The resulting position and the trades are posted below.
| Position Statement for D-11687156 (margin) on 12/31/15 12:39:17 | ||||||||
| using Beta Weighing on '/ES' | ||||||||
| Instrument | Qty | Days | Strike | Breakeven | Mark | Delta | Theta | Vega |
| Light Sweet Crude Oil Futures,Apr-2016,ETH | 2 | 81 | 45.41 | 39.69 | 45.77 | 0 | 0 | |
| 1/1000 FEB 16 /LOG6 43.5 PUT | -1 | 14 | 43.5 | 1.23 | 5.92 | 20.71 | 19.99 | -12.32 |
| 1/1000 APR 16 /LOJ6 43.5 CALL | -3 | 76 | 43.5 | 1.33 | 1.63 | -24.2 | 55.37 | -203.02 |
| 1/1000 FEB 16 /LOG6 24.5 PUT | 5 | 14 | 24.5 | 0.04 | 0.01 | -0.54 | -16.02 | 5.24 |
| 1/1000 APR 16 /LOJ6 37.5 PUT | -1 | 76 | 37.5 | 2.43 | 2.12 | 7.99 | 19.04 | -67.46 |
| 1/1000 APR 16 /LOJ6 41 PUT | -1 | 76 | 41 | 1.95 | 3.81 | 12.01 | 19.64 | -72.5 |
| 1/1000 APR 16 /LOJ6 38.5 CALL | -1 | 76 | 38.5 | 3.17 | 3.73 | -13.77 | 19.93 | -70.32 |
| 1/1000 APR 16 /LOJ6 43 CALL | 1 | 76 | 43 | 1.32 | 1.78 | 8.59 | -18.88 | 69.12 |
| E-mini S&P 500 Index Futures,Mar-2016,ETH | 0 | 78 | 2052.25 | 2052.25 | 0 | 0 | 0 | |
| 44 | 44 | |||||||
| 1/50 JAN 16 (EOM) /EWF6 2015 PUT | 1 | 29 | 2015 | -17.02 | -29.68 | 107.68 | ||
| 1/50 JAN 16 (EOM) /EWF6 2050 CALL | -1 | 29 | 2050 | -25.92 | 28.99 | -116.97 | ||
| 1/50 JAN 16 (EOM) /EWF6 2050 PUT | -1 | 29 | 2050 | 23.99 | 28.68 | -116.97 | ||
| 1/50 JAN 16 (EOM) /EWF6 2140 CALL | 1 | 29 | 2140 | 4.43 | -8.43 | 47.19 | ||
| Instrument | Delta | Theta | Vega | BP Effect | ||||
| /CL | 56.56 | 99.08 | -351.25 | -32860.00 | ||||
| /ES | -14.52 | 19.56 | -79.08 | -4411.00 | ||||
| Total | 42.04 | 118.64 | -430.33 | -37271 | ||||
Trades
| Exec Time | Spread | Side | Qty | Symbol | Exp | Strike | Type | Price | Net Price |
| 12/31/2015 12:33 | IRON CONDOR | SELL | -1 | /ESH6 1/50 JAN 16 (EOM) | /EWF6 | 2050 | CALL | 35.5 | 44.05 |
| BUY | 1 | /ESH6 1/50 JAN 16 (EOM) | /EWF6 | 2140 | CALL | 2.45 | CREDIT | ||
| SELL | -1 | /ESH6 1/50 JAN 16 (EOM) | /EWF6 | 2050 | PUT | 34 | |||
| BUY | 1 | /ESH6 1/50 JAN 16 (EOM) | /EWF6 | 2015 | PUT | 23 | |||
| 12/31/2015 11:50 | SINGLE | SELL | -1 | /CLJ6 1/1000 APR 16 | /LOJ6 | 43.5 | CALL | 1.51 | 1.51 |
| 12/31/2015 2:52 | SINGLE | SELL | -2 | /CLJ6 1/1000 APR 16 | /LOJ6 | 43.5 | CALL | 1.29 | 1.29 |
| 12/31/2015 2:48 | FUT CALENDAR | SELL | -2 | /CLG6 | 16-Feb | FUTURE | 36.7 | -1.96 | |
| BUY | 2 | /CLJ6 | 16-Apr | FUTURE | 38.66 | DEBIT | |||
| 12/30/2015 22:32 | VERTICAL | SELL | -1 | /CLJ6 1/1000 APR 16 | /LOJ6 | 41 | CALL | 2.05 | 0.63 |
| BUY | 1 | /CLJ6 1/1000 APR 16 | /LOJ6 | 43 | CALL | 1.42 | CREDIT | ||
| 12/30/2015 22:31 | SINGLE | SELL | -1 | /CLJ6 1/1000 APR 16 | /LOJ6 | 41 | PUT | 4.36 | 4.36 |
| 12/30/2015 22:31 | SINGLE | BUY | 1 | /CLG6 1/1000 FEB 16 | /LOG6 | 41 | PUT | 4.49 | 4.49 |
| 12/30/2015 22:10 | VERTICAL | SELL | -1 | /CLJ6 1/1000 APR 16 | /LOJ6 | 38.5 | CALL | 3.17 | 1.09 |
| BUY | 1 | /CLJ6 1/1000 APR 16 | /LOJ6 | 41 | CALL | 2.08 | CREDIT |
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