Closing the Dow straddle and the delta hedges

Back on January 24th, I bought a Dow 12100 March straddle, and tried some volatility trading. I wasn't exactly delta-hedging, but instead for every 100 points I was selling 10% of the exposure, so if the market had moved 1000 points either way from the straddle, I would have the same notional on for my hedge as I did for my straddle.

So as the market went up from my strike of 12100, I was selling at every 100 points, then each of those trades was bought back when it dropped back 100 points. I realise this is not very clear! But here's what I ended up doing:

Opening	Closing	P+L
12200	12159	$82
12300	12200	$200
12400	12317	$166
12500	12400	$200
12600	12500	$200
12700	12600	$200
12400	12300	$200
12400	12300	$200
12500	12400	$200
12600	12500	$200
12270	12100	$340
12300	12200	$200
12416	12300	$232
12400	12300	$200
Total		$2,820

So I made $2,820 on my hedges. Well, I bought back my straddle for 822 points. I'd sold it for 911 points, in essentially $20/point or $18,220 premium, this lost me $1,780. So net-net, I made a profit of $1,040.

Not bad, and certainly better than a kick in the teeth, but it was a pain in the ass keeping all the orders up to date, and also was tricky to keep track of in real-time in my spreadsheet. So out it goes.