Wednesday, October 17, 2012

November Inventory Adjustment

Market had advanced on stronger volumes in the last couple of days, causing the option income portfolio minor damages as shown in the image below.

In particular, the SPX price moved to the right shoulder of profit graph. With 29 days to go, I still have time for iron condor. So I rolled up the spreads of both calls and puts of an original iron condor to points where there are about 25% to 20% of expiring ITM. The resulted P&L curve still looks smooth, even though the max potential profit is reduced. The new return rate is in my acceptable range. The rolling of IC does not neutralize delta too much, only 5 points or so.
Note the profit in the new portfolio should be the value indicated in the image minus about $360, to account for the debit of closed spread.

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