30 April 2013 - DAX Straddle Update

Missed the highs of 7960 this morning on the DAX but would probably scalp some gamma here at 7930. The straddles are showing me a delta of (87 - 13) = 74 here so would probably sell this entire amount of DAX and be delta neutral. Sitting on a pretty nice profit ATM as these straddles are almost at the breakeven and we still have FOMC tomorrow and the big ECB disappointment/surprise on Thursday.