| Call | 115 | 2 | 0.9672 | 1.9344 | |
| 117 | 2 | 0.9297 | 1.8594 | ||
| 121 | -6 | 0.6733 | -4.0398 | ||
| -0.246 | |||||
| Put | Dec 130 | 1 | -0.7376 | -0.7376 | |
| Dec 126 | 2 | -0.6063 | -1.2126 | ||
| Nov 128 | 1 | -0.7239 | -0.7239 | ||
| Oct 123 | 1 | -0.5654 | -0.5654 | ||
| Oct 121 | -1 | -0.3267 | 0.3267 | ||
| Oct 120 | -1 | -0.2293 | 0.2293 | ||
| Oct 116 | -3 | -0.0493 | 0.1479 | ||
| Oct 115 | -1 | -0.0328 | 0.0328 | ||
| -2.5028 | |||||
| -2.7488 |
Covered 1 Oct 121 call short because aggregated delta is –2.75. Why just one? It’s because DP is not tested. And because SPY maybe bounce back in this narrow range day (yesterday and the day before were big swing).
No comments:
Post a Comment