Thursday, December 6, 2012

Continuing delta adjustments for the option premium selling portfolio

Today in my morning time, the market was slightly higher. It looks to me the market is showing another sign of bullishness, as it refuses to make a significant drop after the recent big run-up. My portfolio still has a delta over -26. This portfolio risk is in acceptable range if SPX shot up 20 more points. But since the time is getting close to my exit days, I decided to trim down my inventories to further neutralize my portfolio delta. So I closed a RUT double calendar as shown in the image below for a $150 profit to increase the delta to -14. It also took a $10 theta away from my profit potential and over 100 vega at the moment. The P/L in the chart should be reduced by around $700 ($850-$150) to account for the closed calendar position yesterday shown in the last blog.

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