Sorry - no picture today... I'm doing a quick update. As discussed yesterday, I removed the calls that I had for protection as the market dropped. In general, we did well in that venture, but there is still concern about future volatility. This morning I needed to make a decision about the call spread that was closest ATM, and I decided to take advantage of the falling prices to roll it up.
The end result of all this is that it will be very tough to pull out a profit. If things stay relatively calm we will eek out a plus sign, but at the next adjusment point I will need to take the trade off for a loss. Will we hit another adjustment point? Who really knows, but I am still hopeful we will stableize. Right now things are positioned well with overall Deltas realtively flat, and the Deltas on the short strikes at 11 and 8.
One other point with noting... for the next couple of weeks we have much less happening in the news. I don't expect another big treasury unveiling, which is a lot of what causes these massive moves. An interesting thing happened today that I believe reflects this. Even with the Dow down more than 100 points, and the SPX down >2%, the VIX was still DOWN! That tells me less volatility is expected in the next few days. Just what we need to take advantage of heavy Theta, and to do some catching up.
Good Trading...
I agree with you, the media blitz is finally over! Yes, the only thing that scared me from a bearish standpoint is the VIX being down.
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I'm hoping that's the case. This has been one of the toughest months for neutral spreads in a year (except perhaps Oct/Nov).
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