New Portfolio Open for Business

The following spreadsheet shows the trades that opened the positions of this week delta neutral portfolio:



I made a few changes to the spreadsheet. The columns are commission paid per contract, date of the transaction, security ticker, strike price of the contract, theoretical price of the contract per share of the underlying security, actual price (of the transaction or marked to market), implied volatility of the underlying security, delta of the contract, gamma of the contract, vega of the contract, number of contracts, action (1 means buy, -1 means sell or mark to market), cost of the transaction (a negative value represents the proceeding of a sale or the mark to market value of the position), total delta of the position, total gamma of the position, total vega of the position.

The following spreadsheet shows the portfolio marked to market at the end of yesterday trading:




Categories: stock options, volatility, delta neutral
Technorati Tags: stock options, volatility, delta neutral