Thursday, July 16, 2009
Wednesday, July 15, 2009
Tuesday, July 14, 2009
Friday, July 10, 2009
My IWM position data is

Delta = 36.95
Gamma = -29.53
Theta = 9.45
Vega = -7.86
My near month ( July 7 days to go) short put has 16 delta. I am watching it to be closer to 30 to close the position.
My near month ( july) short call is already closed.
My position now is
July 43/45 Put 61 Long call
Aug 57/59 Call

IWM still does not have any green shoots. It is getting good support near lower band but the williams is pointing down. So not good entry point again.
Thursday, July 9, 2009

Today my IWM position Geeks are
delta=22.78, Gamma=-24.48, Theta=9.01, Vega=-8.76
Here I need more -ve delta to make it delta neutral.
So I need to sell some Call verticals.
But when i checked the chart, it was near the lower band, had a long tail yesterday shows some support and the williams%R is turning upwards, a sign of over sold.
All these points to upward price movement, but overall market is bearish sentiment.
So i am going to wait for a breakout in any direction to make a move.
Looks like a good put spread time. Looked at 43/41 for 0.31 for Aug.
But i have to wait for today for a green chute or williams below 80.
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