Jul 11 (edited) • General discussion
Weekly update 7/10/2026
Current beta weighted risk is 3.7 against the SPX. Overall theta on futures is 75.7. SPX beta weighted risk ~$28,028.94. All else being equal, this represents $2,271 every 30 days due to theta decay ~8.1% monthly. Beta weighted portfolio values is close to the futures value ($21,929.98). The attached graph shows the current stress test with losses beginning at /ES price of $5,778 and $8,549 by 8/22/2026.
The MGM trade continues to develop with seven strangles. Current expected return is $9,820. Breakeven prices are 35.09, and 66.37. See second chart for the risk profile of this trade.
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Weekly update 7/10/2026
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