Friday, September 28, 2012

Delta Adjustment for Monthly Income Portfolio

Market started to roll over in the last week or so. Today market dropped with increased volume again. With about 20 days to expiration, I felt it's time to make the initial adjustment as the price approaching the left edge of smooth profit curve, even if I have not started adjusting this early before.
After the double calendar adjustment, the P&L curve looks skewed to the left side, reflecting my slightly bearish posture. It reduced the portfolio delta by 10 points.
The market drop offerred the portfolio an opportunity to gain more profit after the adjustment, if it works out. The portfolio had reached 10% ROR on an intra-day basis before it dropped to current small profit.

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