Pages

Wednesday, July 10, 2013

Continued to neutralize Delta of August option income portfolio



Yesterday, SPX rose to 1650 level, up $75 points in last 2 weeks. The SPX-weighted Delta of my non-directional portfolio reached -34 and the SPX price continue to move to the edge of the P&L zone as shown below. So I decided to make additional Delta adjustment, on top of my calendar spread adjustments on Monday.
I used a couple of verticals for both SPX & RUT to neutralize Delta by about 10 points. The short put options had Delta around -23 at the time of my order. I could have reduce the portfolio Delta even more, but I decided to wait since my technical outlook was still bearish near term as we had not seen a 2nd confirmation day yet.

If the market continues to rise, I might have to use a vertical debit spread to significantly reduce Delta in the next few days. For my position trade on SPY put, I may have to exit if SPY rose above $166 firmly as planned before.

No comments:

Post a Comment