So far this trade is 13DIT and I”m showing P/L around 30% of max potential profit. 1255/1265 Bear Call spread is trading at .30c and I will buy to close this spread as I dont expect much more decay out of it (unless RUT moves another 50 points lower) and does not provide much of a hedge for 1070/1060 Bull Put spread. Short strike delta is around 13 on the put side, when it gets to 20-22 that’ll tell me it’s time to make an adjustment on the downside. I may re-enter another Bear Call spread with a short strike delta around 10.
BOT +10 VERTICAL RUT 100 JAN 16 1255/1265 CALL @.30 CBOE
