With the market climbing significantly higher over the past week and a half, I have made a couple of adjustments to my August position. The first adjustment was on July 11 where the market had made a large move up and my Vega had become positive 80. In order to correct the value, I moved all of my butterflies up to 1160. The next adjustment was adding the verticals 1180/1200 in order to reduce the negative Delta of the position. Before the verticals were added, the value of the Delta was -72 which is -22 more than the allotted -50 Delta value outside the tent. This adjustment was made on July 12 and the Delta of the position is now -48.
This is what the risk profile graph looks after the first two adjustments:
A few days later, on July 15, I added two additional vertical spreads of 1180/1200 in order to reduce the negative Delta value of the position which was -72. With the addition of the verticals, the Delta value of the position became -42.
One July 18, I added two more of the verticals 1180/1200 for the same reason of reducing the negative value of the Delta value of the position. The value went from -57 to -42 and the value of the Vega became more negative as well.
The last adjustment of the week was on July 22 where I added two of the verticals 1180/1200 in order to reduce the negative value of the Delta from -68 to -26. The position is currently down $600.
Here is the current risk profile graph:
Keep reading as I put on my September position this Friday!
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