Tomorrow is the big day
Deltas conveniently sold back to 0 today when IV pushed the put above 15 delta mark.
Here is what the delta curve looks like tomorrow at 9am.
Not much upside possibility overnight.
Downside still has significant risk of the long put strike being in the money.
Should futures sell off overnight, I'm assuming any dips below 3580 will be bought tomorrow.
Deltas conveniently sold back to 0 today when IV pushed the put above 15 delta mark.
Here is what the delta curve looks like tomorrow at 9am.
Not much upside possibility overnight.
Downside still has significant risk of the long put strike being in the money.
Should futures sell off overnight, I'm assuming any dips below 3580 will be bought tomorrow.
