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Thursday, August 16, 2007

Hedge Roll-over

I just changed the SPY put option hedge from the Dec 144 to the Dec 142 contract. This keeps the option delta such that the portfolio is approximately market-neutral. The Dec 144 contracts were purchased for $4.80 on July 31 and sold for $9.20 today. The Dec 142 contracts were bought for $8.30.

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