With the volatile markets our character Neutral Nick added some positions today to keep him self at the delta position equal to about 100,000 bushels sold.
He added the following trades
Sold 4 CBOT July 850 Wheat Puts
Purchase 8 CBOT March 870 Wheat Calls
Sold 12 May 1400 Soybean Puts
Purchase 20 March 1460 Soybean Calls
Sold 20 May 650 Corn Puts
Purchase 20 March 7.00 Corn Calls
Overall Nick hates to spend money; but he thought the breakout to new contract highs (which has been happening almost daily) deserved a little extra consideration; so he went with strategies that should help him if we simply continue to rally and rally fast; as the long call options that he purchased have a gamma that will move quickly if those strikes move into the money with just a few weeks left; this should help off set some of his other sold call options on a continued sharp increase on the board.
The other reason he chose the above was the fact the he place all of the above trades at a net credit even though he was able to buy call options closer to the money with a higher gamma then the ones he sold.
A drawback that he needs to watchout for as we go forward will be what happens if we trade sideways for the next couple of weeks; will he end up having his sold puts turn into big losers if we see a sharp break?
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