10/01 Daily Summary

The market crashed down very hard Today, RUT moved -2.5 standard deviations on my historical volatility charts and MNX moved -3 st. deviations. Both my positions got hit. There is still time and money left in both trades to keep up with the market, as long as we don’t start a major down-trend now, they should be able to get out of it profitable.

I’m not sure I’ll be around Tomorrow during the closing hour, so if we continue moving down early in the day I might have to do the vertical rolls before end of day.

Position's Details:
10/01 RUT Iron Butterfly
10/01 MNX Iron Butterfly

10/01 RUT Iron Butterfly

RUT contingent orders kicked in and protected the trade as the market crashed down. By the end of the day I decided to add a small butterfly to take advantage of the volatility pop, increase the position’s theta and cut some of the deltas. Should it continues to move down Tomorrow my plan is to hedge and do a vertical roll to get rid of some of the delta hogs.

I looked at the VIPES chart and don't quite like what I see, notice that we had 3 days with over 1 st. deviation in the past 2 weeks! That's a sign the market may be getting too hot to handle once again...

10/01 MNX Iron Butterfly

As MNX crashed down, one of my contingent orders didn’t fire up properly, luckily I was there and caught with if right before any major damage was done. I think I had mark +0.02, while it should have been mark +0.03 in order to get a fill.

By the end of the day I started to roll the delta hogs in order to balance my deltas and keep the position’s theta up. Let’s see what Tomorrow brings.