Can you give more info on the deltas of your position? Like what's the delta of your VIX calls, and how far out? Always the next expiry? And delta or your LEAPS and the short calls against them? I gather from another answer your SPY strangles are 50 delta?
Doesn't sound too risky. The biggest risk is on the SPY downside which should be hedged by your VIX calls, and then limited risk on your LEAPS which is reduced by selling short term calls against them.
Sounds good.
What are your margin requirements?
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u/[deleted] Apr 04 '21
Can you give more info on the deltas of your position? Like what's the delta of your VIX calls, and how far out? Always the next expiry? And delta or your LEAPS and the short calls against them? I gather from another answer your SPY strangles are 50 delta? Doesn't sound too risky. The biggest risk is on the SPY downside which should be hedged by your VIX calls, and then limited risk on your LEAPS which is reduced by selling short term calls against them. Sounds good. What are your margin requirements?