AAPL Short Strangle Delta Neutral on 10/22/07. AAPL @ 173.74 Sold 10 210 calls @ 1.05 Delta +.11 Sold 10 140 puts @ 1.00 Delta -.11 Delta = 0. 10/23 Apple goes up big. Delta of calls +.09 Delta of puts -.07 Delta is off but since the puts are now trading at .15 I decide to take the money and run. 10 140 puts @ 1.00 - .15 = +850 realized gain. This leaves a delta of +90 on the calls so the trade is -90 since I sold them. To neutralize I sold 10 160 puts @ .59 with a delta of -.09. Position is now at 0 delta. AAPL moves sideways the rest of the week closing fri. @ 184.70. 10 210 calls @ 1.05 - .53 = +520 unrealized gain 10 160 puts @ .59 - .54 = +50 unrealized gain 520 + 50 = 570 unrealized gain 850 realized gain on the 140 puts. Delta of calls is .07 Delta of puts is -.06 Total delta = -10