Again, as it happened in late July, a nice climb in the index forced me to adjust the trade when the Call leg hit 30 delta.
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| Dax on September 11 2017. Source investing.com |
The call side was deployed too close, even though the Implicit Volatility was relatively high when I opened the position.
Trade adjustments
As there is still time value (67 DTE) and the short leg lies next to the previous highs, the plan is to:
- Keep the Call side for now.
- Close the current Put leg for a profit.
- Deploy another Put leg at 16 delta.
So the current status of the position is the following:
| Type | Name | Open Date | Spot | Max Win | P/L |
| Put Spread | ODAX Nov 2017 11000/10600 | 28/08/2017 | 12120 | 158,50 € | 71,00 € |
| Call Spread | ODAX Nov 2017 12800/13200 | 28/08/2017 | 12120 | 198,50 € | |
| Put Spread | ODAX Nov 2017 11500/11100 | 11/09/2017 | 12400 | 133,50 € |
Theoretical max loss and profit are now:
Max loss: 2000 - (71,0 + 198,5 + 133,5) = 1597€ (Dax < 11100 or Dax > 13200)
Max profit: 71,0 + 198,5 + 133,5 = 403€ (Dax between 11500 and 12800)
See also
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