Notes: A delta under hedge in the first expiry in which the at the money short straddle pays more than 10% of the share price (currently in October). Scratch at 81.99 versus current setup value of 88.02; delta~21; theta 22; extrinsic of 44.89.
I'm approaching the max that I want to devote to working my way out of this trade, so will potentially look at delta adjustments using existing units as opposed to additive ones going forward.