We’re going to BUY TO CLOSE 2000/1990 Bull Puts here for .25c debit. This leaves 2230/2240 Bear Calls (1/2 size) with 29 days to go. 2230 Call is currently 12 delta and the plan is to hold these for as long as we can and potentially close it for .40c debit. IF we see a sharp move higher we may consider rolling this Bear Call higher and increasing size as planned.
2230 Call delta is about 10. When this delta reaches 25 we’ll make an adjustment on the upside by rolling higher and adding size to full position.
|IncomeLab Order Ticket|
|BTC||SPX||21 OCT 16||2000||Put|
|STC||SPX||21 OCT 16||1990||Put|