Friday, July 31, 2009

07/31 RUT 30-Day Iron Condor

Today the position got in a tough spot. It was theta negative going into the weekend, a 1 st. deviation move on Monday would hit the stop loss. I didn't want to go through the weekend with a theta negative position pulling down on the portfolio, so I needed to do something.

I decided to add an Iron Butterfly. My thinking is that it will bring a lot of extra (and much needed) theta and help control the vega risk, which was getting big because of the Long SEP Call contracts. I still have risk to the up-side, and plan on hedging if we break this week's highs. If we start moving to the down-side, I believe I can manage the risk a bit easier. It will all depend on how RUT behaves on Monday.

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