Expiration-Week Gamma Hedge Adjustment Alert #2
Wed, Jul 13, 2011 | Frank
In the wake of this afternoon’s unexpected and surprisingly sharp change in market sentiment, anyone still holding the call side of yesterday’s optional strangle hedge would, naturally, want to close the remaining position (unless, perhaps, one has a strongly bullish directional thesis for the remainder of the week). The July 135 calls are currently mid-priced at $0.04.
Tags: hedge, SPY strangle
Leave a Reply