Leaderboard

What you describe is not hegding but digging the hole deeper and exposing yourself to more losses. If you are looking to role the expiry of your IC itself then you are effectively taking a new position with additional losses possible. Not something I recommend. My example is, STOCK XYZ @ 100 and you have an IC: 10 SHORT PUTS XYZ June 21 60 10 LONG PUTS XYZ June 21 50 10 SHORT CALLS XYZ June 21 100 10 LONG CALLS XYZ June 21 110 So your call side is obviously challenged - buy 1 month out or further a call 1 CALL XYZ July 19 100. The reason to be ATM and a month out is to have maximum delta effect and still not lose too much to theta if the stock retreats as was your original expectation. If XYZ continues to advance then your hedge will help against the loss - mind that if the call delta rises too much more drastic measures are needed like moving the whole operation a strike or so up. In the above scenario if you are lucky you might for no cash outlay be able to get to: 10 SHORT PUTS XYZ June 21 80 10 LONG PUTS XYZ June 21 90 10 SHORT CALLS XYZ June 21 105 10 LONG CALLS XYZ June 21 115 Always mind that you want the shorts delta to be below 30 certainly if you are getting close to expiry - which is not quite the case above.