==Market Open Update==
The market opened up kindly for us. We made some small adjustments on both the RUT and SPX MIC at a good price as both rose. We’re now delta neutral for both with a very large THETA (time decay) PER day heading into the final weekend. We’re looking good. RUT has no upside risk as we’ve removed the call spreads. SPX has very little upside risk (45 or so call spreads still on). We’ll be holding till Monday but at end of day today we’ll be adjusting so we enter at relatively delta neutral with a large window to alleviate as much risk as possible heading into Monday. Hopefully it’s a stress free final day of market risk for this month
==1030am Update==
Today (Friday) should be challenging. The futures are down 19 points. Yesterday opened at 2032 and within an hour hit 2055. That’s a large move up. Then it proceeded to fall all the way to 2031 by market close. A complete reversal (see white chart below). We’re looking to open around 2019. From yesterdays peak to trough that’s about 40 SPX points in a few trading hours. We’ve got an adjustment to do around the 2020 mark. We’ll add a full debit spread. If it opens much lower, we’ll buy back some puts on the credit spread. That’s the most aggressive adjustment. We’ll gauge on open. I don’t love doing this so close to the end of the trade but it’s necessary. The next adjustment point would be 2010. We should be able to get most profit out at about 2012-2040 range on Monday, Not an easy environment for the MIC especially so close to the expiration but it’s better than having opened one a week or two ago.
Well,
That was a first for me and I’ve seen a lot these past few years. The size of the swings and the timing is quite astounding.
Luckily the whipsaw did not affect our position directly since it was so close to the end and we had a huge range and we hadn’t needed to adjust. However, the volatility increase is making it annoying to close the trade. We’ll likely need to wait until Monday or Tuesday. As theta and vega start do deflate from the trade. We have that luxury with the trade being so delta neutral. Right now there is a lot of fear in the market and it reflects in the price of the insurance we sold despite it being very close to expiry and far away from the strikes. Friday and the weekend should deflate most of that value away. We’ll want to enter the weekend fairly delta neutral as a way to mitigate all potential risk.
I am excited to close up the year and reset my trading portfolio in January. It’ll be both a lot less active maintenance and a lot more diversification. This year was an active trading year as I was nearly 80% MIC and heavily focused on small active adjustments to avoid whipsaw. This backfired in the huge 250 point run we had from 1820 to 2070
