The move higher is continuing… normally I would look to add to this trade, but instead I will close out the lower calendar and “roll” it up to a higher strike.
Here are the greeks before the adjustment:
D: -30 G: -.55 T: 17.50 V: 427
Here is the adjustment:
Sell to close SPX Jul/Aug 1900 Call calendar at 8.90 or higher
Buy to open SPX Jul/Aug 1965 Call Calendar at 9.70 or lower
Greeks after:
D: -10 G: -1.24 T: 27.88 V: 391.41
Basically, this adjustment helps to reduce our directional exposure and gives us a little kick higher with theta. We will also be selling a calendar that has an IV of 12% and buying a calendar that has an IV of 8%, so if vol rises our new calendars will benefit a little better.
1975 puts me into another add.
