I am trading from the boat today with a few friends. I pretty much neutralized the December trades yesterday. The December trades themselves are very profitable, it’s been a great month. I was a bit pissed off yesterday when I made the worst timed adjustments ever, I literally adjusted when RUT hit 1151 (the absolute low!) and had it rebound literally 30-60s later up to 1159. Annoying. If the trades weren’t so high gamma and close to Expiry (9 days), I’d have waited till 2:30pm but the deltas got high and I can’t trust OVs model yet (which spits out too delta negative). Probably a few k in adjustments right there.
The January rhino had 10 call calendars taken off to lessen the positive deltas. This was the first adjustment of the trade. I entered another 1170 Feb Rhino. I’m almost 75% cash right now as I unwind December. I’d normally just jump in a Feb Rhino but the looming Dec OPEX and potential rate hike in 7 days has me wanting to wait until the fireworks are over. It’s only another week or so.
As the months have gone by since Aug, I’ve been peeling more and more of the protector off and I am down to 25% of what I was, I was hoping for a normal santa rally to get the rest off, but so far it’s been mostly a volatile range. I’ll keep it on until early Jan and, if I see opportunity for options trades and it requires my margin, I’ll remove it at that time.