When i personally look at options and how these reports have a chance to be big market movers I like looking at calendar ratio plays; as example perhaps tonight one should look at selling a July 6.60 Put to buy some March 6.60 puts. With how option prices tend to work as we near experation we could see the delta position of the March puts quickly gain on the 1 July put. The way I figured was one could buy about 6 of the March puts for every July put one sold. Now this trade in itself it's the thing that one really likes to look at from a producer perspective as one is selling a defered put. That basically means that if today's corn get's too cheap they will own it at the levels they sold the put at. So generically speaking when I look at ratio type plays from a producer perspective I want to add plays that spread my risk; so a better risk diversified move for a producer who wants to find a way to pay for nearby options via the sale of a deffered is probably to sell a deffered (covered) call; that way one's big picture looks much better if we see the call turn into a short hedge.
But for our marketing character Neutral Nick we are going down a different perspective. He is simply trying to sell options in a manner that keeps his delta equivalant bushel position near 100,000 bushels sold while collecting lots of option premium via being mainly an option seller. So his objective and goals are different then the producer who has more to market.
His strategies at times are that which one might look at if they where in the oversold position and wantted to try and correct.
Now back to the story;
With the markets all near recent highs/conract highs in many cases our character Neutral Nick found himself a little too short going into the report. But with us at new highs and nearly everyone everywhere very bullish he felt the need to make sure to us an option strategy that would help protect him on a big break.
Below you will see that he sold July puts to to purchase nearby puts, nearby put spreads, and even a few nearby calls. One should also note that all of these trades did add an net positive or collection amount.
Part of the reason for the purchase of some calls in a couple of the below commodities was to hedge against other short March calls that have a delta that could change much faster then the defered option sold.
A little over a month into his plan Nick has added a decent amount to his bottom line (based on closes) versus simply not doing anything . Plus he has a chance to be well in front of the game if we simply continue to trade in a range where Nick sells the outside boundar.
My projections still point to him being up over a million dollars if we stay in about a 2.50 cent range when the options expire.
On the downside even though overall he is ahead he is seeing plenty of margin calls and they are not exactly the best thing to help one's sleep at night.
| Long | # of | Option | Futures | Expiration | My Trade | Futures Price | Option Price | Notional | Position Equivalent | Profits (Losses) | |||||
| or Short | Contracts | Symbol | Reference | Date | Date | Price | Last | Last | Position (bu) | Delta | Delta (bu) | Gamma (bu) | Actual | With Over-Ride | Change |
| SHORT | 60.00 | WN1000C | WN1 | 24-Jun-2011 | 23-Dec-2010 | 49.250 | 932.500 | 66.625 | (300,000) | (0.44) | (130,920) | (496) | ($52,125) | ||
