1) Do nothing
2) Roll back vertical spreads
3) Add a 2 extra double diagonal on CALL and PUT sides
I'm attaching the risk profile for the 3 options, as well as the decision making tree. One thing I noticed is that option #3 starts to win over options 1 and 2 after 3 days of time-decay. It has more profit potential, however adds an extra $400 of trading capital, and therefore pushes my stop loss to $870.
I did consider shutting down the trade, but on any scenario it was always the worst, because it gives me 100% probability of losing $500, so I took it out of the decision tree.
If XLE stays around the same price level Tomorrow I'll enter option #3.
Risk Profile Option #1
Risk Profile Option #2
Risk Profile Option #3
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