After the 1% drop in the markets yesterday caused by Greece declining the financial offers made by the European countries, I adjusted my position. The Gamma trend was very risky since my butterfly was in front of the market and my Delta value went over my limit of 50 as well.
Once I moved my butterfly back from 1250 to 1210, the value of my Greeks changed as well. The Delta of the position went from 60 to 7 (a much more comfortable level). The Theta decreased, but will rise steadily throughout the course of the trade so its nothing to worry about. The Vega of the position became less negative but like the Theta, the position will continue to accumulate more negative Vega. The Gamma also showed a decrease from -1.9 to -0.4 so the Gamma trend is less of a concern. The t + 0 line is now flat and and the market is currently in the upper part of my butterfly.
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