Being 22 days to expiry and having this relentless up-move is just plain bad timing with how the structure of the March trades are. I’m giving back some profits in the exit, no doubt.
I got rid of quite a bit today @ 10:30 and I was going to get rid of more at 2:30 but the up move and being negative delta, has definitely hurt and I still have a lot on. I can’t believe I closed 1040 and 1060 call spreads yesterday @ around RUT 1007-1009 only to be at 1030 right now and now I am actually too delta negative…whipsaw and probably over-adjustment. I should have closed the equivalent number of Rhino’s at the same time, hindsight is 20/20. My thought process with the call removals, was that I was positive delta, we had just fallen from 1014 to 995 area and on the bounce to 1007, it was a good opportunity to get rid of some of the call calendars to put me close to neutral or slightly negative. I’d then start to remove Rhinos towards EOD and on Thurs/Fri. What ended up happening is a very swift move from the 990s to 1030s in the course of 4-5 market hours (4%?). Frustrating.
On the SPX side, I closed the entire SPX Rhino @ 1.80 credit (I paid 1.60 debit). We got a great price for it and it was bearish leaning so it was a good time to get rid of it. IT was a trade recommended by Brian Larson back a few weeks ago.