April IC Results
The setup for April’s IC is different from March and May. Due to the larger downside risks in March, I initiated a 840-850 call spread for $0.70 that is 1 SD away from the closes strike price.
Subsequently, I was able to put out a 740-730 put spread for $0.50 at a delta of 0.10 .
I thought that I will be able to let both spread expire in April. However, 3 days before expiry the strike price is at 819. On that Monday the move took RUT up to 828. There is a high possbility that within the next 2 days RUT will close in the money.
I’m not about to take that risk. As theta deceases, gamma accelerates such that it becomes expensive to buy back for safety.
Still 5.6% profit is a good return for not doing much. Will keep posted on my May IC.
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- The Butterfly vs. the Broken Wing Butterfly
- The case of the very bad warrant hedge
- Iron Condor explained
- My good luck in Hutchinson Port Holdings (HPH) IPO Balloting Results
- Iron Butterfly explained
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