As we enter the second week of the project, it seems like a good time to take a look at our current portfolio greeks and make sure we have a plan moving forward. On an unweighted basis, we’re currently (as of Monday close) holding about -7 delta, -23 gamma, -29 vega, and +9 theta. I really don’t want to obsess over greeks since there’s not a whole lot we can do yet to fine tune them, but it’s important to keep in mind where our biggest risks are. We can see from the values about that ours are in convexity (gamma) and volatility (vega). What’s our worst case scenario? Overall, it looks like a large move coupled with a spike in volatility would blow us out. With equities volatility tends to move higher on down moves, so really we’re talking about a large down move resulting in higher volatility. This is the reason why we carry short delta when we’re short vega. Is -7 delta enough to balance -29 vega? To be honest, I’m not sure yet. We’ll find out together.

For the four trades we put on last week, from where I sit they seem to be coming in nicely. My aftermarket marks are a little goofy today but when the market was open PG IV was contracting, helping our short iron fly out, and TLT and GLD were both moving back towards the center of our short iron condors. IV for both is just starting to point down but is more or less where it was when we put those trades on, so for now we’re at the mercy of time and delta. IWM vol poked down a bit but the underyling moved against us a bit today so that position is down a few dollars so far. Those four still have 46 days until expiration and I won’t be touching them for a while.

We’ve still got around 30% of our buying power left, but I’d like to hold off on putting more positions on for a while. Going all in this early will put us in a corner if the market makes a large move one way or the other and will prevent us from taking advantage of big opportunities should they arise.