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NaughtyPines
Jun 15, 2016 11:05 PM

ROLLING JUNE 24TH 2045/2055 SHORT PUT VERT TO 2035/2050 

S&P 500SP

描述

Figured I'd balance the wings out width wise here, as well as capture some increase in value experienced by the long put (which gave a small strike price improvement assist to the short put), even though I promised myself I wasn't going to touch this bugger with only 9 DTE. Filled for a 75/contract credit ... .

Dissatisfied with the resulting net delta of the setup, I also rolled the short call side down from 2120/2135 to 2115/2130 for an additional 45/contract ... . It's about as delta balanced as it's going to get ... .

At this point, I will need to look at the entire option chain for this trade (original + rolls) to see what my scratch point is, the notion being to get as flat as possible in advance of Brexit.
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