09/02 Daily Summary

The portfolio recovered a bit Today, with the MNX position pulling back the most P&L. The IBM calendar was lagging behind Today, didn't bring any profits recovery yet. I'm keeping a close eye on both Iron Butterflies, hopefully we'll find some support at the current levels, notice on the profile charts there is still plenty of money to be made if we hang around here for a bit.

Position's Details:
09/02 IBM Calendar
09/02 RUT Iron Butterfly
09/02 MNX Iron Butterfly

09/02 IBM Calendar

The IBM trade is still underwater, not much to do here except keeping an eye on the position, next adjustment point is if we hit 115, that will cause me to consider scaling out of the 120s.
Previous Posting:
09/01 IBM Calendar

09/02 RUT Iron Butterfly

The position didn't recover as much P&L as the MNX trade, I wasn't too excited about the deltas and vega, so I added a long OCT Put to cut things down a bit. This is the first time I trade the RUT Iron Butterfly and it is interesting to see how different the greeks are from the MNX trade.

Previous Posting:

09/01 RUT Iron Butterfly

09/02 MNX Iron Butterfly

The position recovered some of its profits Today, the volatility is still up but I think the market makers started adjusting the pricing models a bit more and that resulted in an increase in profits. MNX dropped quickly in the last 15 minutes of trading and the deltas jumped to 40, a bit over my confort zone (they were at 22 the last time I checked). I have contingent orders in place to keep things under control if we continue moving down.

Previous Posting:

09/01 MNX Iron Butterfly

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