With the continued rip higher, we're now in damage control mode, looking to reduce the overall risk in the trade with much lower odds of profitability.
What we will do here is roll up the 1940 call calendar higher:
Sell to close Jul/Aug 1940 call calendar for 6.30
Buy to open Jul/Aug 1980 call calendar for 10.20
This will cut our directional exposure in half and double our theta-- but we're now trying to work the trade back to breakeven.
The reason this trade isn't working out is because the implied volatility in SPX kept falling-- we're now buying the 1980 calendar with an IV of 7%!
That means if the VIX does pop here, we'll make some of the losses back, on top of the theta gains.
