Position Statement for D-11687156 (margin) on 1/14/16 17:19:38 | ||||||||
Group "iron condor" | ||||||||
Instrument | Qty | Days | Strike | Break | Mark | Delta | Theta | Vega |
/CL | 266.67 | 20.65 | -31.21 | |||||
2.4 | 2.68 | |||||||
1/1000 APR 16 /LOJ6 24 PUT | 1 | 62 | 24 | 0.25 | 0.4 | -87.78 | -11.13 | 22 |
1/1000 APR 16 /LOJ6 32.5 PUT | -1 | 62 | 32.5 | 1.87 | 3.32 | 413.97 | 28.4 | -53.63 |
1/1000 APR 16 /LOJ6 34 CALL | -1 | 62 | 34 | 3.78 | 4.65 | -550.3 | 39.63 | -54.52 |
1/1000 APR 16 /LOJ6 35.5 CALL | 1 | 62 | 35.5 | 3 | 3.62 | 490.73 | -36.25 | 54.94 |
Group "CL covered call" | ||||||||
Instrument | Qty | Days | Strike | Break | Mark | Delta | Theta | Vega |
/CL | 2148 | 59.64 | -96.57 | |||||
Light Sweet Crude Oil Futures,Apr-2016,ETH | 2 | 67 | 45.41 | 33.17 | 2000 | 0 | 0 | |
1/1000 APR 16 /LOJ6 45 CALL | -2 | 62 | 45 | 0.31 | 0.38 | -225.9 | 23.24 | -52.79 |
Light Sweet Crude Oil Futures,Apr-2016,ETH | 1 | 67 | 33.15 | 33.17 | 1000 | 0 | 0 | |
1/1000 APR 16 /LOJ6 32.5 CALL | -1 | 62 | 32.5 | 3.14 | 5.68 | -601.3 | 41.8 | -53.18 |
1/1000 APR 16 /LOJ6 17 PUT | 3 | 62 | 17 | 0.04 | 0.03 | -24.89 | -5.4 | 9.4 |
Group "big_lizard_cl" | ||||||||
Instrument | Qty | Days | Strike | Break | Mark | Delta | Theta | Vega |
/CL | 866.23 | 102.44 | -118.88 | |||||
2.85 | 6.35 | |||||||
1/1000 APR 16 /LOJ6 17 PUT | 1 | 62 | 17 | 0.04 | 0.03 | -8.3 | -1.8 | 3.13 |
1/1000 APR 16 /LOJ6 37.5 PUT | -1 | 62 | 37.5 | 3.08 | 8.16 | 531.18 | 42.41 | -54.29 |
1/1000 APR 16 /LOJ6 37.5 CALL | -1 | 62 | 37.5 | 1.2 | 2.24 | -389.6 | 29.16 | -52.84 |
1/1000 APR 16 /LOJ6 40 CALL | 1 | 62 | 40 | 0.74 | 0.79 | 217.95 | -16.42 | 40.57 |
2.15 | 9.45 | |||||||
1/1000 APR 16 /LOJ6 17 PUT | 1 | 62 | 17 | 0.04 | 0.03 | -8.3 | -1.8 | 3.13 |
1/1000 APR 16 /LOJ6 41 PUT | -1 | 62 | 41 | 4.36 | 11.66 | 565.07 | 49.21 | -53.12 |
1/1000 APR 16 /LOJ6 41 CALL | -1 | 62 | 41 | 0.63 | 0.69 | -192.4 | 15.62 | -37.67 |
1/1000 APR 16 /LOJ6 43 CALL | 1 | 62 | 43 | 0.43 | 0.53 | 150.57 | -13.94 | 32.2 |
Delta | Theta | Vega | ||||||
266.7 | 20.65 | -31.21 | ||||||
2148 | 59.64 | -96.57 | ||||||
866.2 | 102.44 | -118.9 | ||||||
total: | 3281 | 182.73 | -246.7 |
Thursday, January 14, 2016
Eight Points to Margin Call
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