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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