Market running hot to the downside, we are now at 1970.
Current position greeks for 1 lots is:
What we can do to fix this is ROLL the 2020 calendar DOWN to the 1960
1. Sell to close SPX Oct/Nov 2020 call calenadr @9.50
2. Buy to open SPX Oct/Nov 1960 call calendar @13.20
This turns the greeks to:
Now we’ve just gotta wait a few more weeks, and look for some reversion and a drop in actual vol.