NDX Condor 3-27

It was a bitter sweet day.  For the NDX Condor I have been following, today was great.  It brought the current price to pretty much dead center between the short strikes, and we had a nice gain on the day.  Unfortunately, it's a hollow victory.  As mentioned yesterday, it's too little too late for this trade.  We'll end up with some sort of loss, and it's too late to add any more risk, so I'm just trying to minimize the carnage at this point.  Other than that, there's not much to say.  All Deltas are very low and we're in good shape. 

The VIX and RVX remain in the same trading range they have been in for a while.  The problem with this is that it implies continued volatility for the coming days (and probably weeks).  Something not so good for delta neutral strategies.  What I found really interesting, however, was that today was relatively unchanged... even with more than a 2% drop in the SPX.  That's peculiar.

For the coming month I will be highlighting a blended position in the RUT.  Specifically, I will have a Condor on to start, and will likely add some Calendars in a couple of weeks.  As per my trading rules, I will scale into the Condor position with at least two parts, the first of which I put on today.  Stay tuned for more details on the open position.

Good Trading...