Big move, not too big pain

Well now. Wasn't that a shock to the system? SPX moved -1.7 daily standard deviations and the RUT moved down -1.8 SD. So, what did that do to the trades? Well, first of all, I got knocked out of my CAT iron-butterfly-turned-iron-condor for a max loss. Below you can see my entry point and original breakevens, which were then extended down to about 32.5, which was broken again today. I bailed.


My SPX calendar at 920 got spanked a bit today as well. I can't show the TOS graph because the MM's messed around with the vols (and/or bid/ask spread) at the end of the day. About one minute before the close, my P/L said I was at about a 200% loss. Not easily accomplished in a debit spread such as a calendar. So I'll use OptionVue, and show the curve as of 30 minutes before close, showing me down 9% (I was flat as of Friday close). Also pictured is the proposed adjustment, taking half of the spreads off and rolling down to ATM. Doing so cuts the delta from about 50 to 20, and increases theta from 80 to 93, and doesn't increase the capital requirements for the trade.



The RUT butterflies are doing fair. And in absolute terms, I'm doing not much worse at today's close than at Friday's close, in total. Both butterflies were up about 9% combined as of last Friday, and short about 16 delta, and after today's big move down, I'm still up about 8% but long 50 delta. Getting a bit long, so I'll have to consider cutting that. Looking at the positions individually, my first fly, with a 520 strike was up 12% on Friday, but is now only up 5%. I wasn't really ready to close it out at 12% last week, and today moved down so much right at the opening bell, that I didn't want to take it off for single digit returns. On the other hand, my second Fly, opened just 2 trading days ago, is up 11%. For an adjustment, I may consider rolling one of my 520 shorts down to ATM (490). Just like the SPX adjustment, this cuts the delta and increases theta, but this time it increases margin requirements since I wouldn't be moving one of the longs with it. If margin is a concern, you could also move one of the long calls too, but you'd be sacrificing theta as well as not cutting the deltas as much.

On the RUT High Prob, I was able to buy back my 590-600 credit spreads for $0.12. With the RVX up as much as 4 points today, the calls really didn't go down much in price, so I couldn't get them off cheaply, or take other call spreads I have on in this trade. But since I originally sold these 12 days ago for $0.70, I captured 83% of their value quickly. Nothing much to report here, other than between the 20 point move down and taking off half of my call credit spreads, I'm now a bit long delta, at 70, with theta only 115. Since this trade is so wide (short 430 - 570 strikes), I'm not too worried. If we have a calm price action for the next couple days, I may consider re-selling some calls.