RUT and the market in general are on a tear. The SPX MACD is over 3 and has only been that high twice since 1996. It’s extreme. The move up in RUT to 1194 has put most of our trades only slightly positive. It erases most of the gains for the month but the trades aren’t over yet. I eliminated most upside risk today but it’ll cost. I need to do more this week as some of the trades are now vega positive and need BF roll ups. I didn’t do today or yesterday as I want to wait a few days for the market to calm the eff down. I did add a lot of upside adjustments in the form of credit spreads and call bfs to allow for this wait. I’ll probably look to roll by Thursday and surely before the weekend. There’s lots of market moving events this week (loads of fed speak etc).
The 12-13 percent move in the last month puts our types of trades in a more of a break even posture. We just aren’t moving much these past few months re p/l, well, last week at 1140 we were crushing but now most of that is gone in the recent 40 point move up. But there is opportunity here at 1190-1200. It should soon exhaust itself as it is 120+ points off the bottom and in the past several years that is the max RUT moves. Ideally we have a bit of stagnancy or downward bias. Until then we just cover our upside risk and wait for profits. I guess patience is what is needed here.