At the moment Bond Position is a problem kid. Let us sell more premium in /ZB and hedge it using /ES Call spread.
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Exec Time |
Spread |
Side |
Qty |
Pos Effect |
Symbol |
Exp |
Strike |
Type |
Price |
Net Price |
6/27/2016 13:04 |
VERTICAL |
SELL |
-3 |
TO OPEN |
/ESU6 1/50 JUL 16 (Wk4) |
/EW4N6 |
1985 |
CALL |
48.75 |
6.5 |
|
|
BUY |
3 |
TO OPEN |
/ESU6 1/50 JUL 16 (Wk4) |
/EW4N6 |
1995 |
CALL |
42.25 |
CREDIT |
6/27/2016 13:00 |
SINGLE |
SELL |
-1 |
TO OPEN |
/ZBU6 1/1000 AUG 16 |
/OZBQ6 |
178 |
CALL |
1''00 |
1''00 |
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Position Statement
on 6/27/16 14:04:10 |
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using Beta Weighing on 'SPY' |
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Instrument |
Qty |
Days |
Strike |
Trade Price |
Mark |
Delta |
Theta |
Vega |
BP Effect |
/ES |
|
|
|
|
|
-56.18 |
3.84 |
0.57 |
($1,456.50) |
E-mini S&P 500 Index
Futures,Sep-2016,ETH |
0 |
81 |
|
0 |
1989 |
0 |
0 |
0 |
|
1/50 JUL 16 (Wk4) /EW4N6 1985 CALL |
-3 |
25 |
1985 |
48.75 |
45.75 |
-790.36 |
125.94 |
-316.41 |
|
1/50 JUL 16 (Wk4) /EW4N6 1995 CALL |
3 |
25 |
1995 |
42.25 |
39.5 |
734.17 |
-122.1 |
316.98 |
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/ZB |
|
|
|
|
|
199.27 |
83.54 |
-328.79 |
($10,424.13) |
30-Year U.S. Treasury Bond
Futures,Sep-2016,ETH |
0 |
86 |
|
0'00 |
173'10 |
0 |
0 |
0 |
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1/1000 AUG 16 /OZBQ6 170 PUT |
1 |
25 |
170 |
2''42 |
0''58 |
61.25 |
-34.07 |
151.54 |
|
1/1000 AUG 16 /OZBQ6 171 CALL |
-1 |
25 |
171 |
2''23 |
3''34 |
156.86 |
38.84 |
-166.08 |
|
1/1000 AUG 16 /OZBQ6 171 PUT |
-1 |
25 |
171 |
3''15 |
1''16 |
-76.53 |
38.28 |
-167.67 |
|
1/1000 AUG 16 /OZBQ6 178 CALL |
-1 |
25 |
178 |
1''00 |
0''61 |
57.69 |
40.49 |
-146.59 |
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