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 | | | | | | | | | |
using Beta Weighing on 'SPY' | | | | | | | | | |
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 | |
| | | | | | | | | |
/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 | |
| | | | | | | | | |
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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