We’re going to adjust this IC because 2360 Call delta reached 20.
To make an adjustment for this trade, we need to look at this position’s NET delta first.
NET delta of this Iron Condor around -37. The goal of this adjustment is to reduce NET delta of this IC by 1/2. We need to ADD about 18-20 delta to this trade. We can add one 18 delta call, two 9 delta calls, three 6 delta calls and so on. We’re going to BUY TO OPEN two 9 delta calls. 17MAR 2395 Call has a delta around 9. This is what P/L graph looks like after adjustment.
Now the P/L curve is smoothed out on the upside and any further move up in SPX will slow down the rate of losses and give us time to roll up the call spread that’s under pressure.
| IncomeLab Order Ticket | ||||
| Type | Asset | Duration | Strike | C/P |
|---|---|---|---|---|
| BTO | SPX | 17 MAR | 2395 | Call |
| Total Debit: | $3.20 | |||