Today we hit 1840, that by itself wouldn’t be a big deal, yet we were trading bellow 1790 when we started trading higher and higher. By the time we were hitting 1840, the NDX had moved over 50 points, and this sort of fast-paced action usually causes wider spreads and distorted P/L picture, I’ve also noticed the vols on my short Call and Puts dropped, but not at the same pace as all other strikes: The TOS imp.Volatility dropped about 9% for NDX, my short calls and puts dropped a bit over 2% in volatility, so I guess this contributes to my P/L to be distorted and worse than planned last night when I estimated the NDX at 1840. Not much I can do here, I got the long SEP call as previously planned and am now on stand-by waiting to see how the trade will look like Tomorrow. If the vols drop a bit and spreads go back to normal I will see a good P/L recovery.
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