Update 4/7/10

OEX 2.5 Day IC

I was filled on the put side of the OEX IC today for 0.25 credit. I normally do the order as a full condor spread, but because of the prices I put in separate orders for the call and put side. The call side never filled, so right now I have the 535/530 Put vertical for 0.25 credit. The position lost 4% today. If OEX bounces back higher tomorrow, I may try to fill the call side, or I also may decide to just do the puts this week.

WSM PCCRC

The WSM PCCRC was up 2% today making it up 0.3% overall. Since the time value has eroded on the shorts, and the position is not really profitable, I put in an order to close the entire position, but it was not filled. I will likely try the same tomorrow.

AAPL PCCRC

The AAPL PCCRC was up 0.4% today and is still down 9% overall. The shorts time value is under 10 cents, but I do not think they will get exercised yet. 

I have looked at several options and have decided to roll the short calls to May, roll the long 210 call to the 240 strike, and let the short put expire worthless. I looked at closing both the short call and put (and not rolling to May), but the delta goes from 20 to 116 and the risk is greatly increased on the downside. 

If did not roll the long call, the delta is 38 but I still have some downside risk. 

Also with a 5% IV jump (yellow line below), some of the graph is still below 0.

Rolling the call up gets me delta neutral, locks in some delta gains and centers the position in anticipation if IV climbing into earnings.

I plan on making these adjustments tomorrow.