# SPX Options Portfolio Management: Managing Multiple Trades by the Greeks

> Dan Sheridan combines a put calendar, a 70/65 butterfly and a put credit spread on SPX into one position and shows how to manage it by its combined Greeks.

- URL: https://optionomega.com/blog/spx-portfolio-management-greeks/
- Published: 2026-02-28
- Author: Dan Sheridan (Options mentor and former CBOE market maker)
- Topics: Portfolio Management, SPX, Calendars & Diagonals, Butterflies, Credit Spreads
- Video: [SPX Options Portfolio Management: Managing by the Greeks](https://www.youtube.com/watch?v=28l96z8N7Nc)

## Key points

- Dan Sheridan builds three SPX trades (a 17-day put calendar, a 24-day 70/65 butterfly and a 10-day put credit spread) and manages them as one combined position.
- Together they used about $11,000 of capital, were almost exactly delta neutral (about 0.3 deltas), and carried about $278–$284 of theoretical theta a day in the model.
- His key rule: when pieces are similar in size, the combined graph takes on the shape of the trade closest to expiration, so that is the trade he gives the most attention.
- He likes to keep each piece at similar capital (he put each near $3,000 here), spreads entries over a few days, and plans to hold about 30% of each trade's duration.

In the Cboe pits, Dan Sheridan could have 50 positions on at once. Managing each one separately was impossible, so market makers managed them as one big trade, by the combined Greeks. In this video he brings that approach to a retail-sized SPX portfolio: three trades, about $11,000 of capital, and a combined position that was almost exactly delta neutral.

Dan called it practice at managing trades by the Greeks. He builds each piece live in the Option Omega [modeling tool](https://optionomega.com/features/modeling/) and watches how the combined delta, theta and vega change as each trade is added, which is how he decides which piece to add next.

## The market backdrop

Dan recorded on Tuesday, February 10, 2026. SPX was around 6974, near its all-time high around 7,000. For the previous two months, the market had been choppy, with big daily ranges, but range-bound between about 6,800 and 7,000. VIX was around 17.30, in his view at or a little above the lower end of its range.

That backdrop matters, because all three trades are range-bound trades with 10 to 25 days to expiration. For range-bound trades, Dan says, the most important factor is a range. With VIX around 17, he is comfortable with some long-vega and some short-vega pieces.

## Trade 1: the 17-day put calendar

- **Structure:** sell a put 17 days out, slightly below the market, and buy the same strike four days further out
- **Size:** 5 calendars, about $3,000 of capital
- **Delta:** close to zero
- **Gamma:** low, about -0.1 to -0.2, so deltas barely change on a 5- to 30-point move
- **Theta:** about $148 a day (theoretical)
- **Vega:** about $327 per one-point change in implied volatility

Dan generally plans to be in a trade for about 30% of its duration. For a 17-day calendar, that is about five days. Stepping the model forward to Friday, three days in, it showed the calendar could be up around 10% in the profit zone, or about $300 on $3,000. That's a model projection: Dan notes that theoretical theta and actual theta can be quite different, but in his experience a 10% gain in three days on a 17-day calendar "is not unusual."

## How Dan diversifies

Before adding the next piece, Dan lists the ways he likes to diversify:

- **Entry timing.** He spreads trades across days, such as Monday, Wednesday and Thursday, to diversify price risk.
- **Duration.** He uses different expirations.
- **Volatility.** He mixes long-vega and short-vega trades depending on the environment.

## Trade 2: the 24-day "Sherman Tank" butterfly

The second trade is the 70/65 broken wing call butterfly Dan calls the "Sherman Tank," 24 days out, three butterflies:

| Leg | Strike | Distance from short |
| --- | --- | --- |
| Buy | 6910 calls | 70 points below |
| Sell | 6980 calls (about 5 points above the money) | — |
| Buy | 7045 calls | 65 points above |

He cautions that 5-point strikes aren't always available, so the chain is worth checking.

Because SPX was at the upper end of its range, Dan wanted more room on the downside. With VIX at 17, he was fine being a little long vega.

