Now That's Delta Neutral!

There isn't much to report on our feature trade this month. The triple calendar is dead center and things are looking fine. I wouldn't mind it if the volatility would hold steady, but overall it's going well. Meanwhile I have something pretty wild to share. Today I took a look at my RUT position and here's what I saw:




First, let me say that this is a fairly complicated position. It's a triple calendar on top of a skewed condor. Managing price risk (Delta) is important to me, but it's VERY rare that you see Deltas at exactly ZERO. When I first looked at my monitor screen I thought something was wrong. Normally when I see Delta at .00 it means that my position has been exited... so I was a little shocked. Anyway, I took a quick snapshot and thought I'd share it.

Meanwhile - the Calendar is great, as 500 is our center strike and you can see above that we were at $492. A few more days of sitting on our hands and passive observation, and maybe we'll have some profit to take.

Good Trading...