Saturday, October 03, 2015

AAPL Update #34 (Expiration Friday)

Oct 2

Analysis

Expiration Friday! AAPL opened up weak, but surprisingly closed higher at the end of the day. Rolling down the short call options this week proved profitable in capturing more shares and the slight rebound at end of day, moved the account balance up.

AAPL closed at 110.38

This is an example of randomness in the price action as it was looking like AAPL would be dropping more only to bounce off its morning lows.

The position was hedged again for another week with the short call moving up one strike higher and the put now quite far OTM.

It seems like purchasing the put has been a waste of money, but should the market move hard to the downside, I want to have some protection in place. Volatility, moved higher in the week and came in a little on Friday, but its still substantially above its lows.

The current risk graph for the dynamic collar looks as follows:




The maximum profit @ 111/share on Oct 9' expiration is about $3500. This 19pts below the initial entry price of 130 from Feb 26. The share count has increased to 734 and breakeven on the position is down to 106.33 (cost basis reduction)

The complete hedge is carrying combined about a -50 delta with most of it skewed toward the short call side.

The maximum risk is capped at around -3200 as shown. Technically its more due to the extra 34 unhedged shares, but the position is protected.

Trades

+7c Oct 2' 110 Call @ 0.08
-7c Oct 9' 111 Call @ 0.92

+7c Oct 9' 102 Put @ 0.76
Net Credit 0.08/c

The Oct 2' 105 Put was left to expire worthless at 0.00

-End