### Dan's rule: the closest expiration drives the graph

With the calendar and butterfly combined, the graph looked much more like the calendar than the butterfly. This is the one principle Dan says to keep in mind when managing by the Greeks: when pieces have similar dollar amounts, the combined graph takes on the characteristics of the trade closest to expiration. The 17-day calendar expires before the 24-day butterfly, so it dominated, and that's the piece Dan gives the most attention.

After two trades:

| Measure | Calendar + butterfly |
| --- | --- |
| Delta | About -5 |
| Theta | About $220 a day |
| Vega | Still long, despite the short-vega butterfly |
| Capital | About $7,600 |

## Trade 3: the 10-day put credit spread

Dan wanted a little less long vega and fewer short deltas. Since SPX was near the top of its range and he saw the path of least resistance as up for the next few days, he added a short-vega, long-delta piece: a 10-day put credit spread.

- **Short put:** 6830, about 20 delta
- **Long put:** 6810 (20 wide)
- **Size:** 2 spreads

The 10-day put spread is now the closest expiration in the portfolio.

## The full combined position

| Trade | Days to expiration | Contracts |
| --- | --- | --- |
| Put credit spread (6830/6810) | 10 | 2 |
| Put calendar | 17 (short) / 21 (long) | 5 |
| 70/65 call butterfly | 24 | 3 |

| Combined Greeks | Value |
| --- | --- |
| Delta | About 0.3, almost zero |
| Theta | About $278–$284 a day (theoretical) |
| Capital (max loss) | About $11,000 |

Since everything is a spread, Dan treats the roughly $11,000 put up for the position as its max loss. He still plans to hold about 30% of the duration. Averaging across the 10-, 17- and 24-day pieces, that is still about five days.

As Dan put it, delta neutral doesn't mean no risk. The model showed downside risk from the put credit spread if SPX fell far enough. The upside had less ultimate risk and a wide profit zone at expiration, up to about 7100. Stepping four days forward, the model showed theoretical profits of roughly $300 to $700 depending on where SPX was. For example, with SPX down about 40 points to around 6931, it showed roughly $600 of profit. Those are model projections, not results.

In practice, Dan would not put all three trades on in one day. He would spread them over about three days. Volatility can also change within a week: if VIX rises, he adds a short-vega piece; if it falls, a long-vega piece.

## Dan's principles for picking pieces

1. **Volatility.** He picks pieces based on where volatility is when he enters.
2. **Margin.** He likes to keep each piece at similar capital. Here, he said each was near $3,000.
3. **Duration.** Shorter trades give more theta but more risk; longer trades give less theta but more price protection.
4. **Price risk.** He keeps the big picture in view: where the price range has been over the last month or so. Since he holds trades for about a third of their duration, the recent month matters most for 10- to 30-day trades.

Even with only one or two trades, Dan says it is worth looking at them together. If the market makes a big move, the combined picture is "what she looks like." From there, managing the portfolio, for Dan, means constantly taking pieces off and putting new ones on.

## Key takeaways

1. **Dan manages multiple trades as one position** by their combined Greeks, the way he did as a market maker.
2. **In his experience, the closest expiration shapes the combined graph** when the pieces are similar in size, so he watches it most.
3. **He uses each new piece to balance the whole:** Dan added a short-vega, long-delta put spread to offset a long-vega, short-delta position.
4. **He keeps capital similar across pieces** and spreads entries over a few days.
5. **Delta neutral isn't risk free.** In this model, the put credit spread left downside risk on a large enough drop.

## Model your own combined position

In Option Omega you can [model multiple trades together](https://optionomega.com/features/modeling/) and see the combined Greeks and graph over time, then [backtest each piece](https://optionomega.com/features/backtesting/) to see how it held up. For Dan's full checklist, see [5 principles of an options portfolio](https://optionomega.com/blog/options-portfolio-principles-dan-sheridan/). For more on the Sherman Tank butterfly in a higher-volatility market, see [high VIX SPX options trades](https://optionomega.com/blog/high-vix-spx-options-trades/).

**[Start a free trial](https://optionomega.com/pricing/)**

*Watch the full video: [SPX Options Portfolio Management: Managing by the Greeks](https://www.youtube.com/watch?v=28l96z8N7Nc).*

*Trades in this post were modeled, not backtested. It is educational only, and options trading involves substantial risk.*