Example of adding delta on the way down: Assume one trader shorted -1ES at 1200, -1 front month (4 weeks) 1150 put, -2 front month 1100 put for the credit premium of around 100 points at current market condition. Now if few days late, ES drops to 1125. Then the trader adds -1ES at 1125, -1 front month 1125 put and 1 front month 1200 call for a credit premium of 40 points, by the time OE day, the profit and loss will look like this, in dollar value. If market further drop, then he'll keep doing the same thing above. Obviously, the risk/reward is favour the trader. 900 -10500 905 -10000 910 -9500 915 -9000 920 -8500 925 -8000 930 -7500 935 -7000 940 -6500 945 -6000 950 -5500 955 -5000 960 -4500 965 -4000 970 -3500 975 -3000 980 -2500 985 -2000 990 -1500 995 -1000 1000 -500 1005 0 1010 500 1015 1000 1020 1500 1025 2000 1030 2500 1035 3000 1040 3500 1045 4000 1050 4500 1055 5000 1060 5500 1065 6000 1070 6500 1075 7000 1080 7500 1085 8000 1090 8500 1095 9000 1100 9500 1105 9500 1110 9500 1115 9500 1120 9500 1125 9500 1130 9250 1135 9000 1140 8750 1145 8500 1150 8250 1155 7750 1160 7250 1165 6750 1170 6250 1175 5750 1180 5250 1185 4750 1190 4250 1195 3750 1200 3250 1205 3000 1210 2750 1215 2500 1220 2250 1225 2000 1230 1750 1235 1500 1240 1250 1245 1000 1250 750 1255 500 1260 250 1265 0 1270 -250 1275 -500 1280 -750 1285 -1000 1290 -1250 1295 -1500 1300 -1750