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May 25, 2017 at 4:00 pm
#8002
IncomeLab (Old)
Participant
We never really got to the point where we needed to hedge the put side as SPX reversed around 2350. We did sell 1/2 size call spread to reduce overall NET delta of this position, this way IF we had to hedge the put side, we wouldn’t have to buy too many puts as they were getting expensive with implied volatility spiking.