Yesterday I shared Neutral Nick's updates as March Options expired.
Today we have some info on projections and his trades he added to get him back to 100,000 bushels delta equavilant of grain hedged or sold.
Based on his current positions if left alone (which won't happen as he will adjust to keep at 100,000 bushels sold based on delta bushels) his projected profit on his positions is shown in this chart. This combines all three grains.
Here are the numbers that make up the above chart.
Last here is the list of open positions with the latest trades highlighted.
The one thing that Nick noticed as March went off the board was the fact that long options that he purchased recently really hurt. I.E. the 8.70 wheat calls where his biggest loser and those where ones he was long. Going forward he is going to try and remember that if he purchases an option he has to be right about direction (as well as amount of direction) mvand timing of price move. If he sells them and they are out of the money he can be right or have a winner if prices go up, down, or sideways.
Today we have some info on projections and his trades he added to get him back to 100,000 bushels delta equavilant of grain hedged or sold.
Based on his current positions if left alone (which won't happen as he will adjust to keep at 100,000 bushels sold based on delta bushels) his projected profit on his positions is shown in this chart. This combines all three grains.
Here are the numbers that make up the above chart.
| Change in Futures | Profit Loss at option Expire |
| -150.0 | $558,086 |
| -145.0 | $619,086 |
| -140.0 | $680,086 |
| -135.0 | $741,086 |
| -130.0 | $802,086 |
| -125.0 | $863,086 |
| -120.0 | $924,086 |
| -115.0 | $985,086 |
| -110.0 | $1,046,086 |
| -105.0 | $1,107,086 |
| -100.0 | $1,168,086 |
| -95.0 | $1,229,086 |
| -90.0 | $1,284,011 |
| -85.0 | $1,333,661 |
| -80.0 | $1,376,161 |
| -75.0 | $1,418,661 |
| -70.0 | $1,460,661 |
| -65.0 | $1,493,161 |
| -60.0 | $1,525,661 |
| -55.0 | $1,558,161 |
| -50.0 | $1,590,661 |
| -45.0 | $1,623,161 |
| -40.0 | $1,654,161 |
| -35.0 | $1,677,261 |
| -30.0 | $1,692,761 |
| -25.0 | $1,706,261 |
| -20.0 | $1,719,261 |
| -15.0 | $1,732,261 |
| -10.0 | $1,745,261 |
| -5.0 | $1,758,261 |
| 0 | $1,768,111 |
| +5.0 | $1,777,611 |
| +10.0 | $1,787,111 |
| +15.0 | $1,794,411 |
| +20.0 | $1,797,311 |
| +25.0 | $1,793,811 |
| +30.0 | $1,789,799 |
| +35.0 | $1,776,049 |
| +40.0 | $1,762,299 |
| +45.0 | $1,748,549 |
| +50.0 | $1,734,799 |
| +55.0 | $1,721,049 |
| +60.0 | $1,707,299 |
| +65.0 | $1,693,549 |
| +70.0 | $1,679,799 |
| +75.0 | $1,666,049 |
| +80.0 | $1,631,599 |
| +85.0 | $1,594,849 |
| +90.0 | $1,558,099 |
| +95.0 | $1,521,349 |
| +100.0 | $1,484,599 |
| +105.0 | $1,447,849 |
| +110.0 | $1,411,099 |
| +115.0 | $1,354,899 |
| +120.0 | $1,278,649 |
| +125.0 | $1,202,399 |
| +130.0 | $1,116,024 |
| +135.0 | $1,028,524 |
| +140.0 | $941,024 |
| +145.0 | $853,524 |
| +150.0 | $766,024 |
Here is a summary of the greeks with the carryover gains/losses
| Position Summary | ||||||
| Saved: February 19 2011 2:31 PM | ||||||
| neautral nick 2-18-11 | ||||||
| Instruments | Position Equivalent Greeks | Profits (Losses) | ||||
| Delta (bu) | Gamma (bu) | Theta / Day | Vega | Actual | ||
| Futures | 0 | n/a | n/a | n/a | $0 | |
| American Options | (301,457) | (7,846) | $11,631 | ($78,393) | $295,055 | |
| Barrier Options | 0 | 0 | $0 | $0 | $0 | |
| Average-Rate Options | 0 | 0 | $0 | $0 | $0 | |
| OPEN POSITION TOTAL | (301,457) | (7,846) | $11,631 | ($78,393) | $295,055 | |
| Carry Forward Profit/Loss | ($45,838) | |||||
| OVERALL TOTAL | (301,457) | (7,846) | $11,631 | ($78,393) | $249,217 | |
Last here is the list of open positions with the latest trades highlighted.
