With front month futures risk premium decaying rapidly into expiration, and with my sweet spot at about 25 I had trouble re-hedging, and trying to shift everything lower. With only two trading days until expiration it is a fait accompli that September won't work out exactly as I planned. October futures closed at 27, and with October historically being a volatile month, October skew seems cheap. Is there a way to be short delta and long skew?
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