Wednesday, January 26, 2011

Neutral Nick Update - Wheat Sky Rockets and now he has too much sold!!!

Neutral Nick had to adjust rather big today as the wheat prices continue to soar up.  CBOT March wheat is just a couple pennies off of the Aug 6th high; while nearly all other wheat contracts are near or at contract highs.


After today's market Mr. Neutral found his self delta equavilant of being short about 136,000 bushels; that is him over sold by about 36%; this is the type of thing that could nearly break him if we see a repeat of 2008 and he doesn't do anything to adjust.

So he decided to adjust as per his game plan; part of his idea is he doesn't have any interest paying for insurance or protection as he would rather sell it.  But given where things are he did decide that risk management still outweighs feelings and thoughts.  So he bought some March 8.70 calls; 30 of them.  But he did decide to stick to the them of adjusting primiarly via selling options; not via buying so he added a couple more trades he sold 30 of the CBOT July 11.00 calls while also selling 10 of the 8.00 July puts.  Overall he did collect today while buying the short term right to own some wheat slight above the Aug 6th highs; in theory if we do much up in a hurry his long calls should quickly see delta move closer to resembling the price aciton of simply long futures.   (To help off set his positions that are becoming closer to acting like a short hedge.)

His updates for corn was to sell an additional 10 of the 8.00 July calls; while in beans he sold 25 of the 15.00  Julycalls and 15 of the 13.00 July puts.

Overall he is very happy with where he is at other then his huge brokerage fees and the fact that one always wants more.

His wheat positions is impressive in that his positions on the books are only down about 5k total while wheat is on a big time run; yet hs has basically played that and the other markets short 100k since he entered and wheat is at it's highest level.  While beans and corn he also has plenty of non booked profits up around 60k on corn and $124,000 on beans.  With all of the posiitons he keeps adding he is feeling good that unless his banker pulls his hedge (Spec?) line of credit he will end up with a better price then his cousin Vinny Vegas who is still on the beach someplace.

Here is a copy of Neutral's positions that are open; keep in mind this doesn't include the small booked losses.


Long# ofOptionFuturesExpirationMy TradeFutures PriceOption Price Position EquivalentProfits (Losses)
or ShortContractsSymbolReferenceDateDatePriceLastLastDeltaDelta (bu)Gamma (bu)Theta / DayVegaActual
SHORT60.00WN1000CWN124-Jun-201123-Dec-201049.250 901.250 61.375 (0.40) (120,291) (464) $946  ($6,631) ($36,375)
SHORT25.00WN700PWN124-Jun-201123-Dec-201037.875 901.250 12.750 0.11  14,117  (114) $166  ($1,396) $31,406
SHORT10.00WN900CWN124-Jun-201123-Dec-201073.500 901.250 94.750 (0.55) (27,455) (82) $154  ($1,124) ($10,625)
SHORT2.00WN850CWN124-Jun-201123-Dec-201089.125 901.250 116.625 (0.63) (6,323) (16) $28  ($213) ($2,750)
SHORT2.00WH770PWH118-Feb-20115-Jan-201127.375 856.500 3.500 0.10  981  (23) $27  ($38) $2,388
SHORT3.00WH730CWH118-Feb-20117-Jan-201168.125 856.500 127.500 (0.93) (13,936) (9) $32  ($40) ($8,906)
SHORT2.00WN900CWN124-Jun-201112-Jan-201166.625 901.250 94.750 (0.55) (5,491) (16) $31  ($225) ($2,813)
SHORT20.00WH750PWH118-Feb-201119-Jan-201113.875 856.500 1.625 0.05  5,205  (146) $163  ($237) $12,250
SHORT12.00WN800PWN124-Jun-201121-Jan-201158.750 901.250 42.500 0.27  16,209  (88) $147  ($1,139) $9,750
SHORT30.00WN1100CWN124-Jun-201126-Jan-201139.250 901.250 39.250 (0.28) (42,523) (198) $428  ($2,923)$0
LONG30.00WH870CWH118-Feb-201126-Jan-201125.000 856.500 25.000 0.45  67,339  760  ($1,012) $1,275 $0
SHORT10.00WN800PWN124-Jun-201126-Jan-201142.500 901.250 42.500 0.27  13,508  (73) $122  ($949)$0
 206.00       (0.10) (98,660) (469) $1,233  ($13,642) ($5,675)
               
