I removed several 1160 BWBs for between 6.1-6.55 credit (I paid about 3.20 for them) so I closed them for a nice profit and cut my downside risk in half. I also added some 1100 bearish butterflies on each bounce as an additional hedge to the downside. The Jan Rhino’s ended the day at a delta of about 20 per unit. I am comfortable with that. We’re uber oversold on all levels. NYMO is reaching extreme levels and though I expect a down day on Monday, I think we’ll bounce off the SPX 1980-2009 area by Tuesday once we reach that extreme NYMO level.
When volatility is high and we’ve got additional room to the downside, I like to buy Bearish butterflies as a hedge to my existing positions since they can be quite cheap.
I only had Jan and Feb Rhino trades on during Friday’s fall and we ended the day neutral with no gain or loss (well ~-1200 according to my IB statement) but that’s negligible. Gotta love that. The RUT has moved from 1205 to 1120 (85 points) in a very short timeframe and the trades are all up money.