Tuesday, September 1, 2009

09/01 Daily Summary

I have to confess I was not happy by the end of the day, seing the profits go away on the Iron Butterfly positions really got me thinking what might have happened. I had contingent orders to keep the delta under control, the damage would be worse otherwise.

My analysis is that the VIX and RVX (volatility indicators) increased by far too much in contrast to the price movement. We had a bit over 1 st. deviation on RUT, and a 2 st. deviation increase on the RVX! This robbed some extra profits from the position, as the short PUTs got more expensive and the CALLs didn't lose their values on the same proportion. If we find some footing here, the RVX can come back and prices might get adjusted, giving a pop in profits back (what I'm looking for)

For now, I'm following the price, we're rolling down and the positions are relatively under control.

Position's Details:
09/01 IBM Calendar
09/01 RUT Iron Butterfly
09/01 MNX Iron Butterfly

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