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June 2, 2017 at 9:48 am
#8031
IncomeLab (Old)
Participant
SPX at 2430.
2485 Call is 20 delta and it’s time for an adjustment. The first thing I’m going to do is figure out my NET delta of this position.
My NET delta is -53. I’m going to cut 2/3 of this directional exposure by buying OTM options in the same expiration cycle (49 DTE). 53/3*2 is how I figure out how much delta I need to add to this IC. I’m going to need to add about 35 delta. I’m going to use (4) 8 delta calls (2520 strike). Buying FOUR 8 delta calls will add 32 delta to this IC and will reduce NET detla from -53 to -21. This is what P/L graph looks like after this adjustment.
IncomeLab Order Ticket | ||||
Type | Asset | Duration | Strike | C/P |
---|---|---|---|---|
BTO | SPX | 21 JUL 17 | 2520 | Call |
Total Debit: | $2.20 |