Today's fast up move was hard on all my positions, specially hard on the RUT Iron Condor, the trade lost a lot of ground with price and volatility moving up. I have adjusted the SPY Double Diagonal and am at a critical point where I need to add something to the position in order to make some theta.
I have also added a small iron butterfly to the MNX position, this will increase my up-side break-even and add theta. Other than that, the next step is to move some of my short calls that no longer have any time-value on them.
Position's Details:
07/23 RUT 30-Day Iron Condor
07/23 MNX Iron Butterfly
7/23 SPY Double Diagonal
Thursday, July 23, 2009
07/23 RUT 30-Day Iron Condor
OUCH!! What else can I say?! We moved up and volatility stayed up. This is like a double hit on the Iron Condor, in normal circumstances the VOLS tend to drop the next day, Tomorrow being a Friday will help.
My main concern is that I'm just a few points away from my first hedging level, and with this current volatility, I may pay too much for SEP contracts, but I have to do what I have to do, there is no fooling around with an Iron Condor, if you don't manage, it will take your money in a hurry!
Position's History:
07/23 MNX Iron Butterfly
As Planned Yesterday, I added a long contract when we broke the 97.3 area, this cut my deltas and kept the P&L under control as we fired up. When MNX was trading at 160 I went ahead and added a smaller iron butterfly to increase the theta and expand the up-side expiration break-even on the graph.
My next step, likely to do it Tomorrow is to start rolling the short CALL contracts, at this point they are not making me any more money and I need to roll them up. I will look into using a debit spread to move the CALL contracts, if the deltas get too negative after I roll, I'll sell one of the long SEP CALLs I bought.
In my backtesting, I've seen difficult trades where the iron butterfly recovered, I still trust this one will make it through. Also, note that the TOS risk profile is messed up, it probably has some bad data from end-of-day.
Position's History
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*
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7/23 SPY Double Diagonal
Today I used a butterfly roll to move 3 of the short 94 CALL contracts and sell the 98 CALLs, this was my way to cut the deltas in the position, I wanted to avoid doing so, but with SPY breaking the previous trading range I had no choice but to stretch the up-side stop as much as possible.
At this point, I'll have to add to the position in order to make a profit. I'll look at it very carefully Tomorrow and come up with a plan.
Position's History:
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