April 19, 2016 at 11:08 am #5474
Igor, just buy to close the 2155 CALL, or close the 2155/2165 Call Spread?April 19, 2016 at 11:32 am #5476
1 of 10 calls, this will leave a 9X10 Bear Call spread.April 19, 2016 at 11:36 am #5478
OK thank you, I figured it out already by looking at Deltas.April 19, 2016 at 11:41 am #5479
One other thing, what would you do if you have 15 Bear Call Spreads on?April 19, 2016 at 11:57 am #5480
Just a thought.
i think that the positions summary should also be updated when you buy back a call (1 x maybe call bought back under the hedges ?)April 19, 2016 at 12:20 pm #5481
The goal of this adjustment was to cut NET delta in 1/2. So you can close 1 of 15 and if it’s not enough then buy something OTM to get there.April 19, 2016 at 12:29 pm #5482
TY. Should I do it in the JUN03 cycle?April 19, 2016 at 12:32 pm #5483
Yes, with 45 days I think it’s fineApril 19, 2016 at 12:56 pm #5484
just to discuss opening.
i know we have been busy today but possible diversification over price & time opportunity for June monthly.. something like maybe 1890/1900/2190/2200 looks ok but might be worth doing call 1/2 size to make it more delta neutral
thoughts?April 19, 2016 at 1:19 pm #5487
I dont think going 1/2 size on the upside is a good trade at these levels. I’d rather be proactive defending the upside than taking more risk on the downside after a 300 pt move with little to no pullbacks.April 19, 2016 at 4:02 pm #5493
Igor, At what point can we close the hedge and roll the call spreads higher? Once the delta reaches 30? My strikes for June are different so thought of checking.April 19, 2016 at 4:11 pm #5494
Yes Nishant, that’s a good indicator to time a roll. You should also pay attention to things like: time until expiration, where SPX is on the chart. For example, if SPX looks like it’s about to make a run for the highs and short delta is at 30, maybe it makes more sense to add a hedge (to flatten NET delta more) and then roll when there’re signs of some resistance coming in.April 21, 2016 at 12:29 pm #5522
Igor, a question on the hedging process – when the short option approaches 20 delta and you decide to hedge the position using a further out OTM long option, do you have any guidelines on how far out you go for the hedge? I understand the further out you go in time, the more expensive the hedge gets to cut the same amount of net delta; but you also get the benefit of less theta decay on the hedge. For example, in MAY IC, our hedge is in the MAY5 cycle which is basically a week and half out. Is that what you typically go for; a week or two out?April 21, 2016 at 1:09 pm #5529
I like to go anywhere 45+ days out. If we had a position that was 30 days out and I needed a hedge I’d go 45 days out or more. The reason I want at least 45 days is because I plan on rolling within 2 weeks (depending what the mkt does) so from 45 to 30 days that hedge shouldnt get hit pretty hard from Theta decay. That’s the general idea, however there are times where ‘Adjustment’ point is hit and then SPX slows or stalls and I end up holding OTM options a bit longer so decay becomes a problem. In that case I’d consider rolling the hedge out in time, that is if I still planned on rolling the spread that’s being pressured.April 21, 2016 at 3:06 pm #5531
Again i cannot buy back a call. So in my case ( 2 lot ) ,
My current delta is 6.5 and i have an SPY 40 delta (4 delta ) call = 2.5 net deltas
when I go full size on the Put side making it delta 5 without call hedge or delta 1 with call hedge..
i guess i could swap my call for 25 delta SPY ? — this is what it would like if i did what i say — looks similar to your p & l
You must be logged in to reply to this topic.