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Thursday, May 21, 2009
5/21 Beta Weighted Portfolio
After adjusting the DIA Iron Butterfly, I got even better Theta:Delta ratio for the portfolio when Beta weighting it to RUT. Now sitting at a great spot.
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5/21 MDY Condor
5/21 DIA Iron Butterfly
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I learned a lesson Today, when DIA was at 42.40, I decided to hedge the position buying an extra long JUL Put. First, it was middle of the day, and I brought delta down to zero. Then DIA moved back up at the closing and I was delta negative by quite too much. I exchanged the puts and brought the trade back to 1:1 ratio.
In future adjustments, if I have to do it intra-day, I'll cut delta in 1/2 and then look at it again at end of day.
5/21 RUT 50-Day Condor
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