| SHORT | 25.00 | WN700P | WN1 | 24-Jun-2011 | 23-Dec-2010 | 37.875 | 932.500 | 7.375 | 125,000 | 0.07 | 9,340 | (87) | $38,125 | ||
| SHORT | 10.00 | WN900C | WN1 | 24-Jun-2011 | 23-Dec-2010 | 73.500 | 932.500 | 104.250 | (50,000) | (0.60) | (29,986) | (84) | ($15,375) | ||
| SHORT | 2.00 | WN850C | WN1 | 24-Jun-2011 | 23-Dec-2010 | 89.125 | 932.500 | 129.750 | (10,000) | (0.69) | (6,886) | (16) | ($4,063) | ||
| SHORT | 2.00 | WH770P | WH1 | 18-Feb-2011 | 5-Jan-2011 | 27.375 | 874.250 | 0.500 | 10,000 | 0.02 | 231 | (9) | $2,688 | ||
| SHORT | 3.00 | WH730C | WH1 | 18-Feb-2011 | 7-Jan-2011 | 68.125 | 874.250 | 144.500 | (15,000) | (0.94) | (14,025) | (2) | ($11,456) | ||
| SHORT | 2.00 | WN900C | WN1 | 24-Jun-2011 | 12-Jan-2011 | 66.625 | 932.500 | 104.250 | (10,000) | (0.60) | (5,997) | (17) | ($3,763) | ||
| SHORT | 20.00 | WH750P | WH1 | 18-Feb-2011 | 19-Jan-2011 | 13.875 | 874.250 | 0.250 | 100,000 | 0.01 | 1,179 | (50) | $13,625 | ||
| SHORT | 12.00 | WN800P | WN1 | 24-Jun-2011 | 21-Jan-2011 | 58.750 | 932.500 | 28.625 | 60,000 | 0.21 | 12,751 | (82) | $18,075 | ||
| SHORT | 30.00 | WN1100C | WN1 | 24-Jun-2011 | 26-Jan-2011 | 39.250 | 932.500 | 42.000 | (150,000) | (0.31) | (45,868) | (214) | ($4,125) | ||
| LONG | 30.00 | WH870C | WH1 | 18-Feb-2011 | 26-Jan-2011 | 25.000 | 874.250 | 22.375 | 150,000 | 0.54 | 81,668 | 1,168 | ($3,938) | ||
| SHORT | 10.00 | WN800P | WN1 | 24-Jun-2011 | 26-Jan-2011 | 42.500 | 932.500 | 28.625 | 50,000 | 0.21 | 10,626 | (68) | $6,938 | ||
| SHORT | 12.00 | WN1100C | WN1 | 24-Jun-2011 | 28-Jan-2011 | 31.675 | 932.500 | 42.000 | (60,000) | (0.31) | (18,347) | (86) | ($6,195) | ||
| LONG | 8.00 | WH870C | WH1 | 18-Feb-2011 | 2-Feb-2011 | 23.000 | 874.250 | 22.375 | 40,000 | 0.54 | 21,778 | 312 | ($250) | ||
| SHORT | 4.00 | WN850P | WN1 | 24-Jun-2011 | 2-Feb-2011 | 57.500 | 932.500 | 47.500 | 20,000 | 0.30 | 6,017 | (32) | $2,000 | ||
| LONG | 15.00 | WH850P | WH1 | 18-Feb-2011 | 8-Feb-2011 | 9.875 | 874.250 | 9.875 | (75,000) | (0.30) | (22,591) | 519 | $0 | ||
| SHORT | 12.00 | WN850P | WN1 | 24-Jun-2011 | 8-Feb-2011 | 47.500 | 932.500 | 47.500 | 60,000 | 0.30 | 18,051 | (95) | $0 | ||
| LONG | 5.00 | WH880C | WH1 | 18-Feb-2011 | 8-Feb-2011 | 17.750 | 874.250 | 17.750 | 25,000 | 0.47 | 11,668 | 194 | $0 | ||
| 262.00 | (30,000) | (0.08) | (101,310) | 853 | ($19,839) | ||||||||||
| SHORT | 5.00 | SH1300P | SH1 | 18-Feb-2011 | 29-Dec-2010 | 34.500 | 1434.250 | 0.625 | 25,000 | 0.02 | 575 | (19) | $8,469 | ||
| SHORT | 40.00 | SN1500C | SN1 | 24-Jun-2011 | 23-Dec-2010 | 82.500 | 1453.250 | 75.000 | (200,000) | (0.45) | (90,483) | (327) | $15,000 | ||
| SHORT | 50.00 | SN1200P | SN1 | 24-Jun-2011 | 23-Dec-2010 | 42.500 | 1453.250 | 9.750 | 250,000 | 0.09 | 22,364 | (182) | $81,875 | ||
| SHORT | 30.00 | SN1600C | SN1 | 24-Jun-2011 | 23-Dec-2010 | 62.000 | 1453.250 | 48.000 | (150,000) | (0.32) | (47,735) | (210) | $21,000 | ||
| SHORT | 2.00 | SH1450C | SH1 | 18-Feb-2011 | 5-Jan-2011 | 43.500 | 1434.250 | 14.500 | (10,000) | (0.39) | (3,918) | (72) | $2,900 | ||
| SHORT | 4.00 | SH1300C | SH1 | 18-Feb-2011 | 7-Jan-2011 | 93.875 | 1434.250 | 134.875 | (20,000) | (0.94) | (18,782) | (8) | ($8,200) | ||
| SHORT | 15.00 | SH1300P | SH1 | 18-Feb-2011 | 12-Jan-2011 | 13.125 | 1434.250 | 0.625 | 75,000 | 0.02 | 1,724 | (56) | $9,375 | ||
| SHORT | 5.00 | SH1360P | SH1 | 18-Feb-2011 | 12-Jan-2011 | 30.500 | 1434.250 | 2.250 | 25,000 | 0.09 | 2,135 | (68) | $7,063 | ||
