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Tuesday, September 6, 2016

October SPX Lazy Elephant

Today I initiated an SPX Lazy Elephant position as follows:

Buy 10 SPX October 2005 Put (6.20 debit)
Sell 10 SPX October 2015 Put (6.85 credit)
Sell 10 SPX October 2255 Call (2.60 credit)
Buy 12 SPX October 2265 Call (1.75 debit)
Buy 1  SPY October 206 Put (1.10 debit)

Net Credit: $1040
Max Risk: around $8600 to the downside
Days to expiration: 44

(Click on image to enlarge)

SPX Chart for future reference:
(Click on image to enlarge)

Trade Update - September 9, 2016

Closed Call side of the elephant:

Bought to Close 10 SPX October 2255 Call @1.50 debit each
Original credit: 2.60.
Balance: +$1,100  (2.60-1.50) * 100 * 10 = $1,100

Sold to Close 12 SPX October 2265 Call @ 1.10 credit each
Original debit: 1.75.
Balance: -$780  (1.10-1.75) * 100 * 12 = -780

Combining both legs:  $1,100 - $780 = +$320
This is 64% of the maximum potential profit ($500) of the Call side of the Elephant. It was obtained in just 3 days. We are still 6 weeks away from expiration so, maybe there is a chance to reload these legs in the near future.

The Put side is still in place as well as the long SPY 206 Put hedge.

Trade Update - September 22, 2016
Closed the entire Put side of the Elephant.

This includes, closing the 2015/2005 Credit Put spread for 0.25 debit.
Original credit was 0.65, net profit is 0.40. Multiplied by 10 contracts per leg, that is a net gain of $400

At the same time, the long SPY 206 Put is closed for 0.52. Initially bought at 1.10 debit, this is a loss of 0.58, or $58 in dollar terms as it was only one contract.

Net-net, the Credit Put spread brought a gain ($400), the long SPY Put hedge brought a loss ($58), overall when combining both it is a gain of $342.

The Lazy Elephant position is now entirely closed. It was entered on September 6 and entirely closed by September 22. Total profits combining both Call and Put sides was $662 (320 + 342). On a max risk of $8600, it is a +7.7% return on Risk, in 16 days.


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