Today market shot up with higher volume to demonstrate its bullishness and broke up the bollinger bands. My may SPX positions got killed badly. The portfolio Delta had reached -90 as shown in the image below.
I used the analyzer trying to figure out an acceptable combination of May option strategies for adjustment. But they all showed up very high Gamma and Vega as a result of calendars, since there are only 13 days left. So I had to close all of the May SPX option positions.
Additionally, I also closed the damaging RUT May option positions: a vertical and a calendar. I thought it was a really bloody day for me. But somehow, my real account had 2 more $940 and 2 more $960 calendars than what I had in the TOS chart. This was obvious a big mistake that I need to investigate. I had observed larger than expected differences in the real account P&L changes and the TOS analyzer. I had thought it was due to differences of brokers calculating option prices (using mid price or the worse price of bid or ask). Now, the mystery is resolved.
Anyway, the 4 extra calendars saved my account from a big loss. I added them back to the TOS analyzer as shown below. I have to close the May RUT positions pretty soon as there are about two weeks left.
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