Trade Critique

[nikko309]

I'm sorry I didn't quite get what you said about redoing the signs and perpetuating forward...

Instead of all of the corrective comments:

"Total delta = +4 (I know this is incorrect since I'm selling positive delta and vice versa the delta should be -4, but this is where I messed up and I want to post the trades as they actually happened)"

"Again this is wrong but I did not yet catch my error so I wanted to neutralize by selling a 170 call @ 4.00 with a delta of .32"

"Delta is at 0 (or so I thought, it's actually at -64)"

Post the position with the correct sign and remove the mess ups. It will be easier to follow.

 

[Andy_Trade]

Here it is with the delta's as they really were throughout the trade.

WYNN Short Strangle Delta Neutral entered on 10/22/07. WYNN trading @ 151.39

Sold 4 175 Calls @ 2.25 Delta .24
Sold 8 125 Puts @ 1.30 Delta -.12

Delta = 0

10/23 WYNN closes @ 158.50

4 175 Calls 2.25 - 2.75 = -200 loss.
8 125 Puts 1.30 - .75 = +440 gain

-200 + 440 = +240 unrealized gain.

Delta of short calls .19 x 400 = -76
Delta of short puts -.09 x 800 = +72

Total delta = -4

10/24

WYNN closes @ 155.54

Delta of calls .24 x 400 = -96
Delta of puts -.08 x 800 = +64

-96 + 64 = -32 Delta.

sold 170 call @ 4.00 with a delta of .32. =-32 for trade.

So at the end of the day the position is as follows:

4 175 calls 2.25 - 3.50 = -500 loss
8 125 puts 1.30 - .82 = +384 gain
1 170 call 4.00 - 3.00= +100 gain

-500 + 384 + 100 = -16 unrealized loss.

Delta is at -64.

10/25

WYNN closed @ 156.68

So today was the day I saw my gross error and after calculating the delta it is now -70.
(4 calls .25; 8 puts -.07; 170 call .26)

So to gain 70 delta I immediately bought back the 170 call @ 4.20 for a realized loss of 20 but a gain in delta of .26. Then I sold 2 140 puts @ 2.00 with a delta of -.23 for a gain of 46 delta.

Now my delta error is corrected and real delta is +2. (-70 + 26 + 46 = +2)

Position is as follows:

4 175 calls 2.25 - 2.75 = -200 loss
8 125 puts 1.30 - .63 = +536 gain
2 140 puts 2.00 - 2.45 = -90 loss

-200 + 536 - 90 = +246 unrealized gain.

-20 realized loss on the 170 call.

10/26

WYNN moves up to close @ 164.65

4 175 calls .24 x 400 = -96
8 125 puts -.07 x 800 = +56
2 140 puts -.22 x 200 = +44

Delta is at +4

At yesterdays close the position was as follows:

4 175 calls 2.25 - 3.70 = -580 loss
8 125 puts 1.30 - .30 = +800 gain
140 puts 2.00 - 2.00 = 0

-580 + 800 + 0 = +220 unrealized gain.

-20 realized loss on the 170 call.

This is where the trade stood when the day ended yesterday. I checked the deltas this morning and they are now as follows:

175 calls .32 x 400 = -128
125 puts -.05 x 800 = +40
140 puts -.14 x 200 = +28

Delta = -60

So I need to start thinking about how to neutralize on monday.

Thanks for all advice and critique. I'll post a couple other trades that I'm in later.