Home › Forums › Income Lab › SPX 16 JUN Iron Condor (514) › Reply To: SPX 16 JUN Iron Condor (514)
April 25, 2017 at 2:50 pm
#7903
Participant
SPX rallied about 40 points from last week’s Friday close.
2455 Call is now about 19 delta and we’re going to make an adjustment. Our goal is to reduce our NET DELTA exposure by 2/3. This is our P/L graph before an adjustment
Our current NET DELTA is about -33. We need to add about 20 deltas to this trade. We can achieve this by:
1. BUY TO OPEN 1(ONE) 20 delta call
2. BUY TO OPEN 2(TWO) 10 delta calls
3. BUY TO OPEN 3(THREE) 7 delta calls…
We’re going to go with buying 2 OTM calls with delta around 10.
P/L graph after adjustment
IncomeLab Order Ticket | ||||
Type | Asset | Duration | Strike | C/P |
---|---|---|---|---|
BTO | SPX | 16 JUN 17 | 2485 | Call |
Total Debit: | $3.30 |