RUT Fly adjust

Boy, didn't see that coming. SPX futures down about 24 points at today's open. That kinda sucked, mostly on my August trades that I'm still carrying. But let's move on.

I had said that I was going to add to my RUT fly when RUT moved +/- 20 points from when I put it on (570), or if it was calm like last week, that I'd probably add to it later this week. Well, we moved below 550 this morning, so I waited a little to see if there was going to be a quick recovery, and when I didn't see that, I added my second RUT fly, 20 points below the market. Upon further thought tonight, maybe I should have only put it 10 points below the market. Here's the reason. The original Fly was about 17 delta long. If the new fly would have been put on 10 points below the market, my resulting combined delta would have been -3. The 20 point below the market fly made me -11 delta. Good if the market keeps falling, but not so good if the market bounces. Oh well. It's not the worst thing, so I'll keep it. The single fly was 34 theta, now I'm 71 theta. So -11 delta and +71 theta. Nice. Next adjustment will be to add a third butterfly if the market moves +/- 20 points or so (530-570). Goal will be to neutralize delta, and of course, increase theta.

All of my other Sept trades are doing well and still in the black, although if we have another -2.5% down day soon, I may need to look at adjusting the double diagonals (MNX was -2.9% today, XLE -3.2%).