Well, don’t have much to say on the markets the past week. It was what it was. China was in a crash and Greece votes “Oxi”. The markets closed well yesterday despite this and the theta locked up in both MICs started to seep out yesterday. The after hours action was pretty intense with SPY reaching 207.5.
The MIC trades are up 3.5% which is amazing given the events. I had adjusted probably 6x on the way up and down and we were victim of some whipsaw. Was by far, not an easy month. I am going to slowly close the trade out this week and I expect to reach around 5-6% when it’s all said and done. Any big events can obviously change that but I think we can handle it by careful managing of the deltas and given that we aren’t holding through next weekend, all we have to do is carefully manage it throughout the trading week. Who knows though, any big scare, and I’ll probably be quicker in taking off this close to expiry. 3-5% is nothing to sneeze at with the moves we’ve seen.
The SPX trade has risk to the upside that I have to alleviate this AM via its debit spreads (the insurance I bought to offset the risk on the insurance I sold). I am reluctant to do too much to the upside given the volatility and the headlines still present. I am going to carefully monitor and probably just start slowly rolling off the trade as soon as today.
The RUT trade is up more than the SPX trade. It wasn’t as affected by the whipsaw. Slowly taking it off. I am relatively delta neutral right now with this trade.
For August, I’ve got an M3 trade on, a Bearish Butterfly, an MIC trade, a long term GS Calendar and finally a Kevlar trade. Starting to diversify my theta based trades but man does it take some planning.