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Acorn Update: SPY Straddle: Roll 5
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Live Acorn Updates

Acorn Update: SPY Straddle: Roll 5

Our hedge against a breakdown in the crowded dispersion trade

Apr 29, 2024
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Blind Squirrel Macro
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Acorn Update: SPY Straddle: Roll 5
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Update as of market close on April 29th.

We are staying with the May 17th expiry but moving the strikes back ‘to the money’ ($510 strikes).

Link to OptionStrat worksheet.

Revised ‘vega’ profile.

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