Home › Forums › Income Lab › SPX 31 AUG Iron Condor (586) › Reply To: SPX 31 AUG Iron Condor (586)
July 26, 2017 at 11:22 am
#8296
IncomeLab (Old)
Participant
Last week, we picked up 8SEP 2540 calls to cut our NET delta from -60 to about -20. SPX traded 15 points higher since then and our NET delta is around -40. We want to bring that number back to -20. We’ll add (2) 8SEP 2540 calls (they’re around 11 delta) to reduce our NET exposure back to -20. We’ll also roll up 2510/2520 Bear Call spread when 2510 delta reaches low 30s (currently around 25).
IncomeLab Order Ticket | ||||
Type | Asset | Duration | Strike | C/P |
---|---|---|---|---|
BTO | SPX | 8 SEP 17 | 2540 | Call |
Total Debit: | $2.75 |
P/L graph: