Going to put on a 200 point wide iron condor in the SPX:
Sell to open Jun 1760/1750 bull put spread for 1.10
Sell to open Jun 1960/1970 bear call spread for 1.15
These are about the 15 delta short strikes.
If the SPX moves to 1925, we will roll up the put spread higher, and buy some VXX puts.
If the SPX moves to 1800 we will buy some out of the money put calendars to hedge.
Update: May 12, 2014
Closing this one out. I"d chase for more but the market looks like it's going to breakout here so I'd rather stalk reentries than try to adjust a trade gone bad.
Buy to Close SPX Jun 1760/1750 Put Spread @0.50
Buy to Close SPX Jun 1960/1970 @1.10
Margin and P/L
Spread Width: 10000
Call Spread: 1110
Put Spread: 1150
Enter at 1.10, Exit at 0.50
Enter at 1.15, Exit at 1.10
Total Profits: 650