Thursday, November 1, 2012

Closing down high probability portfolio option inventory

Market jumped up today, making the portfolio delta switching from around -15 to +17 with gamma around 1.7. With 14 days to expiration, it's about time to close down the inventory now. The big delta change was mainly caused by the RUT vertical spread hedged last week.

So I closed the vertical and the iron condor of the RUT, leaving a double calendar alive which is pretty much at the center of the strike prices. The SPX P&L curve is still looking normal with delta around 2. After the adjustments, the SPX-weighted portfolio delta is around 3 with a theta over $100.
I plan to close all November options in the next few trading days.

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