K200 Options cannot be defended

K200 close at 268.01 on Tuesday, 29-Jul, up 4.54 points in 2 days.  While I have expected it to move to 267-268 range, I didn't expect it to move so fast.

As at Wenesday, 30-Jul, 12.38pm Korea Time,  it move up another 3.12 points to 271.13.

Refer the Option Chain below:

Say, you have a Bear Call spread of Sep11'14 277.5/280.  Your short 277.5 Call is still about 6 points away but its Delta is 0.3230.  It is a basic rule to defend/adjust your Credit Spread when the Short Strike Delta is above 0.25-0.30.  A normal defending strategy (adjustment) will be roll out or roll up or both.

Firstly, you cannot roll up!  There is no Strikes beyond 280.  You cannot even roll up to 282.5/285 which is the nearest Spread you can roll up.

Secondly, you also cannot roll out!  To roll out, basically you will roll to next month with the same Strikes.  But you cannot roll out to Oct08'14 277.5/280!  There is no price available for 280 Call.  Even if 280 Call price is available, you might not want to just roll out as Oct08'14 277.5 Call is having a Delta 0.3887, higher than Sep11'14.  You won't want to roll out to a higher Delta.

Lastly, typically, we will roll out and up.  But, obviously,  you cannot roll out and up.  There is no Strikes higher than 280 in Oct08'14!

This is a serious limitation in trading K200 Options.  Looks like the only strategy is close the position and cut loss.