After gapping down this morning, TLT has made a remarkable recovery today. Depending on which adjustment strategy one decided to go with yesterday, another hedge may be called for this afternoon. Specifically, anyone who chose to take on a full position in the TLT Apr/May 90/92 double-calendar might consider entering a third, call-calendar position at the 94 strike. To neutralize delta, we need to buy 3 contracts in the TLT Apr/May 94 call calendar for every 4 contracts in our original, Apr/May 92/95 (put/call) double-calendar.
The above adjustment shouldn’t be necessary for anyone who opted for the butterfly or vertical roll yesterday.