Adjusting downside protection and thoughts about the upside

The EuroStoxx 50 Index is up to almost 3,700 points after its last low at 3.300. That's an upswing of 12 % in less than a week of time.

After I have rolled my put protection in a quite unfortunate time, I closed my the short put side of my bear put spread at 2,900 points for the price of just 20 EUR today. That leaves me with two long puts at 2,700 and 2,900 points with almost no value. I will keep those puts as protection for the next 3 weeks. I don't see any value in rolling them up or out right now, although a long put for September at 3,200 would only cost me 100 dollars.

The upside straddle at 3,750 points

As the Index is above my next milestone at 3,650 points I am supposed to sell my upper put for the 3,750 straddle. That would be close the 2015 high around 3,800 points. My problem is that volatility is really low around 18 at the moment, so premium received will also be little with around 1,500 EUR at the moment.

That is the reason why I chose to wait after the weekend to see where we are heading to. If the ESTX50 keeps on moving higher, I will have to sell the put and the call option right away. I don't want to take the risk to be caught in the short put in the next down swing without the extra premium of the short call.

Also, I will buy put protection for the straddle somewhere in the range of 3,200 to 3,300 points.

On Sunday I will also post my next performance update. I am really curious to see how the strategy is doing!


I chose to follow the plan and sell the short put at 3,750 for a premium of 1,550 EUR already before the weekend. Now, I am thinking to add the short call option, too, but again, it's not yet time for this step. Patience is king when it comes to option writing. Lower break even now at 3,270. Upper break even at 3,870 points.

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