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RUT weekly expiration on M3 hedge

Discussion in 'Options' started by DavidF, Aug 18, 2015.

  1. DavidF

    DavidF Well-Known Member

    Rookie question here:- I´m using weekly DITM RUT calls to hedge a Sep M3. They´re trading under intrinsic at the moment (lose about $550 buying back 6 calls, calculated as losing theta on my OV platform) so am wondering how to time it on Thu/Fri if I just let them settle to cash, i.e,, not be either unhedged or double hedged when I roll to next week?

    Based on trading ending Thu, settlement price Fri morning I need to replace the calls at open on Fri each week, not on Thursday close, but would like to be certain.

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