Saturday, February 2, 2013

Exiting positions to reduce portfolio Delta

Yesterday, the markets rose after a short 2 day fall after the FED meeting. It appeared that the current FED is very market friendly and its announcements usually do not make market fall for long. It's still the same story of the FED announcements as I noticed before in my FED & VIX analysis. VIX made a significant drop as well.

In the mid-day, my monthly income portfolio had delta reaching a Delta of -74, with a Gamma of -4. The SPX iron condors were challenged on the upside.

So I had to make a Delta adjustment. With about 13 days to expiration, I had to close the most-damaged IC. The resultant portfolio Delta was -40. I'll close all positions by next Friday or close them early depending  on how market acts.

No comments:

Post a Comment