SPX moved 65 points in one direction since we sold 2440/2450 Bear Call. Now 2440 Call delta is around 30 and we’re going to BUY TO CLOSE this spread and roll it up to 2465/2475. We put on 2440/2450 BCS 1/2 size originally, now we’re going to increase size in the new 2465/2475 call spread to match the size of our Bull Put spread.
1. BUY TO CLOSE 2440/2450 Bear Call
| IncomeLab Order Ticket | ||||
| Type | Asset | Duration | Strike | C/P |
|---|---|---|---|---|
| BTC | SPX | 23 JUN 17 | 2440 | Call |
| STC | SPX | 23 JUN 17 | 2450 | Call |
| Total Debit: | $3.00 | |||
2. SELL TO OPEN 2465/2475 Bear Call
| IncomeLab Order Ticket | ||||
| Type | Asset | Duration | Strike | C/P |
|---|---|---|---|---|
| STO | SPX | 23 JUN 17 | 2465 | Call |
| BTO | SPX | 23 JUN 17 | 2475 | Call |
| Total Credit: | $1.10-$1.20 | |||
P/L graph: