Monday, April 25, 2016

Moving the Butterfly Forward (May Position)


        I apologize for not updating sooner but I have been busy with school. On Friday, I had to add verticals because the position Delta surpassed the allotted -50. I put the spread at 1120 and 1110 which brought the Delta back to within limits. Over the weekend, I had to move the remaining butterflies forward from the original 1070 position because the Vega became positive but the rest of the Greeks still fine, making it not possible to put in verticals. I moved the rest of the butterflies up to 1110 but doing so made the Delta -60 so I had to add verticals in order to bring it back to the limits. I added four verticals from 1120 and 1100. The Greeks are currently as follows: Delta value is -63 (this is fine because the market is under the tent and -100 is allowed in this area), Theta is 170 (notice this is starting to build up since there are only 25 days until expiration), and the Vega value is -370.

The current risk profile looks like this:


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