22-8-13 NQ trading

TE_CL8
======
Long @ 3083
TP1 @ 2093
TP2 @ 3103
NP = 30 points

22-8-13_NQ_TE_CL8

22-8-13_NQ_TE_8_receipt

Option hedging
===============

To hedge this Long NQ position, we short AAPL ITM Call.

Underlying = $503
Strike = $500
Expiration = 1 day
Theta = -0.8
Vega = 0.2
Implied Volatility = 27%
Realised volatility = 23%
Volatility Difference = 4%
Delta = 0.5
Gamma = 0.0625

Short @ $6
TP @ $2
NP = $4 * 100 = $400

Thus tonight we won both at the Long position, as well as the hedging side.

22-8-13_AAPL_Call

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