Whoa, what a day.

Huh, what a day.

Maybe we’ll now have 3 sets of backtesting dates we can use for correction analyzing lol 🙂 Spicy 3.5% down on the market day while Futures are sitting at 2778 (nearly 4% down) post market day.

The day started off well. I was able to close a load of HS3 out for close to profit target (I removed around 150 SPX equivalent units throughout the day). That was nice. Rare that on days like these I hit target..nice for a change. That was for December HS3 though. Nice and matured and liked the down move. However, I did end up at 2810 with too many previous ATM PCS adjustments relative to the size of what I had left of HS3 original structures and the market puked so quick I didn’t get them off. A bit annoying because it drew down a bit at end of day.

However, not all that rosey, the VIX spike to 23 and the skew changes have hurt my newest existing CC and HS3 trades as well as the start of my BSH factory. Not insane down but a bit spicy. As well, I wasn’t able to get all my Dec HS3 trades off and I have some with too many ATM PCS that I didn’t close. Probably 5-10 units left here but positive delta exposure (though limited because the ATM PCS are only 25 wide and are already half the value). No matter how you slice it we sell Vol and when we have a move like this (they say its top 3 point move in history) we’ll feel some pain in the volatility increase.

My current main exposure is this:

67 Jan HS3 (+30k)
75 Mar HS3 (-65k)
65 Mar CC (-52k)
Oct HS3 Hedge (+30k) (converted today early on)

BSH factory start (-35k to -40k or so) (this is probably temporary..the puts are around 2050 and 1975 so I am not overly worried, it’ll just take time). I nearly took them off when the force index hit 15 but it wasn’t really part of my plan so I didn’t. I obviously wish I did.

I kinda expect the market to slow down here and bounce, it’s hitting the trend line from the Feb lows and the RSI is very oversold. Probably a bit more pain (capitulation) as we visit and test the 200 SMA in the AM which sits at 2769 area (approaching now in afterhours) and a bounce/relief. That said, the RUT broke its 200 day today quite a bit…maybe SPX follows. I’d say that a bounce is better odds than another 90% MDD day but who knows. My gut wasn’t too worried @ 2pm today but this after hours action is kinda worrisome. Should be an interesting few days.

I am not overly exposed and the pain is relatively small. The HS3 March could experience a vomma surge to help its profit if we crash more but likely it’ll be drawn down until we have vol relief. It’s generally BSH protected but none of that activates unless its really swift and large in magnitude.. Yesterday it was about break-even and today its down 65k on a 110 point move. The CC’s were down about 30k yesterday (all expected) and today was hovering around 50k and with this afterhours movement I bet it is touching 60k. Anymore and I’ll have to do something.

I turned my Dec/Jan CC’s more neutral well before this move and they’re all relatively ok. Barely flinched from yesterday, though drawn down from the start of 8 days ago due to vega over the past week.

I rolled my rhino yesterday which was great. It’s just drawn down a bit but positioned well.

I have KH on that are now up a bit today…not quite activated yet.

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