Hi,
I am in a similar predicament.
RUT is at 605 and I am short 3 times 610 Sept. calls and long the 630 calls.
My plan currently is to roll them over, maybe into 610/620 instead of 630 and since they are only 3, then sell lots of put credit spreads, maybe around 560 area and get out when (or if) RUT is back to below 590.
In any case, the credit I get for the puts has to cover the max loss in the calls.
gis
On Wed, Sep 16, 2009 at 2:04 AM, drrobhansen <robhansen5252@hotmail.com > wrote:
Anyone else out there being threatened? For Sep expiration, I have three going in SPY with one of these already with a short call ITM and one more close. The 105 calls had a delta of .18. I have one in XLE which started with the short call having a delta of .15 and should have been safe. It's less than .50 from hitting my short call. My last one is in EFA which right now is the safest. The 56c had a .08 delta when I opened it. My buddy Dan Sheridan advocates the high probability iron condors having a short option delta in the .10 range. Looks like this is the only way to sleep easy these days. Comments please.
RFH
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