100 point move in 30 mins... lets see what it has done:
Collected
11600PE+CE = 63+61 = 124
11600PE+11650CE = 124
Squared 11600PE @105
Sold 11500PE@54
Diff: -51
Sold 11550CE 51
Sold 11550CE 53
Collected
11600PE+11600CE+11550CE = 124-51+51 = 124
11600PE+11650CE +11550CE = 124-51+53 = 126
Additional Risk:
11600CE CMP 14
11650CE CMP 24
It boils down to how one manages this additional risk. Due to this the delta is heavier now on the CE side. If market goes back up, then we will have more sold CEs than PEs. Good news is that the odds are in our favour. Market seldom moves sharply in both directions in a single week.
CMP 11500PE + 11550CE = 83+33 = 116
Collected 125
Gain 9
(Not gains really, since we have additional risk)