Legging into a christmas tree-bought the 4050/4000 july put spread and sold a smattering of 3900 puts, hoping to leg into more of these later if market does do the decent thing. The obvious supports if there is a sizable drop- 4000 and 3800- which would be ok for me. Any more than 3800 would be a challenge.
My position currently gives a negative theta(time decay in my favour) of-1.9 and delta +0.1, pretty much gamma neutral too.
Having fun with Samoasky which of course disagrees with me on most of my calculations, but the differences are tiny. the optimum return for this position as it stands,would give 26.46% profit apparently.
Tuesday, 23 June 2009
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