Wednesday, June 24, 2009

Adjusted SPX and took profits on RUT Flys

I certainly needed that move up today. All of my positions were leaning long after Monday's big down day, so today's move up was a relief. Also, the move up pushed my RUT "double butterfly" up to about 10% combined gain, so I decided to take half the trade off to lock in some profits, especially before the FOMC meeting announcement. After doing so, my previous extra longs to balance deltas that were now remaining, were leaving this position a little negative delta. I though that this might be okay coming into the Fed announcement. I thought leaning negative was probably good, and if we go up, I'll be helped by the vols dropping. Turns out I benefited from both a slight move down off of today's highs as well as a post-announcement IV drop. At end of day, I'm up about 12% on the combined position. The individual flies are up 9% in 12 days and 16% in 6 days. I'm hoping to get out of the rest of the trade on Friday afternoon or Monday after enough time decay has set me up with 15-20% gain total. Below is before (blue) and after (purple) graphs on OV.

I also adjusted my SPX 920 Call calendar. Again, today's run up was a gift, but I was still concerned about the downside. I'm hoping that SPX stays in a range. I'd guess somewhere around 875 to 950, and my current breakevens are about 885 to 955. So I decided to roll down half of my position to flatten the deltas, increase my theta slightly, and lower my BEs a bit. Knowing my luck, I'll get whipsawed on this again and SPX will shoot up above 950 in no time. Of course, me saying that will hopefully prevent it from happening. As it stand, this trade is down about 8%. The current position is shown below.

As for the high prob RUT iron condors, my "lost 10% the day I put it on" tranche has finally crossed into positive territory at 0.8%. I'm looking to get around 5% on this trade due to my earlier adjustments (locking in some losses). My other tranche is around 5.5% gain with a goal of 10%. Doing well. Because I have no calls left, this pair of trades are leaning quite long delta, around 80, with theta around 100. Now that the Fed announcement is done, I'm thinking on selling some calls (around 25% of the original position size). Probably something around the 550-560, and this would cut my deltas to around 50 and increase theta to 140. Selling only 25-50% of the original size keeps the whipsaw risk lower while improving the greeks.

No comments:

Post a Comment