OPENING: SPY OCT 16TH 275/370 SHORT STRANGLE
... for a 6.47 credit. Scratch at 84.87.
Notes: Back to cutting net delta a smidge in the first expiry in which the at-the-money short straddle is paying more than 10% of the share price with a 16P/8C short strangle. Delta/theta -11.03/23.65, extrinsic 46.72.
Also looked at rolling out the short delta heavy short straddle aspect out to October with some minor strike improvement to cut some delta attributable to that without doing an additive adjustment, as well as trying to strike improve the 282 short call, but neither of those options seemed particularly productive from a delta cutting standpoint. Naturally, I could have also just rolled one of the short puts out and/or up ... .
Notes: Back to cutting net delta a smidge in the first expiry in which the at-the-money short straddle is paying more than 10% of the share price with a 16P/8C short strangle. Delta/theta -11.03/23.65, extrinsic 46.72.
Also looked at rolling out the short delta heavy short straddle aspect out to October with some minor strike improvement to cut some delta attributable to that without doing an additive adjustment, as well as trying to strike improve the 282 short call, but neither of those options seemed particularly productive from a delta cutting standpoint. Naturally, I could have also just rolled one of the short puts out and/or up ... .
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