Igor – Like Michael I am finding your decisions on May 17 really interesting.
On May 17 the SPX had dropped 43 points and the VIX had spiked to 15.59.
– After closing the Bear CALL side of the IC you were left with the Bull PUT side with a Delta of 22.85% on the short leg.
– How did you know that the SPX was going to bounce the following day – and things would work out OK?
– Surely it could have just kept going down with a big opening gap on May 18?