Platinum versus Paladium – Time to Exit or roll the position?

Strategy Update – 8 May 2021

Original strategy initiated on 26 April 2021. The quick profit of USD 611 per lot (see below) warrants either an exit or position roll – decision soon.

Long Platinum versus Palladium Option Strategy

1.  Sell Palladium September 2021 (expires 18 August 2021) Put Option, strike 2,680. Settlement price on 7 May 2021 = 115.20. Delta = 25; Vega = 5.02; Theta = +0.69;  Implied Volality = 37.29%.

Futures reference = 2,930.20

2.  Buy Platinum January 2022 (expires 15 December 2021) Call Option, strike 1320.  Settlement price on 7 May 2021 = 104.30.  Delta =  47; Vega = 3.92; Theta = -0.28; Implied Volatility = 32.31%.

Futures reference = 1,261.30

Net premium to close trade = pay 10.90

Net premium at strategy inception = received 72.00

Net gain of 61.10 (USD 611 per 1 lot of option strategy entered)