The SPX options are now open and we’ve got a nice little bounce on a rumour that China pension plans are looking at buying equities. \u00a0A bit of volatility is seeping out of the option pricing and I am seeing a big bounce in the paper balance of my account. \u00a0The market is closed on Friday so we should see some accelerated time decay through the next 3 trading days. \u00a0I plan on entering this long weekend close to delta 0 with a more elongated risk profile. \u00a0I want to be able to handle a 30 point swing in any direction with modest effects and\u00a0I’ll likely close the entire trade on Thurs\/Fri of next week if there is no significant bounce.<\/p>\n
Yesterday, the SPY closed at 205.5 and has erased all gains this year. Our protector equities are up 4.5% and our hedge portion is down 1.5% putting the overall portfolio up about 3% for the year while the SPY is just below 0%. \u00a0I like that, I mean, considering the market movements and environment.\u00a0 Relative to the non-directional options strategies it isn’t a whole lot but during better runs, it’ll do just fine. \u00a0The trade lost about 1.2% yesterday.<\/p>\n
The July MICs are sitting at about 0-1% P\/L but that’s with all that volatility packed in the pricing of the options. Not bad considering yesterday was a 2% down day for SPX and 2.5% down day for RUT. I’d guess that a slow consolidation day would put the trade up to 2-3% as volatility decreases and the time to expiry gets shorter. The potential in the trade has gone up and if the market goes our way, I am looking to close it at around 5-6% P\/L for the month which wouldn’t be bad considering the whipsaw movements which required adjusting (on the upside) and now on the downside. \u00a0Anything can happen and more sharp and sudden movements down could affect the trade and its profitability. All we can do is manage risk and exploit theta.<\/p>\n
The bearish butterflies for Jul and Aug are all up obviously. \u00a0Nice trade compliments.<\/p>\n
I used Friday and yesterday as opportunities to enter some of the AUG MIC. \u00a0I’ve got about 15 units on. I can’t really put on too many more until we start getting rid of the July ones. \u00a0I’ll be considering this as we go forward. \u00a0I sold 1890\/1870s and 2175\/2200s \u00a0(almost 290 points between the shorts) yesterday for a good price! Gotta love that. Huge width in what I could see. On another down day, I’ll probably enter another 5 units for Aug.<\/p>\n","protected":false},"excerpt":{"rendered":"