What If?

This spreadsheet shows again the trades opening all the positions:



The following spreadsheets show the mark to market value (as a negative cost) and the performance of each position and of the entire portfolio at the end of each trading day of the week if I had done nothing:







I also show the theoretical value, the delta and the vega for each contract.

Clearly, the only way to make money from this portfolio was to close it intraday on Monday. The loss at the end of the week is larger than the one that I actually had.


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