Hi Wastej:
Sorry have not been able to log on to the net due to bad connection.
I am getting a better idea about the whole concept of "delta neutral" strategy and thanks to you.
Here are the valuations as of close yesterday (14th September)
Closed out profits on Futures = 67200
Valuations of open positions:
1) 2000 long puts (sp2340) = (4.5-46)x2000 = -83000 - loss
2) 200 short calls (sp2480) = (21.55-35.35)x200 = -2760 - loss
3) 400 short puts (sp2350) = (12.5-5.35)x400 = 2860 - profit
4) 1000 short puts(sp2400) = (11.50-10.46)x1000 = 1050 - profit
5) 200 long futures@2455 = (2483-2455)x200 = 5600 - profit
Total p/l = (67200+2860+1050+5600-83000-2760) = -9050 (loss)
Open positions:
1) 2000 long puts (sp2340)
2) 200 short calls (sp2480)
3) 400 short puts (sp2350)
4) 1000 short puts(sp2400)
5) 200 long futures@2455
Regards
Nautilus
Sorry have not been able to log on to the net due to bad connection.
I am getting a better idea about the whole concept of "delta neutral" strategy and thanks to you.
Here are the valuations as of close yesterday (14th September)
Closed out profits on Futures = 67200
Valuations of open positions:
1) 2000 long puts (sp2340) = (4.5-46)x2000 = -83000 - loss
2) 200 short calls (sp2480) = (21.55-35.35)x200 = -2760 - loss
3) 400 short puts (sp2350) = (12.5-5.35)x400 = 2860 - profit
4) 1000 short puts(sp2400) = (11.50-10.46)x1000 = 1050 - profit
5) 200 long futures@2455 = (2483-2455)x200 = 5600 - profit
Total p/l = (67200+2860+1050+5600-83000-2760) = -9050 (loss)
Open positions:
1) 2000 long puts (sp2340)
2) 200 short calls (sp2480)
3) 400 short puts (sp2350)
4) 1000 short puts(sp2400)
5) 200 long futures@2455
Regards
Nautilus