[Buying to Close Short Leg of SPY Spread/Buying to Close Oct 133 Calls (SFBJC)/Day Order/Limit $2.10]
Dear Member:
The SP-500 has gapped up and is above 133. I want to close my short leg of the Oct 133/Dec '07 120 diagonalized calendar spread by buying back the Oct 133 calls (SFBJC) at a limit of $2.10. Although I will lose a little on this leg, I will have gained more on the long leg since it has a higher delta. The delta on the long leg is about .82 while the delta on the Oct 133's is about .62.
DISCLOSURE: At the time of publication, I am long the Dec '07 120 calls and short the Oct 133 calls on SPY.
Sincerely,
Bill Kraft
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