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March 31, 2016 at 10:52 am
#5229
Participant
Igor, would you mind sharing your thought process on putting the latest MAY2 adjustment please? The short put is 15+ delta right now and chance of a reversion is still high I think. A 30 point move down will probably push the short put over 20 delta, at which point we will have to think about “doing something” on the put side.