Friday, May 3, 2013

Closing down of May SPX positions

Today market shot up with higher volume to demonstrate its bullishness and broke up the bollinger bands. My may SPX positions got killed badly. The portfolio Delta had reached -90 as shown in the image below.
I used the analyzer trying to figure out an acceptable combination of May option strategies for adjustment. But they all showed up very high Gamma and Vega as a result of calendars, since there are only 13 days left. So I had to close all of the May SPX option positions.

Additionally, I also closed the damaging RUT May option positions: a vertical and a calendar. I thought it was a really bloody day for me. But somehow, my real account had 2 more $940 and 2 more $960 calendars than what I had in the TOS chart. This was obvious a big mistake that I need to investigate. I had observed larger than expected differences in the real account P&L changes and the TOS analyzer. I had thought it was due to differences of brokers calculating option prices (using mid price or the worse price of bid or ask). Now, the mystery is resolved.

Anyway, the 4 extra calendars saved my account from a big loss. I added them back to the TOS analyzer as shown below. I have to close the May RUT positions pretty soon as there are about two weeks left.

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