 SEP 17 13 PUT | 1 | 109 | 13 | 0.05 | 0.03 | -3.63 | -0.07 | 4.04 | 0.71 | $0.50 | ($2.00) | |
| 100 (Weeklys) 29 SEP 17 14 PUT | 1 | 109 | 14 | 0.12 | 0.09 | -9.91 | -0.14 | 9.61 | 1.55 | $2.00 | ($3.00) | |
| 100 (Weeklys) 29 SEP 17 16 PUT | -1 | 109 | 16 | 0.61 | 0.61 | 45.74 | 0.28 | -24.3 | -3.5 | ($10.00) | $0.00 | |
| 100 (Weeklys) 29 SEP 17 17 PUT | -1 | 109 | 17 | 1.01 | 1.24 | 68.35 | 0.25 | -21.49 | -3.13 | ($15.50) | ($23.00) | |
| 100 20 OCT 17 10.5 PUT | 1 | 130 | 10.5 | 0.02 | 0.01 | -0.92 | -0.03 | 0.82 | 0.24 | $0.00 | ($1.00) | |
| 100 20 OCT 17 12.5 PUT | 1 | 130 | 12.5 | 0.11 | 0.025 | -2.8 | -0.05 | 2.92 | 0.62 | $0.50 | ($8.50) | |
| 100 20 OCT 17 13.5 PUT | 1 | 130 | 13.5 | 0.15 | 0.075 | -7.61 | -0.11 | 6.94 | 1.39 | $1.50 | ($7.50) | |
| 100 20 OCT 17 14 PUT | 1 | 130 | 14 | 0.14 | 0.12 | -11.65 | -0.14 | 9.9 | 1.9 | $2.50 | ($2.00) | |
| 100 20 OCT 17 14.5 PUT | 1 | 130 | 14.5 | 0.36 | 0.19 | -17.39 | -0.18 | 13.46 | 2.48 | $3.50 | ($17.00) | |
| 100 20 OCT 17 15.5 PUT | -1 | 130 | 15.5 | 0.6 | 0.465 | 34.94 | 0.25 | -20.1 | -3.56 | ($8.00) | $13.50 | |
| 100 20 OCT 17 16 PUT | -1 | 130 | 16 | 0.59 | 0.68 | 45.62 | 0.26 | -21.86 | -3.81 | ($9.50) | ($9.00) | |
| 100 20 OCT 17 16.5 PUT | -2 | 130 | 16.5 | 1.31 | 0.965 | 112.71 | 0.52 | -43.14 | -7.57 | ($25.00) | $69.00 | |
| 100 20 OCT 17 17 PUT | -1 | 130 | 17 | 0.92 | 1.3 | 66.22 | 0.24 | -19.96 | -3.51 | ($15.00) | ($38.00) | |
| 100 (Weeklys) 29 DEC 17 10 PUT | 5 | 200 | 10 | 0.04 | 0.015 | -5.71 | -0.13 | 4.24 | 1.8 | ($2.50) | ($12.50) | |
| 100 (Weeklys) 29 DEC 17 12 PUT | 6 | 200 | 12 | 0.05 | 0.045 | -22.51 | -0.34 | 17.58 | 5.9 | ($3.00) | ($3.00) | |
| 100 (Weeklys) 29 DEC 17 16 PUT | -3 | 200 | 16 | 1.096667 | 0.89 | 135.36 | 0.66 | -50.35 | -14.15 | ($18.00) | $62.00 | |
| 100 (Weeklys) 29 DEC 17 17 PUT | -3 | 200 | 17 | 1.95 | 1.495 | 183.58 | 0.63 | -48.37 | -13.67 | ($42.00) | $136.50 | |
| 100 19 JAN 18 10 PUT | 1 | 221 | 10 | 0.04 | 0.015 | -1.14 | -0.02 | 0.85 | 0.38 | ($0.50) | ($2.50) | |
| 100 19 JAN 18 11 PUT | 3 | 221 | 11 | 0.04 | 0.035 | -7.7 | -0.13 | 5.4 | 2.26 | $3.00 | ($1.50) | |
| 100 19 JAN 18 15 PUT | -1 | 221 | 15 | 0.47 | 0.52 | 29.6 | 0.19 | -13.63 | -4.33 | ($6.00) | ($5.00) | |
| 100 19 JAN 18 16 PUT | -1 | 221 | 16 | 1.24 | 0.94 | 44.97 | 0.21 | -15.88 | -4.95 | ($10.00) | $30.00 | |
| 100 19 JAN 18 17 PUT | -2 | 221 | 17 | 1.74 | 1.54 | 120.56 | 0.4 | -30.85 | -9.64 | ($27.00) | $40.00 | |
Debit or Credit
When averaged over multiple occurrences a debit option strategy has negative expectation.
In particular Option calendar is a costly low profit strategy hence works only with an expensive underlying while capital allocation has to be kept small . The bottom line line is option calendar is not suitable for a typical retail account.
In particular Option calendar is a costly low profit strategy hence works only with an expensive underlying while capital allocation has to be kept small . The bottom line line is option calendar is not suitable for a typical retail account.
Silver: New Entry (#24)
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/8/2017 11:00 | SINGLE | SELL | -1 | TO OPEN | SLV | 21-Jul-17 | 16.5 | PUT | 0.38 | 0.38 | LMT |
+$15 Scratched ES Debit Put Spread
no Comey crash, reducing short delta in #SP500
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/8/2017 9:25 | VERTICAL | SELL | -1 | TO CLOSE | /ESU7 1/50 JUN 17 (EOM) | /EWM7 | 2435 | PUT | 20.5 | 3.75 | LMT |
| BUY | 1 | TO CLOSE | /ESU7 1/50 JUN 17 (EOM) | /EWM7 | 2425 | PUT | 16.75 | CREDIT | |||
| 6/2/2017 15:45 | VERTICAL | BUY | 1 | TO OPEN | /ESU7 1/50 JUN 17 (EOM) | /EWM7 | 2435 | PUT | 19.5 | 3.25 | LMT |
| SELL | -1 | TO OPEN | /ESU7 1/50 JUN 17 (EOM) | /EWM7 | 2425 | PUT | 16.25 | DEBIT |
+$35 Soybeans (#1)
| Exec Time | Spread | Side | Qty | Pos Effect | Symbol | Exp | Strike | Type | Price | Net Price | Order Type |
| 6/7/2017 21:58 | SINGLE | BUY | 1 | TO CLOSE | /ZSQ7 1/50 AUG 17 | /OZSQ7 | 830 | PUT | 1.125 | 1.125 | LMT |
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