OPENING: SPY OCTOBER 16TH 275/358 SHORT STRANGLE
... for a 7.87 credit.
Notes: With this little pop in volatility, going out to the first expiry in which the at-the-money short straddle is paying greater than 10% of the stock price, which is in October. Since I'm basically net delta flat here, adding delta neutral camped out at the 16 delta. Scratch at 102.50. Delta/theta: -2.32/26.01.
Notes: With this little pop in volatility, going out to the first expiry in which the at-the-money short straddle is paying greater than 10% of the stock price, which is in October. Since I'm basically net delta flat here, adding delta neutral camped out at the 16 delta. Scratch at 102.50. Delta/theta: -2.32/26.01.
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