It's been a stinky few days for the Feature Calendar we are tracking this month. Interestingly, implied volatility has stabilized quite a bit, but the price movement has been horrendous. Tonight I have two pictures to provide an update as to where we are. This first P&L graph shows the current position as it stands alone. As you can see, we are just a few dollars from the upper strike of 570. This is the next adjustment point. If we hit 570 I will move the lower strike calendars from 520 up to (probably) around 600. I will model at the time, but that's probably within a strike.
The first picture doesn't tell the whole story however. You might remember that I've already had to make one adjustment. Originally this started out as a triple calendar with strikes at 490/520/550. On July 28 I removed the 490's and added the current 570 strike which is now the upper end. Naturally we took a loss on the 490 strikes (bought for 7.00 and sold for 4.75), so this picture shows the P&L including that first trade. It's not super pretty as it sits, but it can absolutely be salvaged if the price movement will calm down, even just a little. This is where it gets fun!Good Trading...
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