10/26 Daily Summary

We were moving up +1 st. deviation during early trading, then suddenly dropped back to zero and below. That sent volatility to the roof and I admit I started to think about intra-day adjustment on the RUT trade. After looking at FinViz and Vertical Solution charts, I realized that I could wait until the end of day before making my move.

Notice that VerticalSolutions showed a reversal in probability, but never went to an extreme point. The FinViz chart is a bit more subjective, but you can also see that we're not looking at a "brigt red" picture all over the map, we see some dark spots and even some green.. Once it was all said and done, I was able to adjust the RUT without overpaying for the intra-day volatility.

Now, notice the price action chart, see how RUT is reaching an extreme for the 5-day volatility spike chart, that is very different from the MNX picture.

Position's Details:
10/26 RUT Iron Butterfly
10/26 MNX Iron Butterfly

Price Action & Forecasts:

10/26 RUT Iron Butterfly

I made adjustments to the position by end of day Today. I rolled the 620 Put into the 600 level, and decided to open a new iron butterfly at the 590 strike to benefit from the pop in volatility. Those two adjustments injected more theta into the position and should volatility come down it will look really good.

I decided against selling the 590 Calls, opted for the 600 instead. I don't want to be rolling up if we bounce from these levels.

10/26 MNX Iron Butterfly

Between Friday and Today's close one would think we didn't move much. However, the fact is that we moved higher 1 st. deviation intra-day this morning and then crashed down during the day. This created a spike in volatility and even though the position didn't move much, the volatility is keeping the profits away.. Should things settle down it will come back.