Tuesday, December 11, 2012

December Income Option Inventory Closing Down

Yesterday, RUT was marching higher and caused my portfolio delta moving further than -40. With Gamma over 2.5,  I decided to exit the monthly income positions to take what ever market gave me at the moment and avoid additional risks. I forgot to take a snapshot before closing down positions and realized that after a few trades. So the chart below does not have the correct P&L figures but it records the Greeks for my future analysis.
Eventually, I closed all positions except a RUT butterfly shown below. The profit target is 20 to 30% of MAX. I may close it if the probability changes from 20% to 10% or so.

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