With the breakout in gold, our income trade has gone to the outside of our “theta range.” To compensate for this we are going to roll the lower side of the butterfly higher and add a single extra bear call spread.
Here is our current risk
Here are the new adjustments:
This reduces the cash in this trade and gets us back to delta neutral.
If GLD pulls back we don’t have to do anything. If it continues to rip (around 133-134), then we will take profits on the long call and then adjust our spreds to get us back on the +theta side of things.
Here is the risk after: