| using Beta Weighing on 'SPY' | |||||||||
| Instrument | Qty | Days | Strike | Break Mark | Delta | Theta | Vega | BP Effect | |
| /CL | 46.32 | 24.1 | -71.2 | ($2,579.00) | |||||
| Light Sweet Crude Oil Futures,Dec-2016,ETH | 0 | 62 | 0 | 44.12 | 0 | 0 | 0 | ||
| Light Sweet Crude Oil Futures,Jan-2017,ETH | 0 | 91 | 0 | 44.79 | 0 | 0 | 0 | ||
| 1/1000 DEC 16 /LOZ6 37.5 PUT | -1 | 57 | 37.5 | 0.51 | 0.7 | 32.23 | 16.13 | -42.26 | |
| 1/1000 JAN 17 /LOF7 32.5 PUT | -1 | 86 | 32.5 | 0.33 | 0.35 | 14.09 | 7.97 | -28.94 | |
| /ES | -101.57 | 12.4 | -102.09 | ($3,687.50) | |||||
| E-mini S&P 500 Index Futures,Dec-2016,ETH | 0 | 87 | 0 | 2136.25 | 0 | 0 | 0 | ||
| 1/50 OCT 16 (EOM) /EWV6 2200 CALL | -1 | 41 | 2200 | 9 | 8.25 | -101.57 | 12.4 | -102.09 |
Tuesday, September 20, 2016
Position Statement on 9/20/16
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