After a huge rally this week, I was forced to adjust my April position on Tuesday, March 29, because of positive Vega and negative Theta values. Currently, the trade is only 17 days until expiration so I plan on taking it out within the next couple of trading days, most likely early next week after gaining the buildup of Theta over the weekend. In order to fix the negative and positive Theta and Vega values, I had to both move up my butterfly and add verticals. When I checked the position, it was at 106 Vega, too high a quantity to lower with verticals. I had to buy a new butterfly at 1070 since the market is at 1109 and sell my old butterfly. Once I did this, there was too much negative Delta (around -260) so I had to add 5 verticals at 1090-1050. The position after the adjustment has -67 Delta, 285 Theta. and -480 Vega values. Today, Thursday, I had to adjust the position again because of too much negative Delta outside of the tent. The limit is -50 outside and -100 inside but the position had -134 outside which is not good. I had to add 6 more verticals at the same 1090-1050 spread and in doing so was able to reduce the negative Delta values to -34. The current position is at $280 profit.
The risk profile of the April position can be seen below:
Now on to the May position which needed to be adjusted on Wednesday. This position did not have values as extreme as the April position since I just put it on but the Vega went slightly positive on Wednesday which I needed to adjust. I added a single vertical at a 1090-1060 spread to make the Vega negative again. After adjustment, the Vega value is -16, the Delta value is 0 and the Theta value is 22. Today, I moved the butterfly up from 1050 to 1070 because the position had positive Vega again and the Delta value starting to become positive. The current position after all adjustments has -190 Vega, -14.4 Delta, and 49 Theta and is down $333.
The risk profile graph of the May position can be found below:
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