The market has been on a tear going from 950 to 1015 in just a few days–>That’s about 6%. Typical bear rally and sort of expected, however, it is getting to be a bit difficult to navigate with our trades. Early yesterday, I removed several bottom end bearish butterflies and a few debit spreads that I had on as hedges during the crazy volatility. My delta was too negative and I had to adjust. I am trying to be patient with adjustments as this is a high volatility environment but I can’t afford too high negative deltas. Today, another big gap up, I had to remove some lower end BBs and other hedges. Now at 1:30pm, RUT @ 1010, I am looking to put on 1040 call calendars to hedge the upside even farther as we have the 2pm Fed minutes today. If there is any mention of a hike delay, the market could continue to scream on. It’s approaching over-bought on all short term metrics but we’re still oversold on the longer term. Tricky and I have no clue where it’ll go. So my plan now is to add call calendars, remove the remaining “additional” hedges I had on, and get a bit more balanced while still erring to the side of caution with negative deltas. If we get whipsawed, we get whipsawed. My Deltas are too negative. <\/p>\n
The march trade has gone through such a difficult period and I am happy to get out with small profits or even break-even within the next 15 days. It was initially put on with RUT @ 1150 we proceeded to see a 200 point fall (20%+) to RUT @ 950. We went from 1160\/1120\/1070 Rhino butterflies to 960\/920\/870 butterflies and all of Rhinos in-between. During the first part of the fall I did remove some BFs and managed the trade according to plan but at around RUT 1040, I deviated and had started putting on Bearish Butterflies and debit spreads as a hedge to additional downside as a temporary measure until I could get rid of more of the higher Rhino BFs at a better price. I thought the down move was limited to about 1030. This strategy continued on as it kept falling, on the bounces, I bought BBs and got out out of compromised Rhinos and on the dips I remained patient. This ended up being messy but put the trades in break-even range throughout. I won’t do that again, I’ll now just remove the entire compromised Rhino when its time and put on a newly positioned one. Easier to manage and way less stressful. Lesson learned. <\/p>\n","protected":false},"excerpt":{"rendered":"