RUT Weekly Calendar Trade #7 (Part 2)

I have been reviewing my JunWk1 calendar trade. Having made two adjustments and holding into the day of trading, how did this turn out?

Let me point out one key detail about holding this trade into expiration Thursday: my risk was significantly lowered. The last trading day is exceedingly dangerous for a trade like this because negative gamma can increase exponentially. In looking at the risk graph, I thought I could achieve my 10% profit target with just one calendar in place. I therefore closed the second put calendar rather than rolling it. This halved my gamma and were the market to make a huge gap move to put the calendar at max loss, I would have already closed one of the calendars for a reasonable price.

On expiration Thursday, my contingent order to close was triggered around 11:10. This position gained 10% in nine days.

This trade demonstrated some important points about profit target calculation. I will talk about that in my next post.