Sorry for not posting in a while, I have been really busy with school. Anyway, my November position was doing fine until the sudden rise of the market in the past few days. By yesterday, my position had positive Vega, negative Theta and a high Gamma value as well. Since I wanted to fight the market and the overall position was still okay, I decided to move my butterflies up to 1150. Before the adjustment, the risk profile looks like this:
After I moved the butterflies up, the position had a a negative Vega value, a positive Theta value and a lower Gamma value like an ideal position should have. The position now looks like this:
Today, after the market rose another 0.5%, the market was outside of the tent of the butterfly and the Delta value was -78. The rule for negative Delta outside of the tent is -50 so I added two verticals at 1160 and 1140 to make my Delta -57 which is close to that of the rule. The Theta and the Vega of the position increased (Theta became more positive and Vega became more negative) and the position now has a nice t + 1 line. The position with the verticals added looks like this:
No comments:
Post a Comment