Update: 7/22/08 11:47PM
Position was filled at target price, today the RUT had a strong day rallying 19.19 to close @716.82. The damage wasn't too bad. Calendar at 9.55 now (down .7)
Update: 7/22/08 11:18am
Got filled:
BOT +1 CALENDAR RUT 100 SEP 08/AUG 08 690 CALL @10.25 CBOE, RUT MARK 703.38
August Vol=26.84%.
7/22/08 (Tuesday)
Rut closed at 697.63 (Futures showing a lower open). There are 24 days to expiration.
1. Buy 690 Aug (28.34% vol) /Sept (27.9%) Call Calendar for debit of $10.25
Risk Management Plan
1. Break even (646,748)
2. 1 sigma is (646,748)
Expected 1signma move:
7/22/08 :1day - Delta 10.34 (687,707)
7/29/08 :7 day delta 27.37 (670,725)
8/5/08: 14 day delta 38.71 (658,736)
Profit: 20% Sell @ 12.3 (+2.05)
Loss: 25% Sell @ 7.68 (-2.56)
Adjustment:
1. If approaches 660 with before 7/29/08
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