February 10th, 2016, 11:14 am
QuoteOriginally posted by: mcbisonNow I have this portfolio:-58 put 34000, -112 put 30000, -347 26000, -10 25000, -20 24000, total delta 547 with multiplier 2.5 ( 1367000 euro every 1000 point of italian stock index ftmib, now the index is 16000),I had to lift the strike from 22000 to 30000 ecc and so to reduce the delta, because I had too Delta and I have no money to buy back the options (I lost the premium with futures long) because my collateral are italian government bond, now I have 2.5 mln of euro of additional margin before I have a margin call and lost every thing (but already now the losses are huge).How can manage this portfolio? waits year and sometime make some trades? I think I have a positive carry on this, in your opinion I have yet to reduce the delta?Any advice any help? it is a terrible situationswere you selling ITM puts ?
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