Thursday, September 20, 2012

October Monthly Income Option Portfolio

After daily built-up in the last 4 days, the monthly portfolio has been established. The top right side of the profit curve is sloping due to today's entry into the RUT double calendar. With the market drop today, the new RUT DC position was selected to be delta negative slightly to neutralized the delta of existing positions. Otherwise, a smoother profit curve could be obtained. Should the market resumes higher, an adjustment on the RUT on the upside may be executed.

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