Update 1 - Adobe Volatility Straddle

I had placed the orders for the 4 straddles as discussed in my previous post here over the weekend, and as such, the fills were taken this morning. I will attempt to provide daily updates on the positions as I analyze and try to figure out what's affecting the positions. Here is the current P&L:

As you can see, all of the straddles are down a few dollars except for the farthest out expiration in Jan 09. I have added the greeks to this spreadsheet in order to track their day-to-day changes as well as the positions' values.

Analysis
Looking at the front month's straddle, you can see it has lost .21 (or $21 per contract). We will look to the greeks in an attempt to understand what could have caused this.

First of all you can see that the position had an original Delta of -11.90
(these greeks are per 100, so the -11.90 would represent an actual $11.90 loss
if the stock moved up $1.00 per share, said another way, the contract had a
-0.1190 delta). Given that the stock increased 74 cents today, I would say that you would expect to realize 74% of that -11.90 Delta, which equates to $-8.81.

Additionally, the opening Theta of -5.28 now needs to be realized in the
option price, which would lower the contract .0528 ($5.28 hit to our P/L).

Unfortunately I did not record each position's opening Implied Volatility so we cannot analyze the Vega effect on the positions. However, for the sake of analysis, we can use the stock's Mean Implied Volatility (this will be the IV calculated as an average of all Strike Prices' Imp Vol's.). The overall IV of ADBE decreased by .27% points. The Jun 08 straddle had a Vega of 9.02 and -27% of this is -$2.44.

Let's add these together:

Delta Effect + Theta Effect + Vega Effect

-8.81 + -5.28 + -2.44 = -$16.53

In reality the Jun Straddle went down $21.00, some of that difference may be due to the fact that we were using the Mean IV of all options as opposed to the 42.5 strikes' IV. The other--potentially greater--issue here is that we are using an Option Pricing Model (the Bjerksend-Stensland,specifcally) and it would be dangerously naive of us to place our full trust in a model. With that said, I'm quite pleased at how much of the $21 loss were able to "explain" or at least somewhat quantify. I'm begnning to see the importance of the Greeks more and more.

Cheers.