Friday, July 17, 2015


    After the markets rallied up over the past few days, I had to move my butterflies forward. Not knowing if I have stated it before, I move my butterflies forward when the market is ten points over my upper wing. Before I moved them, I had ten 1210 butterflies but the market closed at 1273 which is more than ten points above 1260 (50 point wide wingspans). Before I moved them, my Theta was negative and my Vega was positive but was fixed when I adjusted the position. My current Greek values are Delta: -95, Theta: 157, Vega: -639, Gamma: 0.13. I am currently up $610.

 

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