| SHORT | 2.00 | SN1400P | SN1 | 24-Jun-2011 | 21-Jan-2011 | 88.875 | 1453.250 | 63.750 | 10,000 | 0.37 | 3,718 | (17) | $2,513 | ||
| SHORT | 25.00 | SN1500C | SN1 | 24-Jun-2011 | 26-Jan-2011 | 67.250 | 1453.250 | 75.000 | (125,000) | (0.45) | (56,552) | (205) | ($9,688) | ||
| SHORT | 15.00 | SN1300P | SN1 | 24-Jun-2011 | 26-Jan-2011 | 48.500 | 1453.250 | 26.750 | 75,000 | 0.20 | 15,276 | (97) | $16,313 | ||
| SHORT | 10.00 | SN1360P | SN1 | 24-Jun-2011 | 28-Jan-2011 | 67.250 | 1453.250 | 46.625 | 50,000 | 0.30 | 15,106 | (78) | $10,313 | ||
| LONG | 20.00 | SH1460C | SH1 | 18-Feb-2011 | 2-Feb-2011 | 20.750 | 1434.250 | 11.500 | 100,000 | 0.33 | 32,712 | 661 | ($9,250) | ||
| SHORT | 12.00 | SK1400P | SK1 | 21-Apr-2011 | 2-Feb-2011 | 42.500 | 1446.000 | 39.875 | 60,000 | 0.36 | 21,513 | (145) | $1,575 | ||
| LONG | 5.00 | SH1440P | SH1 | 18-Feb-2011 | 8-Feb-2011 | 24.000 | 1434.250 | 24.000 | (25,000) | (0.54) | (13,392) | 189 | $0 | ||
| SHORT | 6.00 | SN1400P | SN1 | 24-Jun-2011 | 8-Feb-2011 | 63.750 | 1453.250 | 63.750 | 30,000 | 0.37 | 11,154 | (50) | $0 | ||
| SHORT | 5.00 | SH1380P | SH1 | 18-Feb-2011 | 8-Feb-2011 | 4.125 | 1434.250 | 4.125 | 25,000 | 0.15 | 3,669 | (106) | $0 | ||
| 251.00 | 195,000 | (0.08) | (100,915) | (790) | $149,256 | ||||||||||
| SHORT | 6.00 | CH680C | CH1 | 18-Feb-2011 | 29-Dec-2010 | 20.000 | 673.750 | 11.125 | (30,000) | (0.44) | (13,182) | (338) | $2,663 | ||
| SHORT | 55.00 | CN800C | CN1 | 24-Jun-2011 | 23-Dec-2010 | 30.750 | 691.500 | 26.750 | (275,000) | (0.30) | (81,983) | (599) | $11,000 | ||
| SHORT | 30.00 | CN550P | CN1 | 24-Jun-2011 | 23-Dec-2010 | 37.250 | 691.500 | 9.000 | 150,000 | 0.12 | 17,287 | (199) | $42,375 | ||
| SHORT | 35.00 | CH700C | CH1 | 18-Feb-2011 | 23-Dec-2010 | 16.500 | 673.750 | 5.000 | (175,000) | (0.24) | (42,560) | (1,549) | $20,125 | ||
| SHORT | 2.00 | CH680C | CH1 | 18-Feb-2011 | 5-Jan-2011 | 18.500 | 673.750 | 11.125 | (10,000) | (0.44) | (4,394) | (113) | $738 | ||
| SHORT | 5.00 | CH660C | CH1 | 18-Feb-2011 | 7-Jan-2011 | 15.375 | 673.750 | 22.000 | (25,000) | (0.66) | (16,511) | (254) | ($1,656) | ||
| SHORT | 2.00 | CN500P | CN1 | 24-Jun-2011 | 7-Jan-2011 | 20.875 | 691.500 | 3.500 | 10,000 | 0.05 | 517 | (7) | $1,738 | ||
| SHORT | 22.00 | CN630P | CN1 | 24-Jun-2011 | 21-Jan-2011 | 47.875 | 691.500 | 31.000 | 110,000 | 0.29 | 32,133 | (251) | $18,563 | ||
| SHORT | 10.00 | CN800C | CN1 | 24-Jun-2011 | 26-Jan-2011 | 28.000 | 691.500 | 26.750 | (50,000) | (0.30) | (14,906) | (109) | $625 | ||
| SHORT | 27.00 | CN800C | CN1 | 24-Jun-2011 | 28-Jan-2011 | 24.000 | 691.500 | 26.750 | (135,000) | (0.30) | (40,246) | (294) | ($3,713) | ||
| LONG | 20.00 | CH700C | CH1 | 18-Feb-2011 | 2-Feb-2011 | 7.375 | 673.750 | 5.000 | 100,000 | 0.24 | 24,320 | 885 | ($2,375) | ||
| SHORT | 20.00 | CK650P | CK1 | 21-Apr-2011 | 2-Feb-2011 | 28.875 | 684.750 | 23.125 | 100,000 | 0.33 | 33,005 | (367) | $5,750 | ||
| LONG | 6.00 | CH660P | CH1 | 18-Feb-2011 | 8-Feb-2011 | 8.250 | 673.750 | 8.250 | (30,000) | (0.34) | (10,152) | 306 | $0 | ||
| SHORT | 5.00 | CN630P | CN1 | 24-Jun-2011 | 8-Feb-2011 | 31.000 | 691.500 | 31.000 | 25,000 | 0.29 | 7,303 | (57) | $0 | ||
| LONG | 4.00 | CH680C | CH1 | 18-Feb-2011 | 8-Feb-2011 | 11.125 | 673.750 | 11.125 | 20,000 | 0.44 | 8,788 | 225 | $0 | ||
| 249.00 | (215,000) | (0.08) | (100,580) | (2,720) | $95,831 | ||||||||||
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