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The inevitable confronts us again. With yesterday’s drop of 38 points on the SPX, our Bull Put Spread short leg of 1240 comes within a stone’s throw of SPX’s closing of 1283. To be exact, a 43 points away with 20 days to go. Delta reached an unbearable 27. Several options came to mind, but these were taken.

The 1240/1210 Bull Put Spread was bought back at a debit of $6.00 per spread. In detail, the SPX July 1240 Put was bought for a debit of $13.50, while the SPX July 1210 Put was sold for 7.50. Net debit was $6.00, effectively closing the position initiated on the 3rd June 2008. See this post. Recall the spread was opened for a credit of $2.00. Net loss for the spread is $4.00 and net loss for the entire iron condor is $2.20 (the Bear Call Spread was closed for a gain of $1.80). See this post.

Next, I opened a Bull Put Spread at 1180/1150 for a credit of $1.75 (Sold SPX July 1180 Put and bought SPX July 1150 Put). I then opened 2 times as many Bear Call Spread at 1370/1395 for a credit of $1.00 per contract (Sold SPX July 1370 Call and bought SPX July 1395 Call). Net profit for entire position so far is $1.95 ($1.75 + 2 x $1.00 - $1.80). Additional margin required per allocation is $2400.

Hope we don’t have to do further adjustments this month.

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