Nothing like having your trades take care of themselves when the market goes wild. The contingent orders did their job and fired up soon after we opened. I found some time mid-morning to add a new set of contingent orders and published a mid-day update in the blog.
One thing to notice: More and more I rely on the previous' day P&L curve to base my decisions during the intra-day price action. Today for example, I had my P&L all over the map, from being down $500 to being up $150 in a matter of minutes!! Well, it is still dancing around and will settle down at the end of the day, however, without some sort of guidance it becomes hard to make any type of decision, so the having the previous' day profiles here at the blog is helping a lot. I see a lot more discrepancy in the SPX than in the RUT trade.
Position Details:
07/02 SPX Iron Butterfly
07/02 RUT Iron Butterfly
Thursday, July 2, 2009
07/02 SPX Iron Butterfly
I added a calendar to reduce my vega risk and increase the theta. At first I thought about selling CALL vertical spreads, but then realized my vega would be pretty big, so went for the calendars.
I have to say, managing this SPX is harder by the fact that the P&L estimates stays a moving target. At the closing it was running between up $100 to down $200.. I guess the dice was rolled once again and it shows I'm down $200 Today. This is quite different from what I see on my RUT or MNX positions, they were maneagleable and the P&L oscilations were not this wide.
I have to say, managing this SPX is harder by the fact that the P&L estimates stays a moving target. At the closing it was running between up $100 to down $200.. I guess the dice was rolled once again and it shows I'm down $200 Today. This is quite different from what I see on my RUT or MNX positions, they were maneagleable and the P&L oscilations were not this wide.
07/02 RUT Iron Butterfly
At the final hour, my goal was to increase theta and cut some of my vega risk. Should we keep going down, I don't want to get hurt too badly by increasing volatility. The answer was adding a small calendar I purchased 2x JUL/AUG 490 CALL calendars. I almot bought the 490 PUTS, but I already had short 490 and was afraid of getting confused when it is time to exit the position.
Looking at the graph, I like where we can be on Monday. I'll have orders to cut deltas if we start moving wildly, but expect to be profitable on Monday, likely at 10% if we end Monday without any major movement.
Position's history day-by-day:
Looking at the graph, I like where we can be on Monday. I'll have orders to cut deltas if we start moving wildly, but expect to be profitable on Monday, likely at 10% if we end Monday without any major movement.
Position's history day-by-day:07/02 Mid-day update
The markets are selling off this morning, the contingent orders were executed and I've sold all my long AUG calls on both the SPX and RUT Iron Butterflies and am ready to further control the deltas if we keep moving down.
We're down 1.5 standard deviations as of 10:00 AM EST, should we keep pushing down I have added contingent orders to cut the deltas in 1/2. On the bright side, we're at a great level for theta and this will get the benefit of a long weekend.
We're down 1.5 standard deviations as of 10:00 AM EST, should we keep pushing down I have added contingent orders to cut the deltas in 1/2. On the bright side, we're at a great level for theta and this will get the benefit of a long weekend.
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