Today was a whacky day. The market went haywire... which is a little odd considering most of the excitement was around MtM accounting changes, which will essentially allow the toxic assets that are causing much of our current crisis to be revalued... uuugggh! That wasn't too bad for the Condor, until the last minutes of the day. This doesn't make a lot of sense, as the RUT closed about $5 lower than the high of the day; but sure enough, here is the email I got:
ALERT ON RUT 100 MAY 09 520 CALL WHEN DELTA AT OR ABOVE .20 is triggered LAST=6.64 DELTA=.20
Here's the strange part... it came in at 1:01pm Pacific Time... Hmmm... wasn't the market closed at 1:00pm? Perhaps it's a bad print, but maybe something odd happened. I'll be prepared for an early adjustment just in case. At this point it will be a simple roll-out I think.
Now here's something else quite noteworthy. The RVX, which tracks implied volatility of the RUT, ended the day pretty much flat with yesterday... on a day when the RUT was UP NEARLY 5%!!! In fact, it was UP much of the day, at one point more than 1%. That's very odd, and worth keeping an eye on. For that and a few other technical analysis reasons I think the RUT is topping for the short term, but we'll see. As I say, I'll be prepared tomorrow morning just in case.
Good Trading...
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