Over the weekend, after the market rose on Friday I put on a vertical of the strike prices 1210 and 1180. Unfortunately, after I put it on, the market fell half a percent on Monday. By putting on the vertical when the Delta was only -35 inside the butterfly was technically breaking the rule but I didn't like the way my t + 0 line was drooping into the curve. If the market continued to rise as it did last week, I would be facing losses so I decided it was best to buy it since the backside of the butterfly was strong anyway. I was not able to record the Greeks from when I put on the position but the current values are: Delta is -36, Theta is 98, Vega is -453.
No comments:
Post a Comment