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.
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