RUT Update 3-30

Today is the first post for our RUT update for May expiration.  I'm still tracking the NDX Condor from last month and will post the final results, but currently there hasn't been any changes.  We are still well centered with low and decreasing Deltas.  It was a very ugly month, and will be a net loser, so I'm hoping for a nice comeback this month. 

For the Russell 2000 the trade plan for this month is as follows:

• At around 49 days out, but on the first part of a Condor position.  This will account for about 2/3 of the total risk that we have planned for RUT Condors.
• At around 42-45 days add the final 1/3 of the Condor position.
• At around 35 days add the calendar positions.  This is planned to be a triple calendar at the moment, but I'll take a look at volatility as we get closer to that time frame.

I've explained before that I like to split up the Condor allotment and place it over time.  This helps diversify a bit by blending volatility and prices.  I've also discussed blending the short vega with long vega positions to reduce the risk related to volatility.  This month I will use the RUT to do this on a single underlying.  That's something that I do normally, but haven't shown it here before.  Hopefully it's not too complicated.

With that bit of background, and according to the entry plan, I put on the first Condor last week.  Today the RVX spiked like crazy.  It was up a remarkable 9%, which implies some very juicy option premiums to be sold.  I could't resist so I entered an order this morning for the final part of the Condor.  The call spread got filled, but the put spread did not.  I will re-enter, but I can't complain given that the overall delta on the position is less than ONE.

At this point, the RVX has risen enough that it's pushed up against the resistance line once again.  I don't know how long it will continue to channel like this, but it seems to stay remarkably consistent. 

I also notice that the RUT is sitting on a couple areas of support, as well as just a few dollars from a major Fibonacci retracement level (38.2%).  Does all this mean anything?  I don't know, but there is every technical reason to believe that prices might resume a slow drift up and IV may come down from resistence.  Of course anything can happen, but I think this is the probable course.  Therefore, I want to get the put spread on right away.  If my guess plays out it will just get further from my intended short strike and I will forego the profitability that goes with falling IV and rising prices.

Good Trading...