Wednesday, January 23, 2013

Reducing Feb portfolio delta

After yesterday's adjustment on SPX positions, the market continued to rise. Today, the portfolio had reached a Delta of -95. I considered it as too high for my portfolio. It had more than doubled the value of 36 for initial portfolio positions as I analyzed before, even though the current portfolio margin was about twice as the starting margin. So I reviewed existing positions and decided to close out the following IC which had its price close to the right drop-off point and a Delta of about 20.
After closing this IC with a minor profit, the overall portfolio still has a Delta of -75. The remaining Vega is about -325, equivalent to a Delta of 30 at the moment. Thus the effective Delta is around -45. I'll see how market does tomorrow to decide if any further action is required.

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