Neutral Nick updated his position today to stay in line with his goal of being short delta equivalant of 100,000 bushels of his three major crops.
With the volatile markets Nick is now in the position of short about 20,000 bushels extra wheat so to square this position up Neutral Nick decided to
Sell 20 of the 7.50 MARCH CBOT Wheat puts and buy 5 of the Feb 7.80 puts; this adjusted his delta equivalant bushels back to about 101,000 bushels short; right in line.
Why buy the 7.80 puts if he already has too much sold if they expire in two days? Call it a gut feeling or calll it the speculator in him; plus the gamma of options near the money and expiring soon is much higher then those expiring later; so it acts like a hedge against big position outlook
As for corn and beans Neutral Nick is within a couple thousand bushels so he is electing to do nothing for those commodities today; but he does own some corn calls that are in the money and expire on Friday so he will need to decide how he is going to go about those positions and really should have already done something.
Overall his concept is working ok for all of the grains as they are all near highs and yet he is up about 15-20k for each of the three grains.
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