The one thing that Nick noticed as March went off the board was the fact that long options that he purchased recently really hurt. I.E. the 8.70 wheat calls where his biggest loser and those where ones he was long. Going forward he is going to try and remember that if he purchases an option he has to be right about direction (as well as amount of direction) mvand timing of price move. If he sells them and they are out of the money he can be right or have a winner if prices go up, down, or sideways.
| Long | # of | Option | My Trade | Option Price | Position Equivalent | Profits (Losses) | |||||
| or Short | Contracts | Symbol | Date | Price | Last | Delta | Delta (bu) | Gamma (bu) | Theta / Day | Vega | Actual |
| SHORT | 20.00 | CK650P | 2-Feb-2011 | 28.875 | 14.500 | 0.22 | 22,016 | (277) | $257 | ($876) | $14,375 |
| SHORT | 20.00 | CK650P | 15-Feb-2011 | 20.250 | 14.500 | 0.22 | 22,016 | (277) | $257 | ($876) | $5,750 |
| SHORT | 5.00 | CK700P | 14-Feb-2011 | 36.500 | 32.000 | 0.39 | 9,816 | (91) | $83 | ($282) | $1,125 |
| SHORT | 41.00 | CK750C | 15-Feb-2011 | 24.625 | 30.250 | (0.42) | (86,095) | (744) | $701 | ($2,353) | ($11,531) |
| SHORT | 2.00 | CN500P | 7-Jan-2011 | 20.875 | 2.625 | 0.04 | 374 | (5) | $5 | ($36) | $1,825 |
| SHORT | 30.00 | CN550P | 23-Dec-2010 | 37.250 | 6.375 | 0.08 | 12,283 | (144) | $140 | ($981) | $46,313 |
| SHORT | 22.00 | CN630P | 21-Jan-2011 | 47.875 | 22.250 | 0.22 | 24,439 | (209) | $201 | ($1,390) | $28,188 |
| SHORT | 5.00 | CN630P | 8-Feb-2011 | 31.000 | 22.250 | 0.22 | 5,554 | (48) | $46 | ($316) | $2,188 |
| SHORT | 55.00 | CN800C | 23-Dec-2010 | 30.750 | 37.000 | (0.37) | (101,522) | (630) | $669 | ($4,381) | ($17,188) |
| SHORT | 10.00 | CN800C | 26-Jan-2011 | 28.000 | 37.000 | (0.37) | (18,459) | (115) | $122 | ($796) | ($4,500) |
| SHORT | 27.00 | CN800C | 28-Jan-2011 | 24.000 | 37.000 | (0.37) | (49,838) | (309) | $329 | ($2,151) | ($17,550) |
| SHORT | 45.00 | CN850C | 19-Feb-2011 | 25.375 | 25.375 | (0.28) | (62,320) | (453) | $493 | ($3,197) | $0 |
| SHORT | 15.00 | CK700P | 19-Feb-2011 | 32.000 | 32.000 | 0.39 | 29,448 | (272) | $248 | ($846) | $0 |
| SHORT | 14.00 | CN720P | 19-Feb-2011 | 60.875 | 60.875 | 0.44 | 30,864 | (171) | $173 | ($1,161) | $0 |
| LONG | 20.00 | CK700C | 19-Feb-2011 | 52.500 | 52.250 | 0.60 | 60,270 | 361 | ($330) | $1,128 | ($250) |
| 331.00 | (0.06) | (101,153) | (3,382) | $3,395 | ($18,515) | $48,744 | |||||
| SHORT | 20.00 | SK1400C | 15-Feb-2011 | 44.875 | 47.125 | (0.46) | (46,459) | (282) | $453 | ($2,235) | ($2,250) |
| SHORT | 12.00 | SK1400P | 2-Feb-2011 | 42.500 | 66.125 | 0.53 | 31,855 | (169) | $272 | ($1,341) | ($14,175) |
| SHORT | 50.00 | SN1200P | 23-Dec-2010 | 42.500 | 18.000 | 0.15 | 37,701 | (272) | $495 | ($4,818) | $61,250 |
| SHORT | 15.00 | SN1300P | 26-Jan-2011 | 48.500 | 43.750 | 0.30 | 22,579 | (124) | $216 | ($2,119) | $3,563 |
| SHORT | 10.00 | SN1360P | 28-Jan-2011 | 67.250 | 69.375 | 0.41 | 20,576 | (91) | $162 | ($1,570) | ($1,063) |
