I’m calling an audible here… I was going to roll the entire trade but that would still keep the trade with very small breakevens. Instead I’m going to add to the trade by putting on another calendar.
Buy to open SPX Oct/Nov 1990 Call Calendar @12.50 or lower.
This slightly reduces our deltas, and triples the theta in the trade.
The big risk here is the vega risk, and if the VIX falls at all the trade will be a little worse for wear… but i’m expecting the theta gains to catch up and the trade to become profitable.
IF we get to 1980 I will remove some of the long deltas by purchasing put spreads.