The past few days have been extremely busy for me so I apologize for not updating. Last Friday, I put on my November position. The butterflies were placed at 1,110, about 30 points below the market position of 1138 at that time, like I normally do. The one thing I had to do differently while putting on the position was buying 16 butterflies instead of 10. I was forced to do this because if I had just put on the 10 butterflies like usual, the call I would have had to buy in order to offset the Delta would have been closer to the money than I would have been comfortable with.
On Monday, since the market dropped so substantially, I had to move my butterflies back. The overall value of the Delta was 55 and since the rule is to sustain it under 50 I had to adjust it. The position as of Monday night after the adjustment is at 7.34 Delta, 96 Theta (slight decrease in the Theta after adjusting) and -356 Vega which became largely more positive. This is not something I am worried about since it will become more negative as time progresses. The risk profile graph looks like this:
I did not adjust the position the rest of the week since there were no there drastic changes. The positions current Greeks are: -7 Delta, 123 Theta and -391 Vega. Currently, I am only down about $70 as opposed to being down about $700 on Tuesday after the market was down again. What is interesting is that if I hadn't adjusted my position at all on Monday, I would have been up over a thousand dollars. Of course this is unrealistic since I will always adjust my position based on the given rules. The position as of today looks like this:
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