Thursday, January 3, 2013

Feb monthly income option portfolio adjustment

Market had responded to the fiscal cliff and other economical news with 60 points rise in SPX in the last couple of days. It caused the market neutral option portfolio some damages. With the price reaching right shoulder of the P&L curve, adjustments are required.
With about 42 days to expiration, I still have time for rolling up the iron condors for Feb. So I rolled all the SPX IC's upper for a debit around $3.00 and added a 10 point wide SPX IC for a credit around $3.00 to make up the deficit. On the RUT side, I rolled up one IC only, since the price was close to the drop-off point on the right side but not passed it. The roll up also had a deficit around $3.00 which was made up by adding another 10 point wide IC. The new portfolio P&L curve is shown below.
With these adjustments, I tried to keep the original max profit potential. I will continue to adjust if necessary.

I also adjusted my paper portfolio yesterday and will document it when I have time tomorrow. On the bullish position trades, I also rolled up some strike prices and added new position sizes.

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