Friday, December 21, 2012

Vertical adjustment for January paper portfolio

Yesterday, market was higher and the January paper portfolio intended for monthly income had its delta around -40. The RUT position had its P&L curve very close to the price at the right side. So I decided to remove some delta and pump up the high end by using a vertical spread on RUT. As shown in the graph below, the $25 wide bull put spread produced a delta of 10 and provided a new acceptable P&L curve. The P/L Open field should add $550 to account for adjusted positions for this month's portfolio.

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