EOG has risen again today by 1% to $110.35 at the time of this writing and moved above our short $110 call, high of $110.95.
I decided to take the profits now and close the position instead of flirting with the upside breakeven point which at current IV is $111.40. I sold all 20 contracts for a net credit of $6.00 yielding a $720 profit.
This is a good example of avoiding gamma risk with only 1 day until expiration.
Below is the Live Vol Pro skew tab today, and the skew tab from 4/13/2010 when the trade was placed. You can see the $105 put actually gained IV and the $110 call has fallen from around 40% IV to 33% IV.