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September 25, 2014 at 2:30 pm
#2120
Steven Place
Keymaster
Market running hot to the downside, we are now at 1970.
Current position greeks for 1 lots is:
Delta +18
Theta +17
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:
Delta: +4.6
Theta: 40
Now we’ve just gotta wait a few more weeks, and look for some reversion and a drop in actual vol.