STRANGLE REPORT

March 23, 2010 in Ideas & Strategies

BELOW IS A FULLY EXPANDED REPORT OF ALL OF TODAY’S VIRTUAL STRANGLES

1. EXPLORING STRANGLES ON BIG PLAYERS. BIG THETA BUT REQUIRE LARGE CHUNKS OF MARGIN TO ENTER

    AAPL
    BIDU
    GOOG

2. EXPLORING STRANGLES ON REVERSE ETFS. NOT SURE HOW THIS WILL PLAY OUT.

    FAZ
    TZA
    DUG

3. PREFERRED LIST RIGHT NOW: HIGH THETA TO MARGIN REQUIRED

    POT
    FSLR
    X
    FAS
    IOC

4. ADDITIONAL EXIT CONSIDERATION – DELTA DIFFERENTIAL. YOU WANT TIME TO PASS AS LONG AS POSSIBLE WITH DELTAS CLOSE TO EACH OTHER (WITH YOUR DELTA DIFFERENTIAL CLOSE TO ZERO + OR -). IF TIME HAS PASSED WITH THIS BEING THE CASE THEN THETA HAS BEEN COLLECTED. IF YOUR DELTA DIFFERENTIAL BEGINS TO INCREASE YOU MAY WANT TO EXIT WITH THE PROFIT THAT IS ON THE TABLE AND RECENTER ON BALANCED DELTAS.

