THE “GAP” HAS STARTED ITS FIRST CLOSING ATTEMPT!
Update on Option Structure initiated on 2 June 2020
5 June 2020
OIL POST NUMBER 3(a)
– – – UPDATE ON: Strategy (using ICE Brent Options):
1. Sell 1x September 30 Put (expiry: 28 July 2020); and
2. Buy 1x December 55 Call (expiry: 27 October 2020),
Net premium = Zero; net theta = positive 4.0; net vega = positive 2.6.
Futures Reference at the time of trade entry:
September = 39.31
December = 40.03
Market is now closed for the weekend with Spot Brent closing at or around 42 dollars/barrel. Update on closing prices on both options will be provided in Oil Post Number 3(b). Suffice to say that this structure is now positive net premium. the arrival of the weekend bodes well for our positive time decay position. More later …
Next post: long-term positioning and goals.