AAPL Short Strangle Delta Neutral on 10/22/07. AAPL @ 173.74
Sold 10 210 calls @ 1.05 Delta +.11
Sold 10 140 puts @ 1.00 Delta -.11
Delta = 0.
10/23
Apple goes up big.
Delta of calls +.09
Delta of puts -.07
Delta is off but since the puts are now trading at .15 I decide to take the money and run.
10 140 puts @ 1.00 - .15 = +850 realized gain.
This leaves a delta of +90 on the calls so the trade is -90 since I sold them.
To neutralize I sold 10 160 puts @ .59 with a delta of -.09. Position is now at 0 delta.
AAPL moves sideways the rest of the week closing fri. @ 184.70.
10 210 calls @ 1.05 - .53 = +520 unrealized gain
10 160 puts @ .59 - .54 = +50 unrealized gain
520 + 50 = 570 unrealized gain
850 realized gain on the 140 puts.
Delta of calls is .07
Delta of puts is -.06
Total delta = -10
Sold 10 210 calls @ 1.05 Delta +.11
Sold 10 140 puts @ 1.00 Delta -.11
Delta = 0.
10/23
Apple goes up big.
Delta of calls +.09
Delta of puts -.07
Delta is off but since the puts are now trading at .15 I decide to take the money and run.
10 140 puts @ 1.00 - .15 = +850 realized gain.
This leaves a delta of +90 on the calls so the trade is -90 since I sold them.
To neutralize I sold 10 160 puts @ .59 with a delta of -.09. Position is now at 0 delta.
AAPL moves sideways the rest of the week closing fri. @ 184.70.
10 210 calls @ 1.05 - .53 = +520 unrealized gain
10 160 puts @ .59 - .54 = +50 unrealized gain
520 + 50 = 570 unrealized gain
850 realized gain on the 140 puts.
Delta of calls is .07
Delta of puts is -.06
Total delta = -10