               
SHORT5.00SH1300PSH118-Feb-201129-Dec-201034.500 1385.500 6.875 0.15  3,706  (66) $109  ($205) $6,906
SHORT40.00SN1500CSN124-Jun-201123-Dec-201082.500 1403.000 67.250 (0.39) (78,863) (287) $674  ($6,856) $30,500
SHORT50.00SN1200PSN124-Jun-201123-Dec-201042.500 1403.000 21.500 0.16  39,316  (249) $479  ($5,450) $52,500
SHORT30.00SN1600CSN124-Jun-201123-Dec-201062.000 1403.000 45.000 (0.28) (42,687) (181) $470  ($4,565) $25,500
SHORT2.00SH1450CSH118-Feb-20115-Jan-201143.500 1385.500 14.500 (0.26) (2,624) (35) $67  ($114) $2,900
SHORT4.00SH1300CSH118-Feb-20117-Jan-201193.875 1385.500 92.375 (0.85) (16,901) (51) $89  ($167) $300
SHORT15.00SH1300PSH118-Feb-201112-Jan-201113.125 1385.500 6.875 0.15  11,117  (197) $328  ($615) $4,688
SHORT5.00SH1360PSH118-Feb-201112-Jan-201130.500 1385.500 23.500 0.37  9,308  (107) $182  ($329) $1,750
SHORT2.00SN1400PSN124-Jun-201121-Jan-201188.875 1403.000 97.500 0.45  4,550  (16) $32  ($352) ($863)
SHORT25.00SN1500CSN124-Jun-201126-Jan-201167.250 1403.000 67.250 (0.39) (49,289) (179) $421  ($4,285)$0
SHORT15.00SN1300PSN124-Jun-201126-Jan-201148.500 1403.000 48.500 0.29  22,021  (108) $203  ($2,309)$0
 193.00       (0.10) (100,347) (1,476) $3,055  ($25,247) $124,181
               
               
SHORT6.00CH680CCH118-Feb-201129-Dec-201020.000 657.750 12.750 (0.36) (10,772) (206) $134  ($185) $2,175
SHORT55.00CN800CCN124-Jun-201123-Dec-201030.750 672.750 28.000 (0.29) (79,987) (540) $541  ($4,048) $7,563
SHORT30.00CN550PCN124-Jun-201123-Dec-201037.250 672.750 15.125 0.16  24,344  (232) $192  ($1,592) $33,188
SHORT35.00CH700CCH118-Feb-201123-Dec-201016.500 657.750 7.750 (0.24) (42,748) (989) $668  ($913) $15,313
SHORT2.00CH680CCH118-Feb-20115-Jan-201118.500 657.750 12.750 (0.36) (3,591) (69) $45  ($62) $575
SHORT5.00CH660CCH118-Feb-20117-Jan-201115.375 657.750 20.000 (0.50) (12,456) (188) $115  ($164) ($1,156)
SHORT2.00CN500PCN124-Jun-20117-Jan-201120.875 672.750 6.500 0.08  820  (10) $8  ($66) $1,438
SHORT22.00CN630PCN124-Jun-201121-Jan-201147.875 672.750 43.500 0.34  37,850  (245) $218  ($1,729) $4,813
SHORT10.00CN800CCN124-Jun-201126-Jan-201128.000 672.750 28.000 (0.29) (14,543) (98) $98  ($736)$0
 167.00       (0.12) (101,083) (2,576) $2,020  ($9,497) $63,906
               
 

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