Tales of Two Spreads


A S and P 500 weekly option spread.

The SPX spread looks worse from yesterday in terms of the expiration graph, but I think it is alright at this point. Because the butterfly was expensive to hold without confirmed price action to the 1860 strike, I closed it for a loss; and I closed the calendar at 1855 for a scratch. I added two calendars at 1825, according to my plan. Later in the day, I rolled up the shorts to create a number of diagonals. Currently, the profit on the rolled puts is greater than the loss on the butterfly. (Note: I like butterfly adjustments better in the puts and beneath the current strike).  While the expiration graph looks terrible, the spread can cope with a sudden down move; for it is Delta negative and Vega positive. I’d rather the spread be slightly Delta positive and Vega positive, but the closing price of the options today distorts the Delta a bit. If the spread goes to -20 Delta (likely), I’ll add a calendar again at 1860; I might be able to roll the puts upwards or outwards.  As it stands at 1:02 AM, the spread is -14 Delta. The S and P 500 futures point toward higher prices tomorrow.


An Apple weekly option spread

The AAPL weekly options spread is holding its value, and the price action of AAPL continues to point toward 515. Currently, the spread is slightly Delta positive and strongly Vega positive within the safety range. A likely adjustment tomorrow may include a role of the 535 calls down or outward in search of more premium and Delta balance.  It may be less stressful to simply close the calendar spreads, but I am always hesitant to lock in a loss.


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