Trade Alert: Portfolio 2 — Theta Rebuild

Improving Efficiency Without Changing Direction Date: March 31, 2026

Background: Yesterday’s Roll

Yesterday, we took advantage of the strong upside open to roll our April positions out to May. We were in a challenging spot — some of our short puts had moved in-the-money, while most of our long put hedges were out-of-the-money. This created a classic “theta conundrum,” where holding the position would result in ongoing decay from the hedges without sufficient protection benefit.

At the time, our short puts were concentrated between the 665 and 640 strikes, while our long put hedges sat lower, at the 620 and 605 levels — leaving us in a vulnerable and inefficient structure.

During the roll, we made an important adjustment: we widened our put spreads while reducing the number of contracts. This allowed us to maintain upside participation while meaningfully reducing overall delta exposure and unit risk.