Updating July Position

     This week has been pretty busy with exams but I finally got a chance to update my position today. Because of the recent drops in the market, I had to move my entire position down 20 points to 1120, 30 points below the market position of 1150 in order to have a lower Delta value. Before adjusting the position, the Delta value of the position was 40 which is double the allotted positive Delta rule. When I moved the butterflies back, there was still 31 positive Delta so I had to move the call up to 1020 and remove some of the positive Delta from that. The current position is down $200 and there are 29 days left until expiration.

Here is the risk profile graph of the current position:

The t + 0 line is a bit lower than I would have liked it to be but I'm sure in the following days it will rise as the Theta becomes greater.

Updating July M3

        For the past few days, the market has constantly gone up so on Tuesday, I had to move my butterflies forward. As you may recall, I had put on 12 butterflies instead of 10 at the beginning of the position. With the adjustment forward, I took out the excess butterflies and the position now has the usual 10. I moved the butterflies from 1080 to 1130 with the market at about 1154. The Greek values from Tuesday are: Delta is -26.6, Theta is 102, and Vega is -489.

The risk profile graph can be seen below:

No other adjustments needed to be made to position after Tuesday. The current Greeks are: Delta is -44, Theta is 73, and Vega is -254. The position is currently down $100.