Wednesday, February 6, 2013

Exiting Feb High Probability Positions to reduce Delta

Today in the morning, market appeared to fight back from an early drop. I could not see a major sign of market retreat at the moment. My market neutral option portfolio has delta reaching over -50 again with a Gamma of 4. So I decided to trim down the Delta by closing the most damaged IC of SPX which is shown below.
The remaining Delta was about -37 which was still too high considering we are close to expiration. It's shown below. So I also closed the most damaged RUT IC position.
After these two adjustments, the portfolio Delta was reduced to -13 as shown below. I'll see how market plays out in the next couple of days to close all positions for this month cycle.

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