RUT ConCalender 4-9

This market is just whacky.  Yesterday I had some email glitches, so I didn't know right away, but eventually I got notices that my Put spreads on the May position had hit profit targets and were bought back.  As a result, you'll notice that things are a bit lopsided.  The Deltas are pushed to -40.98, although once I get the Put side rolled up (hopefully Monday) I think it will be back under -20 or so.  So far, no other adjustments are necessary, but I have a feeling that next week could be really interesting.

You'll also notice some little pointy things across the top of the graph.  I was also able to put on a triple calendar at the 410/450/500 levels.  It seems like it was actually an ideal time for this as RVX reached the lowest portion of the volatility range we have been tracking. 

If you aren't familiar with calendars, they are what we call "positive Vega" trades.  You'll notice that the Vega on the "Live" line in the first picture is -22.  Without the calendars it's -98, so the calendars really help to balance things (get them closer to zero).  Vega simply measures how a position will do if implied volatility rises or falls.  In laymen's terms, this all means is that calendars will will fare better if volatility rises... and since it's in the lower part of the zone, I think it might rise... hence the calendars.

Good Trading...