Rolled RUT LP IC, new GENZ trade

Today was the pullback that I was looking for, but not nearly as much as I would have liked to see. I guess a few more small down days is better than one big down day as far as IV is concerned. Overall I'm short a LOT of vega, so a IV rise wouldn't be good.

Despite the early pullback, WMT was up pretty strong. I was getting fairly short delta, but since WMT was near the upper end of its range, I didn't want to over-react and buy in too many spreads. So I only bought in a couple 50-55 call spreads, taking my delta from around -300 down to -180. Breakevens are now around 48 - 52.5, which is quite a range compared to recent price action. Despite this quiet time with WMT, its IV hasn't changed much, and in fact has gone up very slightly since I started the trade 15 days ago. No profit from vega here. I'm still sitting around 9% gain. I'd really like to see 15-20%, so we'll hang on a bit longer. Here's the trade after adjustment.

With nearly the entire market down today, I was surprised to see a couple stocks making new 20-day highs. Most notably was GENZ. Therefore, I opened a new 50-55 bull put spread for July, 0.50 credit. Nothing special in this vertical. Just shown for illustration. Exit or adjust when I'm down an amount equal to my credit ($250) (around $58.50) and take profit at 75% of my credit, around $69.00.

Yesterday I was pretty sure we were going to pull back a little, if not today, at least sometime soon. So for my RUT low prob iron condor, I bought back my put spreads for $0.40 (originally sold for $1.49). It seemed like the right thing to do, but afterwards, I wasn't too happy with the risk graph. The downside was great, but it didn't help at all if we went up further. See below, original trade and with puts removed.

So what I did during today's pullback is to roll up my calls by one strike. In order to do this, I simply placed a butterfly trade. I was originally short 540, long 550. To roll up in one move, I bought a 540-550-560 butterfly and am now short 550 and long 560. The resulting risk graph is below.

Again, I'm not very pleased with this after the fact. While I gave myself some room on the upside, the potential yield is kinda weak. In order to improve the situation, I tried to sell a put spread but I never got filled because the market was in it's seemingly "regular" late-afternoon rally, running away from my put spread offer. Pictured below is what I tried to get filled on before time ran out. I may try to do this tomorrow, providing the market doesn't immediately rally and force me out of the trade completely. Proposed position is pink, existing is green.

Closed OXY and HES, surviving COST

On May 6th, 22 days ago, I sold two bull put verticals. One on OXY and one on HES. The entry was based on fellow Sheridan student-turned-mentor, Jay Bailey's new 20-day high/low. The exit today was based on capturing 75% of the credit I received, which turns out to be 12.4% on OXY, and 8.7% on HES, after comms. I sold 9 such verticals this month. I've previously closed 3 - one scratch (got chicken and pulled the plug early), one of a -14.6% loss in 2 days, and one for 8.7% profit in 7 days. Of the 4 remaining (MA, ICE, GS, EWZ), all are currently profitable from 2.8-8.8%. ICE and EWZ are close to my profit targets.

COST did a wonderful thing today...earnings caused the stock to drop right around my short strike of my butterfly, and as expected, IV dropped. In this case, it dropped 8% since yesterday, from 37% to 29%. Yesterday's vega was around -35, so 35 x 8 = $280 gained from IV dropping due to earnings released BMO. I'm still sitting at a loss, but only $-110 instead of $-564 just 5 days ago.
Next up is TEVA. I've recouped some of my losses, now at -8%, but TEVA hasn't had a pullback yet and is sitting near the upper breakeven on this uneven butterfly. The last two days have closed lower, but not where I'd like to see it. Below is my current analyze page, and below that is an adjustment I'm considering. I'd buy 5 butterflies, which would essentially roll out 5 of my credit spreads from 45-47.5 up to 47.5-50. It would cut my delta in half, increase my theta by 50%, move my upper breakeven 0.50, and only raise my lower breakeven by 0.20. Overall, a pretty good adjustment. We'll see what price action tomorrow brings us. If it's a down day, no adjustment will be made. I'll probably adjust if TEVA hits my upper BE.

My WMT butterfly is sitting nicely for the moment, currently up 8.7%. This one concerns me, as WMT and other retailers release same-store-sales reports every month. They occur around the end of the first week of the month, and I've gotten really screwed by these (see Jan 8, 2009 gap). They are like earnings reports every month. Option income traders don't like trading around earnings. Option spec traders yes, income no. The next report is due one week from today, Thursday 6/4 BMO. I'm thinking I might want to be out of this trade before then, just to be on the safe side, or at least substantially reduce my position. The problem with waiting until next Wednesday to do something is that IV typically rises several points between now and then, which is not good for a butterfly - short vega trade. May have to considering doing something tomorrow afternoon, like banking the 10-ish%.