Wednesday, October 7, 2009

10/07 MNX Iron Butterfly

I've started to "condorize" the trade by moving my short contracts further out of the money. I've managed to move my short PUTs and CALLs, and while this reduces my theta, it also cuts back on the gamma exposure. Given the fact we're moving around quite a bit these past few weeks I think cutting the gamma risk is a good idea.

No comments: