RUT Calendar Update 6-22

What a day! Things are really moving now... The RUT moved down nearly $20, almost 2 standard deviations, and RVX (that index tracking the implied volatility of RUT) was UP almost 10%. This huge movement took a toll on our calendar trade, but massive increase in IV countered most of it.





The main thing we have to prepare for now is the distinct possibility of an adjustment. My adjustment point is $490, and as you can see by the green box on the bottom, we are only a couple of dollars away from that - an easy move for the RUT on any given day. The two green boxes at the top give you some idea of the statistic possibility of finishing on either side of these lines, which at this point is a coin toss.


My adjustment plan is simple: If we hit $490 I will take down the $550 calendar spreads and move them to a lower strike - at this point it looks like the $460 strike looks good. After the adjustment the price will be perfectly centered in the P&L graph. I don't if we'll get there or not, but we're close enough we need to be prepared.


Good Trading...