Monday, July 8, 2013

Calendar Spread Adjustments to August Income Option Portfolio

As market continues to rebound in the last week, the SPX & RUT prices reached the edge of my August high probability income portfolio P&L curve as shown in the image below. The portfolio Delta was around 30, a little bit shy from my adjustment level around 36 as posted before.
So I used single call calendar adjustments for both SPX & RUT positions. The outcome is that the profitable zone is right shifted a little bit and the right edge is raised, while the portfolio Delta is reduced by 2 only. The larger Delta change shown in the P&L chart below was caused by the market price fluctuating in the downward direction at the time of my adjustments.
I decided to hold off more Delta adjustment today as the overall portfolio Delta is still in the acceptable range. I could use a few vertical put spreads to neutralize the Delta. But I wanted to spread my adjustments over multiple days as the market condition allows. If the market offers me higher Delta in the next couple of days, I would take action on the Delta.

No comments:

Post a Comment