5. SOMETHING TO CONSIDER IN THE FUTURE IS ENTERING IN THE PM EXITING IN THE AM

6. SOME EXITS THAT WERE MADE FROM YESTERDAY TO TODAY:

AKS – SELL .83 BUY .77

CLF – SOLD .48 BOUGHT 1.15

FCX – SELL .44 BUY .47

MOS – SELL .42 BUY .30

RIMM – SELL .70 BUY .61

XME – SELL .60 BUY .62

7. HIGH THETAS TO CONSIDER – CLF FCX RIMM

8. FSLR DELTA DIFFERENTIAL HAS GROWN AND SHOULD BE EXITED TOMORROW.

Equities and Equity Options
Instrument Qty Days Mark Delta Theta P/L Open BP Effect
AAPL 1.76 12.44 $12.00 ($2,915.60)
Apple Inc. 0 228.28 .00 .00 $0.00
100 APR 10 210 PUT -1 24 1.025 12.03 6.73 $7.50
100 APR 10 250 CALL -1 24 .755 -10.27 5.71 $4.50
AKS -1.15 1.49 ($7.50) ($319.20)
AK Steel Holding Corp. 0 23.17 .00 .00 $0.00
100 JUN 10 17 PUT 0 87 .35 .00 .00 $0.00
100 JUN 10 18 PUT -1 87 .50 14.05 .79 ($5.00)
100 JUN 10 30 CALL -1 87 .375 -15.20 .70 ($2.50)
BIDU .48 46.28 $22.50 ($6,617.40)
Baidu, Inc. – ADS 0 593.99 .00 .00 $0.00
100 APR 10 530 PUT -1 24 3.70 11.96 24.05 $10.00
100 APR 10 670 CALL -1 24 3.075 -11.49 22.23 $12.50
CAT .00 .00 $0.00 $0.00
Caterpillar Inc. 0 62.41 .00 .00 $0.00
100 APR 10 52.5 CALL 0 24 10.00 .00 .00 $0.00
100 APR 10 55 CALL 0 24 7.60 .00 .00 $0.00
100 APR 10 57.5 CALL 0 24 5.30 .00 .00 $0.00
CLF -1.16 7.73 ($5.00) ($817.20)
Cliffs Natural Resources, Inc. 0 69.72 .00 .00 $0.00
100 APR 10 50 PUT 0 24 .10 .00 .00 $0.00
100 APR 10 60 PUT -1 24 .65 12.63 4.05 $5.00
100 APR 10 75 CALL 0 24 1.45 .00 .00 $0.00
100 APR 10 80 CALL -1 24 .55 -13.79 3.68 ($10.00)
DIG -4.98 3.04 ($5.00) ($440.80)
ProShares Ultra Oil & Gas 0 34.09 .00 .00 $0.00
100 APR 10 30 PUT -1 24 .25 12.21 1.60 $0.00
100 APR 10 37 CALL -1 24 .25 -17.19 1.44 ($5.00)
DUG -2.47 .89 ($2.50) ($226.30)
ProShares UltraShort Oil & Gas 0 12.38 .00 .00 $0.00
100 JUL 10 11 PUT -1 115 .50 26.09 .39 $0.00
100 JUL 10 15 CALL -1 115 .525 -28.56 .50 ($2.50)
FAS -3.20 8.61 $51.50 ($1,061.80)
Direxion Daily Financial Bull 3X Shares 0 95.43 .00 .00 $0.00
100 APR 10 73 PUT -1 24 .59 6.78 4.84 $61.00
100 APR 10 111 CALL -1 24 .485 -9.98 3.78 ($9.50)
FAZ 2.49 2.06 $0.50 ($168.20)
Direxion Daily Financial Bear 3X Shares 0 13.67 .00 .00 $0.00
100 APR 10 12 PUT -1 24 .15 14.84 .85 ($2.00)
100 APR 10 18 CALL -1 24 .165 -12.35 1.21 $2.50
FCX -2.57 5.14 ($3.00) ($876.90)
Freeport-McMoRan Copper & Gold Inc. 0 80.99 .00 .00 $0.00
100 APR 10 65 PUT 0 24 .165 .00 .00 $0.00
100 APR 10 70 PUT -1 24 .34 8.13 2.68 $3.00
100 APR 10 90 CALL -1 24 .33 -10.70 2.46 ($6.00)
FSLR -15.94 10.72 $11.00 ($1,634.80)
First Solar, Inc. 0 111.99 .00 .00 $0.00
100 APR 10 95 PUT -1 24 .55 8.24 4.25 $26.00
100 APR 10 120 CALL -1 24 1.41 -24.18 6.47 ($15.00)
GOOG -2.20 36.90 $2.50 ($6,658.50)
Google Inc. 0 548.80 .00 .00 $0.00
100 APR 10 500 PUT -1 24 2.65 11.73 17.56 $15.00
100 APR 10 600 CALL -1 24 2.975 -13.92 19.34 ($12.50)
IOC -.03 10.13 $5.00 ($866.70)
InterOil Corp. 0 68.67 .00 .00 $0.00
100 APR 10 60 PUT -1 24 .975 16.54 5.13 $7.50
100 APR 10 80 CALL -1 24 .825 -16.57 5.00 ($2.50)
IWM -5.31 3.23 ($5.00) ($1,148.80)
ISHARES TRUST RUSSELL 2000 INDEX FUND 0 69.14 .00 .00 $0.00
100 APR 10 64 PUT -1 24 .265 11.58 1.81 $3.50
100 APR 10 72 CALL -1 24 .255 -16.88 1.43 ($8.50)
MOS -.99 3.60 $1.00 ($631.40)
Mosaic Co (The) 0 59.14 .00 .00 $0.00
100 APR 10 50 PUT -1 24 .195 6.41 1.72 $0.50
100 APR 10 70 CALL -1 24 .205 -7.40 1.88 $0.50
100 APR 10 75 CALL 0 24 .07 .00 .00 $0.00
POT -2.42 7.71 $15.50 ($1,316.10)
Potash Corp. of Saskatchewan Inc. 0 122.16 .00 .00 $0.00
100 APR 10 105 PUT -1 24 .425 7.05 3.56 $15.50
100 APR 10 140 CALL -1 24 .52 -9.47 4.15 $0.00
RIMM 1.95 7.02 ($1.00) ($851.00)
Research In Motion Limited 0 75.40 .00 .00 $0.00
100 APR 10 60 PUT 0 24 .19 .00 .00 $0.00
100 APR 10 65 PUT -1 24 .57 11.35 3.78 ($2.00)
100 APR 10 90 CALL -1 24 .40 -9.40 3.24 $1.00
RUT -27.06 52.88 $175.00 ($10,000.00)
RUSSELL 2000 INDEX 0 690.30 .00 .00 $0.00
100 APR 10 610 PUT +10 23 .80 -39.10 -87.12 ($1,000.00)
100 APR 10 620 PUT -10 23 1.075 52.95 105.24 $1,225.00
100 APR 10 730 CALL -10 23 1.25 -94.31 101.36 ($50.00)
100 APR 10 740 CALL +10 23 .65 53.40 -66.59 $0.00
SPY -6.84 4.09 ($8.50) ($2,056.70)
SPDR S&P 500 ETF 0 117.41 .00 .00 $0.00
100 APR 10 111 PUT -1 24 .30 11.17 2.13 $3.00
100 APR 10 121 CALL -1 24 .375 -18.01 1.96 ($11.50)
TZA -26.03 1.04 $4.50 ($211.90)
Direxion Daily Small Cap Bear 3X Shares 0 6.82 .00 .00 $0.00
100 MAY 10 6 PUT -1 59 .285 25.48 .44 ($3.50)
100 MAY 10 7 CALL -1 59 .65 -51.51 .61 $8.00
URE -6.68 .52 ($0.50) ($112.90)
ProShares Ultra Real Estate 0 8.24 .00 .00 $0.00
100 JUN 10 6 PUT -1 87 .16 11.60 .28 $0.00
100 JUN 10 10 CALL -1 87 .145 -18.29 .24 ($0.50)
VIX 24.39 23.37 $25.00 ($2,245.00)
CBOE VOLATILITY INDEX 0 16.35 .00 .00 $0.00
100 APR4 10 15 PUT -10 28 .075 119.36 4.24 ($25.00)
100 APR4 10 30 CALL -10 28 .25 -94.97 19.13 $50.00
X -7.40 7.56 ($16.50) ($767.30)
United States Steel Corp. 0 63.28 .00 .00 $0.00
100 APR 10 50 PUT 0 24 .20 .00 .00 $0.00
100 APR 10 55 PUT -1 24 .57 12.90 3.51 $14.00
100 APR 10 70 CALL -1 24 .775 -20.30 4.05 ($30.50)
XME -2.00 4.32 $0.00 ($666.20)
SPDR Series Trust SPDR S&P Metals & Mining ETF 0 57.51 .00 .00 $0.00
100 APR 10 48 PUT 0 24 .15 .00 .00 $0.00
100 APR 10 51 PUT -1 24 .35 11.45 2.34 $0.00
100 APR 10 62 CALL 0 24 .475 .00 .00 $0.00
100 APR 10 63 CALL -1 24 .30 -13.45 1.98 $0.00
Subtotals: -87.35 260.78 $271.50 ($42,610.70)
CASH $190,980.22
OVERALL P/L YTD ($12,623.50)
BP ADJUSTMENT $0.00
AVAILABLE DOLLARS $148,369.52

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