Protecting a DITM call spread

eS future at 62 when I was looking at this... 2200 put at 1.40 or so, indeed... you're correct, 2200 call at 63.40.. my bad... I'm 60 cents off
so, 60 call at 11, and that 2320 call at 20 cents, do I really need to sum it up for you?

63.40- 2x11 +.20 is 41.60

I don't care about quotes for ITM calls... you should know the value from the put

EDIT... we started this discussion yesterday, look at @xandman 's posting of prices in one of his earlier posts....
 
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xandman said:
Position: ES Option 2200-2260 call spread, 8 DTE

I would like to solicit advice on protecting a deep in-the-money call spread. The position has accumulated a maximal amount of deltas. The market is ranging, but a quick move down can erase a lot of profits.

The short call is ATM and bleeding major theta to my advantage. How would you hedge this position?

Thanks.
More...

I would just close this position if you haven't already.
 
Shall I give you the prices now then?

With ES at 2275..
00 @ 75.50
60 @ 18.70
20 @ ....

That's 38 and a bit..... that fly lost a bit from the move 60 to 75...

So on your book, you've made quite a few on a decent move away from the short body.... negative gamma.... That fly would give at most 1.30 in theta...
How on earth do you get from 30ish to 38 with negative gamma, while moving from 60 to 75?

Have fun looking at settlement prices which are always behind..... what's that 2200 call according to TOS now? 70? Because that's the settlement/closing value??? Fucking amateur....

I don't know why people here take you for real... you have no clue about position management.... which Swedish fund are you with? Trolls are Nordic aren't they?
 
JackRab said:
Shall I give you the prices now then?

With ES at 2275..
00 @ 75.50
60 @ 18.70
20 @ ....

That's 38 and a bit..... that fly lost a bit from the move 60 to 75...

So on your book, you've made quite a few on a decent move away from the short body.... negative gamma....

Have fun looking at settlement prices which are always behind..... what's that 2200 call according to TOS now? 70? Because that's the settlement/closing value??? Fucking amateur....
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Referring to yesterday's settle.

A day closer to expiration and a drop in vola? You've now dropped the thing from 43, 42, 41... and now the fly LOST 7 handles on a gain of 13 in futures? Wow! That's pretty rough!

You really think it was a 50-delta fly, Bro? So the fly lost (lol) 7 handles on the day, the result of a DROP in vol and what...? a 50-delta?

The delta... here at 2275... is ****** 20 ****** So it went from being DELTA NEUTRAL to losing 7 handles (your math) on a DROP in vola.

You really think that 2200 put was worth $4? I will sell it to you at $2!
 
Your Russian risk manager must have been drunk on Vodka 24/7 to not fire you..

Here's @xandman's post again
upload_2017-1-23_21-42-19-png.170146


I don't know why I'm even engaging with a troll...

For what reasons where you banned the last 2/3 times?

Tell me... how would you have traded the 00/60/20 fly at 30? Did you use a time machine?
 
JackRab said:
Your Russian risk manager must have been drunk on Vodka 24/7 to not fire you..

Here's @xandman's post again
upload_2017-1-23_21-42-19-png.170146


I don't know why I'm even engaging with a troll...

For what reasons where you banned the last 2/3 times?

Tell me... how would you have traded the 00/60/20 fly at 30? Did you use a time machine?
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Umm, that's a stress on the 2220/60/85. Xandman was in the 2200/2260 call spread.

Can you tell me how you priced the 2200P at $4 when it was at 1.3bid?

The fly is at 35 (25/35 iron)

It did not lose seven handles as you suggest. It was DN and is now short 20-deltas. Vola dropped fifty cents on VX.

The 2200P was not trading a $4 with the underlying at 60.

I SAF hope you were not an ES MMer.
 
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I don't care that it was a stress on whatever... look at the bloody sheet.....

When did I say the put was at 4? You said that not me. I said the 2200 call was 64-ish while the future was around 62.... go back to school please... you are so overrated by yourself. I simply cannot believe the size of the hole you are digging for yourself....

Stop with the steroids mate, they are fucking up your brain... and you only had half a brain to start with...
 
JackRab said:
I don't care that it was a stress on whatever... look at the bloody sheet.....

When did I say the put was at 4? You said that not me. I said the 2200 call was 64-ish while the future was around 62.... go back to school please... you are so overrated by yourself. I simply cannot believe the size of the hole you are digging for yourself....

Stop with the steroids mate, they are fucking up your brain... and you only had half a brain to start with...
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Why look at the sheet? The OP stated a 2200/2260 call spread.

ES was at 2261 when I posted, not 62. Regardless, you don't get to 64 on parity.

So you stated 42-43 for the fly, when the iron is trading at 25cr, 35db right now.

lol it somehow lost $7-8 bucks on a lower VIX and a marked delta (currently) of 20? It was neutral last night and it's at a -20D now... How else can you arrive at a loss of seven bucks when the current delta is 20?

How do you arrive at a loss of over seven on the fly?

https://www.dropbox.com/s/bfv4uc41zz5ttda/2017-01-24_1800.png?dl=0
 
Again, just stop.

Here is the current mark on the iron fly. 2200/2260/2320; 24.85 mid and the fly is two bucks NBBO (obv CME). That implies a debit on the natural of 35.15.

So you are stating that the fly lost OVER seven bucks in a day... a day in which it accumulated 20-deltas, not 50! A day that saw VIX cash and futures drop over fifty.

iron fly market 24.85cr; 35.15db natural. As of 11:09 EDT.

https://www.dropbox.com/s/jl7kvp2b19offi9/2017-01-24_1809.png?dl=0
 
This is just too funny... you are just pulling stuff out of thin air.

I stated 40-ish for the fly. And at one stage a few posts back 41.60. Not 43. That Iron is 22 right now... I've got the sheet in front of me. So that's 38 for your fly...
There you go, you can have a look... use your glasses please...

upload_2017-1-25_13-13-6.png


It was 41.40.... at time of that freakin' sheet print of Xandman... with the future at 61.30.
It had about 1.30 in theta... so that's 40.10... minus the loss due to neg gamma... plus a little bit... what, 1? due to a gain in IV being slightly lower.... IV in 60 strike was about 8.50 and is now 7.50...
And so we end up at 38.

That's a loss of 3.40.... I do not know why you keep thinking it lost 7 or 8?

You are punching below your weight here.... I do not believe anything you say or have said in the past. You are not a prof trader... any fund will be fucked if they would hire you...
I strongly doubt you have aver made any decent money in the prof markets...
 
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