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April 7, 2016 at 1:28 pm
#5320
IncomeLab (Old)
Participant
It’s not as complicated as you might feel it is. I removed the hedge because I am not planning to roll this trade. Even if SPX trades higher I dont think the hedge will gain enough to make it worthwhile. I also didnt want add short delta so I closed one short call, that kept my greeks pretty much the same. Think about this, IF SPX goes to 2080 over 10 days, my bear call spread will gain value but APR5 hedge wont gain enough to cover it because of delta decay and theta kicking in. It’s harder to do exact same thing on a 2 lot trade, but think about what’s the end result and you can find a similar adjustment. Hope this clears it up a bit.