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 | # of | Option | Futures | Expiration | My Trade | Futures Price | Option Price | Position Equivalent | Profits (Losses) | |||||
| or Short | Contracts | Symbol | Reference | Date | Date | Price | Last | Last | Delta | Delta (bu) | Gamma (bu) | Theta / Day | Vega | Actual |
| SHORT | 60.00 | WN1000C | WN1 | 24-Jun-2011 | 23-Dec-2010 | 49.250 | 901.250 | 61.375 | (0.40) | (120,291) | (464) | $946 | ($6,631) | ($36,375) |
| SHORT | 25.00 | WN700P | WN1 | 24-Jun-2011 | 23-Dec-2010 | 37.875 | 901.250 | 12.750 | 0.11 | 14,117 | (114) | $166 | ($1,396) | $31,406 |
| SHORT | 10.00 | WN900C | WN1 | 24-Jun-2011 | 23-Dec-2010 | 73.500 | 901.250 | 94.750 | (0.55) | (27,455) | (82) | $154 | ($1,124) | ($10,625) |
| SHORT | 2.00 | WN850C | WN1 | 24-Jun-2011 | 23-Dec-2010 | 89.125 | 901.250 | 116.625 | (0.63) | (6,323) | (16) | $28 | ($213) | ($2,750) |
| SHORT | 2.00 | WH770P | WH1 | 18-Feb-2011 | 5-Jan-2011 | 27.375 | 856.500 | 3.500 | 0.10 | 981 | (23) | $27 | ($38) | $2,388 |
| SHORT | 3.00 | WH730C | WH1 | 18-Feb-2011 | 7-Jan-2011 | 68.125 | 856.500 | 127.500 | (0.93) | (13,936) | (9) | $32 | ($40) | ($8,906) |
| SHORT | 2.00 | WN900C | WN1 | 24-Jun-2011 | 12-Jan-2011 | 66.625 | 901.250 | 94.750 | (0.55) | (5,491) | (16) | $31 | ($225) | ($2,813) |
| SHORT | 20.00 | WH750P | WH1 | 18-Feb-2011 | 19-Jan-2011 | 13.875 | 856.500 | 1.625 | 0.05 | 5,205 | (146) | $163 | ($237) | $12,250 |
| SHORT | 12.00 | WN800P | WN1 | 24-Jun-2011 | 21-Jan-2011 | 58.750 | 901.250 | 42.500 | 0.27 | 16,209 | (88) | $147 | ($1,139) | $9,750 |
| SHORT | 30.00 | WN1100C | WN1 | 24-Jun-2011 | 26-Jan-2011 | 39.250 | 901.250 | 39.250 | (0.28) | (42,523) | (198) | $428 | ($2,923) | $0 |
| LONG | 30.00 | WH870C | WH1 | 18-Feb-2011 | 26-Jan-2011 | 25.000 | 856.500 | 25.000 | 0.45 | 67,339 | 760 | ($1,012) | $1,275 | $0 |
| SHORT | 10.00 | WN800P | WN1 | 24-Jun-2011 | 26-Jan-2011 | 42.500 | 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) | ||||||||
| SHORT | 5.00 | SH1300P | SH1 | 18-Feb-2011 | 29-Dec-2010 | 34.500 | 1385.500 | 6.875 | 0.15 | 3,706 | (66) | $109 | ($205) | $6,906 |
| SHORT | 40.00 | SN1500C | SN1 | 24-Jun-2011 | 23-Dec-2010 | 82.500 | 1403.000 | 67.250 | (0.39) | (78,863) | (287) | $674 | ($6,856) | $30,500 |
| SHORT | 50.00 | SN1200P | SN1 | 24-Jun-2011 | 23-Dec-2010 | 42.500 | 1403.000 | 21.500 | 0.16 | 39,316 | (249) | $479 | ($5,450) | $52,500 |
| SHORT | 30.00 | SN1600C | SN1 | 24-Jun-2011 | 23-Dec-2010 | 62.000 | 1403.000 | 45.000 | (0.28) | (42,687) | (181) | $470 | ($4,565) | $25,500 |
| SHORT | 2.00 | SH1450C | SH1 | 18-Feb-2011 | 5-Jan-2011 | 43.500 | 1385.500 | 14.500 | (0.26) | (2,624) | (35) | $67 | ($114) | $2,900 |
| SHORT | 4.00 | SH1300C | SH1 | 18-Feb-2011 | 7-Jan-2011 | 93.875 | 1385.500 | 92.375 | (0.85) | (16,901) | (51) | $89 | ($167) | $300 |
| SHORT | 15.00 | SH1300P | SH1 | 18-Feb-2011 | 12-Jan-2011 | 13.125 | 1385.500 | 6.875 | 0.15 | 11,117 | (197) | $328 | ($615) | $4,688 |
| SHORT | 5.00 | SH1360P | SH1 | 18-Feb-2011 | 12-Jan-2011 | 30.500 | 1385.500 | 23.500 | 0.37 | 9,308 | (107) | $182 | ($329) | $1,750 |
| SHORT | 2.00 | SN1400P | SN1 | 24-Jun-2011 | 21-Jan-2011 | 88.875 | 1403.000 | 97.500 | 0.45 | 4,550 | (16) | $32 | ($352) | ($863) |
| SHORT | 25.00 | SN1500C | SN1 | 24-Jun-2011 | 26-Jan-2011 | 67.250 | 1403.000 | 67.250 | (0.39) | (49,289) | (179) | $421 | ($4,285) | $0 |
| SHORT | 15.00 | SN1300P | SN1 | 24-Jun-2011 | 26-Jan-2011 | 48.500 | 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 | ||||||||
| SHORT | 6.00 | CH680C | CH1 | 18-Feb-2011 | 29-Dec-2010 | 20.000 | 657.750 | 12.750 | (0.36) | (10,772) | (206) | $134 | ($185) | $2,175 |
| SHORT | 55.00 | CN800C | CN1 | 24-Jun-2011 | 23-Dec-2010 | 30.750 | 672.750 | 28.000 | (0.29) | (79,987) | (540) | $541 | ($4,048) | $7,563 |
| SHORT | 30.00 | CN550P | CN1 | 24-Jun-2011 | 23-Dec-2010 | 37.250 | 672.750 | 15.125 | 0.16 | 24,344 | (232) | $192 | ($1,592) | $33,188 |
| SHORT | 35.00 | CH700C | CH1 | 18-Feb-2011 | 23-Dec-2010 | 16.500 | 657.750 | 7.750 | (0.24) | (42,748) | (989) | $668 | ($913) | $15,313 |
| SHORT | 2.00 | CH680C | CH1 | 18-Feb-2011 | 5-Jan-2011 | 18.500 | 657.750 | 12.750 | (0.36) | (3,591) | (69) | $45 | ($62) | $575 |
| SHORT | 5.00 | CH660C | CH1 | 18-Feb-2011 | 7-Jan-2011 | 15.375 | 657.750 | 20.000 | (0.50) | (12,456) | (188) | $115 | ($164) | ($1,156) |
| SHORT | 2.00 | CN500P | CN1 | 24-Jun-2011 | 7-Jan-2011 | 20.875 | 672.750 | 6.500 | 0.08 | 820 | (10) | $8 | ($66) | $1,438 |
| SHORT | 22.00 | CN630P | CN1 | 24-Jun-2011 | 21-Jan-2011 | 47.875 | 672.750 | 43.500 | 0.34 | 37,850 | (245) | $218 | ($1,729) | $4,813 |
| SHORT | 10.00 | CN800C | CN1 | 24-Jun-2011 | 26-Jan-2011 | 28.000 | 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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