26d • General discussion
Weekly update 3/20/2026
PAYC back ratio expired with a short position of 85 shares due to the previous position of 15 shares long. Next week, the play will be to mitigate the risk by selling an ATM Put for PAYC.
Current beta weighted risk is 1.83 against the SPX. Overall theta on futures is 144.84. SPX beta weighted risk ~$11,905.98. All else being equal, this represents $4,345.20 every 30 days due to theta decay~36.5% monthly. Of note, beta weighted portfolio value is not close to the current futures balance ($29,521.85). The attached graph shows the current stress test with losses beginning at /ES price of $6,625.25 (which appears to increase with volatility). It shows a 21.59% chance of loss over the next 30 days.
The heightened risk and the change in beta weighted risk is likely due to the the short position in PAYC and the increased volitity observed over the past few weeks with the associated drop in share prices for /ES Futures.
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Weekly update 3/20/2026
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