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

09/01 IBM Calendar

I opened the 115 PUT calendar Today, the trade is down but not by much.
Previous Posting:
08/31 IBM Calendar

09/01 RUT Iron Butterfly

The contingent orders kept the trade under control, but then again, the Volatility increased by far too much and this took a good chunk of the profits out of the trade. If we find some stabilization in the next few days, the P&L should recover, specially because the theta is really good at this price level.

Previous Posting:

08/31 RUT Iron Butterfly

09/01 MNX Iron Butterfly

Volatility hit the trade quite a bit Today. I had contingent orders that took care of the deltas as priced went down, but I think the volatility increase hurt the position more than the price movement Today. On the positive side, the Theta is increased, so it should be able to recover if we stay quiet for a few days.

Previous Posting:

08/31 MNX Iron Butterfly

08/31 Daily Summary

Today's price action was beneficial to the portfolio! I have reached the +10% on both my iron butterflies and the IBM didn't suffer that much with the retreat.

One thing I'm wondering is how to control the increased gamma exposure on my RUT Iron butterfly, I think it was caused by my 2nd butterfly being short the 590 PUTs. I'll send a quick email to Dan Harvey and ask for his input.. I was considering giving up some of the theta and do a strangle to cut the gamma down, let's see what Dan says.

Position's Details:
08/31 IBM Calendar
08/31 RUT Iron Butterfly
08/31 MNX Iron Butterfly

08/31 IBM Calendar

IBM pulled a recovery by the end of the day, I still have the extra 2 calendars to open on the 115 level if it proves to be needed. Other than that, if we stay there or move up a bit I should be taking profits.
Previous Posting:
08/28 IBM Calendar

08/31 RUT Iron Butterfly

Nice! I'm glad I didn't flatten the deltas out last week, also glad I held on to the 650 Calls, rolling them up would leave me little room to the downside. Now, the only concern at this point is my gamma, it is increasing a bit too early on the trade.

Previous Posting:

08/28 RUT Iron Butterfly

08/31 MNX Iron Butterfly

Things are looking great for the position, this market retreat came in at the best possible time. Better than that will be if we trade sideways here, reducing the volatility and increasing profits.

Previous Posting:

08/28 MNX Iron Butterfly