Oct 7 (Oct M3 + Protector Update #2)

I’ll be exiting or at least taking risk off, throughout Thurs/Fri. With this 1.5% 20 point up move on the RUT, the trades haven’t moved anywhere since last week really and we’re just not making any headway. It’s just too much up (7%) and too close to expiry. I could have gotten fancy with it and added some tents in the front, but that’s outside my trade plan. The idea was to manage upside risk by keeping it relatively neutral and that means that we really aren’t making anything and in fact losing some profits as the moves are quick and the volatility drop was large. The mini pull back yesterday did give us a little bit of Friday’s profits back but todays “up” move took those away. It is what it is. The trades did fine through the moves but not even close to as great as we were on Friday when the trades were under the tent.

Re Protector Alpha: I increased exposure in equities to replace ALFA and I sold a few more puts to try and catch up on the payment of the hedge (which is behind now). I rolled my 199s and 198s to 200 on the dip today (good timing) and sold some extras (also good timing). Most of the equities did well or better than SPY today which was nice to see.I’ve got 205 December long puts that I have to start thinking about rolling to next year. Over the course of 3-6 months, we should be OK and any correlation and/or whipsaw effects on the hedge should be evened out. Sucks that we’re sitting just below a 4% loss on the year. Not much else to say here.

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