Last week on Friday, 2270 Call reached delta 19 (very close to adjustment point). We’re going to use today’s pullback to make the adjustment on the upside and if SPX continues higher we’ll look to roll up 2270/2280 when 2270 call delta reaches 25-30 (currently around 16).
We’re going to cut NET delta of this position in 1/2. Our NET delta of this IC is -46. To cut that in 1/2 we need to BUY 23 deltas. We’ll BUY TO OPEN two (2) of 13JAN 2290 Calls (12 delta).
Here’s the Risk Profile before the adjustment:
And here’s the Risk Profile after
| IncomeLab Order Ticket | ||||
| Type | Asset | Duration | Strike | C/P |
|---|---|---|---|---|
| BTO | SPX | 13 JAN | 2290 | Call |
| Total Debit: | 4 | |||