Option expiration day

Covered all ES Nov 1000 Put at $6.25.

another position

bought 1/-2 calendar es nov/oct 1000/1000 Put at $6.25

new position using ES at 9/15/2009

bought 1/-2 calendar es nov/oct 1000/980 Put at $8.25.

Option settlement

Settlement price is above 975, so the loss is $280.

Gap risk

Covered the call side of the straddle at $18.50 to eliminate a potential gap-up risk.

Total debit to this position = $1530 - 1850 = $280.

It means a loss of $280 if the settlement price is above 975.

straddle

SOLD -1 STRADDLE SPX 100 (Weeklys) JUL5 09 975 CALL/PUT @15.30 CBOE

July 22, 2009

As I got no feedback from my blog readers, i am going to stop posting my trades in this blog.

I will continue to post the adjustment of the current position until they are all expired or closed out.