From what I recall, Dan's rules for adjusting IC's are:
close 1/3 of trade when the delta crosses 25 (heard him say 20 too)
close another 1/3 when the the underlying crosses the short strike
close the rest when the underlying is 5 points past the short strike.
This works when the VIX is NOT spiking through the roof. I found out last year that you need to move all the exit points up in order to combat volatility exploding on you. When the VIX was in the 40+ area, I was also putting on small debit spreads to offset the credit spreads that were threatened. Puts were too expensive so I was buying call spreads just below the underlying (I think....it was just a blur at the time). I didnt lose on the trades where I had IC's getting destroyed but the commisions got pretty expensive with the trades I was taking on and off.
This market is the opposite now and the call side is getting threatened this time. I dont think debit spreads work in this case because the VIX is dropping not rising, so there's real premium available. Plus, two days out is not enough time to do any repairs.
Jim Bittman had some strategies on straight buys and spreads for repairs. I dont remember all of it but it had to do with picking an ITM or OTM strike, and the front month or +1. The pivot point was at 10 days before expiration. If had to do with if you needed theta working for you or not.
With the run-up of today I hope you closed the short side and held the long as a lottery ticket. You might get some value on Thursday out of it but I would expect expiration Friday to bring on profit takers.
Good Trades to all!
Rich
--- In OptionClub@yahoogro
>
> 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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