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From the chat:
19MAY short call delta around 17
we’re getting into the area where we’ll have to do something
our goal will be to cut NET delta by 2/3
we usually go for 1/2 delta cut
but with mkt that doesnt back off after pushing towards highs
we’re going to increase the hedge and that should smooth the curve a little more
so if our NET delta is -45 when we have to adjust
we’re going to look to add 30 delta to this position
TWO 15 delta calls, THREE 10 delta calls, FOUR 7 delta calls….
that will take -45 delta to -15
so we’ll keep NET short delta but if SPX blows through 2400 we wont take as much heat on 2440/2450 spread
because whatever hedge we buy will offset some of that heat