| SHORT | 2.00 | SN1400P | 21-Jan-2011 | 88.875 | 91.125 | 0.49 | 4,852 | (18) | $34 | ($321) | ($225) |
| SHORT | 6.00 | SN1400P | 8-Feb-2011 | 63.750 | 91.125 | 0.49 | 14,555 | (55) | $101 | ($963) | ($8,213) |
| SHORT | 40.00 | SN1500C | 23-Dec-2010 | 82.500 | 48.750 | (0.35) | (69,327) | (322) | $664 | ($5,986) | $67,500 |
| SHORT | 25.00 | SN1500C | 26-Jan-2011 | 67.250 | 48.750 | (0.35) | (43,330) | (201) | $415 | ($3,741) | $23,125 |
| SHORT | 8.00 | SN1500C | 14-Feb-2011 | 56.625 | 48.750 | (0.35) | (13,865) | (64) | $133 | ($1,197) | $3,150 |
| SHORT | 4.00 | SN1500C | 15-Feb-2011 | 47.000 | 48.750 | (0.35) | (6,933) | (32) | $66 | ($599) | ($350) |
| SHORT | 30.00 | SN1600C | 23-Dec-2010 | 62.000 | 31.000 | (0.24) | (35,251) | (188) | $446 | ($3,769) | $46,500 |
| SHORT | 40.00 | SN1600C | 15-Feb-2011 | 28.250 | 31.000 | (0.24) | (47,002) | (251) | $594 | ($5,025) | ($5,500) |
| SHORT | 30.00 | SK1340P | 19-Feb-2011 | 36.375 | 36.375 | 0.36 | 54,246 | (403) | $637 | ($3,169) | $0 |
| SHORT | 30.00 | SN1700C | 19-Feb-2011 | 20.750 | 20.750 | (0.16) | (24,388) | (141) | $382 | ($3,039) | $0 |
| 322.00 | (0.06) | (100,191) | (2,613) | $5,070 | ($39,893) | $173,313 | |||||
| SHORT | 25.00 | WN700P | 23-Dec-2010 | 37.875 | 10.000 | 0.10 | 13,103 | (124) | $164 | ($1,195) | $34,844 |
| SHORT | 12.00 | WN800P | 21-Jan-2011 | 58.750 | 38.125 | 0.28 | 16,809 | (103) | $155 | ($1,045) | $12,375 |
| SHORT | 10.00 | WN800P | 26-Jan-2011 | 42.500 | 38.125 | 0.28 | 14,008 | (86) | $129 | ($871) | $2,188 |
| SHORT | 2.00 | WN850C | 23-Dec-2010 | 89.125 | 96.875 | (0.61) | (6,110) | (19) | $30 | ($196) | ($775) |
| SHORT | 4.00 | WN850P | 2-Feb-2011 | 57.500 | 61.000 | 0.38 | 7,602 | (38) | $60 | ($392) | ($700) |
| SHORT | 12.00 | WN850P | 8-Feb-2011 | 47.500 | 61.000 | 0.38 | 22,805 | (113) | $180 | ($1,177) | ($8,100) |
| SHORT | 5.00 | WN850P | 14-Feb-2011 | 45.625 | 61.000 | 0.38 | 9,502 | (47) | $75 | ($490) | ($3,844) |
| SHORT | 15.00 | WN850P | 15-Feb-2011 | 56.375 | 61.000 | 0.38 | 28,506 | (141) | $225 | ($1,471) | ($3,469) |
| SHORT | 10.00 | WN900C | 23-Dec-2010 | 73.500 | 75.375 | (0.52) | (25,755) | (96) | $161 | ($1,023) | ($938) |
| SHORT | 2.00 | WN900C | 12-Jan-2011 | 66.625 | 75.375 | (0.52) | (5,151) | (19) | $32 | ($205) | ($875) |
| SHORT | 60.00 | WN1000C | 23-Dec-2010 | 49.250 | 44.750 | (0.35) | (104,973) | (514) | $942 | ($5,742) | $13,500 |
| SHORT | 6.00 | WN1000C | 14-Feb-2011 | 63.125 | 44.750 | (0.35) | (10,497) | (51) | $94 | ($574) | $5,513 |
| SHORT | 30.00 | WN1100C | 26-Jan-2011 | 39.250 | 26.000 | (0.23) | (34,090) | (204) | $396 | ($2,356) | $19,875 |
| SHORT | 12.00 | WN1100C | 28-Jan-2011 | 31.675 | 26.000 | (0.23) | (13,636) | (82) | $158 | ($942) | $3,405 |
| SHORT | 15.00 | WN1000C | 19-Feb-2011 | 44.750 | 44.750 | (0.35) | (26,243) | (128) | $236 | ($1,435) | $0 |
| SHORT | 10.00 | WN800P | 19-Feb-2011 | 38.125 | 38.125 | 0.28 | 14,008 | (86) | $129 | ($871) | $0 |
| 230.00 | (0.09) | (100,113) | (1,851) | $3,166 | ($19,985) | $72,999 | |||||
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