Sunday, March 20, 2016

Adjustment of April Position


     Because of the market rising so consistently over the past few days, the position started to accumulate lots of negative Delta and the Vega value became positive. Currently, the position without any adjustment has -83 Delta, 115 Vega, and only 22 Theta. The market is outside of the tent so I had to add verticals since the negative Delta has surpassed the limit. I added four verticals to the position at 1080 and 1050 (the ones I bought at 1050 were the ones I had sold in the previous adjustment and doing this would be helpful in a real trade because it decreases execution costs) which helped to lower the negative Delta value (made it more positive) and decrease the Vega value. With the adjustments, the Delta value is -17.76, the Vega value is -11.69, and the Theta value is 58.04. The position is currently down $232 which is a big jump from the $1200 it was up only five days ago.

The current risk profile graph is pictured below:


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