2019.02.12 (TUE) 10:40 Call back spread entry Entry
The Tokyo market in the triple vacation starts a rocket. Following the improvement of the market environment from the weekend, the close-up is the expansion of redemption. Foreign exchange has recovered 110 yen, and it has returned to 110.50 yen.
Three consecutive holidays began, Market alertness was relieved and options were sold out. IV dropped by about 2% with a focus on the call OTM, and it took off all.
Entry call back spread. I will aim for a rebound from the triple vacation. It is going to take the rising of the sleeping skew of the call.
The call back spread is the brother spread of “usual Ale” Protective Call. I am always thinking that this brothers spread may be more appreciated. Is it because it is too plain? Despite the very excellent spread, there are few people who utilize whatever it is. It is wasteful. Participants at the guild meeting place will use more and more. Let’s try.
Synthetic greases become mild by the “mini selling” leg of the protective call, “ATM call sales” in the call back spread. Brother Protective Call is aggressive, brother call back spread is warmer than older brother. Whether to choose an older brother or a younger brother depends on the situation of the smile curve at that time. It is good to put it in those who seem to be superior.
Protective calls are spreads that have been spreading so far, so there is no comment on adding call backs or spreads. Timing and points to be careful about spreading are basically the same, so if you are interested, I’d like to refer to the following past articles.
2019.02.12 (TUE) 11: 50 Delta adjustment
Nikkei futures rise 500 yen at lunchtime.
Add mini selling for delta adjustment. Although the seller of the call made ITM, all back spreads organized in this report are NTM ~ ITM with selling legs mainly ATM. Since it is built on the premise that ITM is supposed to be originally, even if DITM is done, the problem does not occur. If there is no liquidity at the time of return, it can correspond with “Escape of put call, parity”. And the guild’s lesson not written in the textbook. Be careful not to make back spreads with strange strikes.
2019.02.12 (TUE) 13: 45 Delta adjustment
The Nikkei futures are one step higher in the afternoon. IV, call and put together gradually revive.
Delta is leaning to long as the IV is revitalized as expected. Add mini selling as before and adjust delta.
Delta adjustment is not like ‘simply hit the mini if the delta is long or short,’ and there are some tips on the ‘guild lesson’. Position evaluation can be improved dramatically when the spread critically hits by adjusting the delta holding down the knack. It is not exaggerated to say the trick and the way, the way it is patterned and it is a mechanical thing, so I think you can understand immediately by referring to the past articles.
2019.02.12 (TUE) 17: 00 European market open delta adjustment
The European market is open. The futures are small movements from the afternoon of Tokyo time, but the IV is on the verge.
Although the futures are not moving, but the IVs are on the verge of success, the delta of the call back spread tends to long again. Mechanically deliver mini selling and delta adjustment.
First of all, “Protective calls and call back spreads are sibling spreads”, but at the time of applying delta hedge mini-selling, both spreads fusioned and became a stronger position. Do you know what it is?
2019.02.12 (TUE) 23: 40 NY Market opening process
For now, both Nikkei futures and IV move small.
Position hold call back spread. Scheduled to repay looking at NY Open.
Today’s NY market seems to be engaged. I do not feel like call skew any longer. This position seems to be far. Full repayment.
1903C22000 @+12qty 11.00 JPY -> close 31.00 JPY (+240,000 JPY)
1903C20750 @-1qty 280.00 JPY -> close 430.00 JPY (-150,000 JPY)
1903M @-4qty 20770.00 JPY -> close 20900.00 (-29,000 JPY)
This profit and loss +61,000 JPY
Total profit and loss +61,000 JPY