Monday, June 29, 2009

06/29 Daily Summary

Nothing major happened Today, SPX made new highs, but it wasn't followed by RUT or MNX, trading was range-bound for most of the afternoon.

I had an automatic adjustment on the SPX Iron Butterfly but the adjustment wasn't enought and I ended up the day more delta negative than I wanted. Also, by the end of the day I cut a few deltas on the MNX Iron Butterfly to keep it in line with the theta.

For tomorrow, should we keep moving up, I will execute some butterfly rolls to move my short CALL contracts on both the RUT and SPX Iron Butterflies. The MNX iron butterfly is not quite at a point where I need to move the short CALLs, so if we move up on MNX I'll add long AUG CALLS to bring the delta back down in 1/2.

New positions this week:
I'm thinking about adding a 50-day Iron Condor for Aug/09 Contracts, I might do it on the small side. This should probably be something I do on Wednesday (if I decide to do it)

Here is a summary of each open position:
06/29 RUT Iron Butterfly
06/29 SPX Iron Butterfly
06/29 MNX Iron Butterfly
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06/29 RUT Iron Butterfly

There was no change in P&L Today, at these levels, I was expecting the trade to be slightly profitable based on last Friday's estimations. However, the difference is so small that it doesn't botter me as much as the SPX discrepancy.

I have orders to execute butterfly rolls on the short CALLs if we move above 515 and 520. The reason to move these short CALL contracts is that they have very little time-value on them, and they are hogging the deltas.
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06/29 SPX Iron Butterfly

Something weird keeps on happening on this trade. The risk profile is not accurate, could it be a function of the SPX's wide spreads? Thoughts? Anyone? I hedged (or thought so) the position around noon Today, and when I looked back at it after it closed, the deltas were big once again. I have orders to execute butterfly rolls to move my Short CALLs if we move higher Tomorrow.

The P&L took a drop Today, if you look at the risk profile from last Friday (see link at the bottom), it was estimating the trade to be profitable at these levels.. I'm certain I don't want this type of scenarion in a live trade, so I'm staying away from SPX on live iron butterfly positions.
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06/29 MNX Iron Butterfly

I almost cut my deltas at 149 Today, was thinking about doing that when MNX was trading at 147 (first hour of the day). I even posted an adjustment in twitter and the blog. After spending some time thinking about it, I decided to stick with Friday's plan. As it turns out, MNX went to 149 and backed off to 138.3. At the end of the day all I had to do was bring the delta back in line with my theta. I still have orders to cut the delta if we're at 149.50.

I'm looking forward to some down-side movement so I can cash in the trade. The sooner the better.

Position's history day-by-day

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06/29 MNX Iron Butterfly - At Opening

Update: After wondering on this for quite a while, decided to keep the plan from last Friday. I don't want to be reacting to price action and change my plan just because we moved down in the first hour of trading. So adjustment back at 149.50

Based on this Monday's open, I've made a small adjustment to the contingent orders on the position, I'm basically tightening things at the top and bottom, now that we're around 10% ROI I want to keep as much of the profits as possible. Likely to exit the position all together Today based on a 10% in 10 days rule.


Position's history day-by-day

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