After a few days of calm waters, the position finally encountered a storm. With the market up two percent today, the Vega became positive and I had no choice but the adjust the position. Because the Vega was only positive eight, instead of moving the whole 10 butterflies, I only pushed forward five. This is a technique I learned over the weekend while backtesting in a very volatile market. If the market continues to jump up and down constantly, it would be safer to move up part of the butterfly position and suffer minor losses instead of major ones. My original 10 butterflies were at 1070 and with the market currently at 1130, it was imperative that I adjusted. Currently, I have five butterflies at the original strike price and five butterflies at 1100. With just the moving of the butterflies, the t + 0 line began to sag in the area between the butterfly and the call so I had to add a vertical in as well. The vertical is located at 1110-1190 and helped bring the Vega even more negative (-229), the Theta slightly more positive (77), and the Delta a slightly more negative value (-34). The current position is at a loss of about $393 which was a big change from being up $350 just yesterday. Hopefully in the coming weeks, the market will settle and give a chance for the t + 0 line to build up in the back to increase the possible profit.
The current risk profile looks like this:
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