Wynn Resorts, Inc (WYNN) has moved up nicely over the last few days. So I want to take this opportunity to flatten out the Delta on the overall trade. If you didn't know, we wrote a short put at the June 95 Strike for $2.30 on 1 contract (Conservative) and 3 (Aggressive). So I want to sell the June 120 Call in the $1.55 - $1.60 range.
I will be doing an additional commentary on neutralizing deltas with a more comprehensive explanation. But here is a quick explanation:
Prior to selling the call the Delta was 13.5 on 1 contract. By selling the call the Delta moves to a negative 9.20. The easy explanation is that prior to selling the calls the position represented a long position of approximately 13 shares of WYNN. 13 shares of WYNN would cost about $1450. Therefore selling the call made the position equivalent to about shorting 9 shares of stock. The position will "theoretically" profit $9 per contract for a $1 decline in the underlying stock (WYNN). Pretty cool, huh?
The stock has a lot of resistance at $116... so we should be relatively safe at the $120 strike. In addition, selling the $115 strike would cause the position to be leaned too negatively for my analysis.