Of the seven new trades, I did four bull put credit spreads, all based on recent 20-day high closes on Thursday. They were APC (short the 43 strike), EWZ (short 49), OIH (95), and OXY (60). Since the market opened a little lower on Friday morning, getting a good credit was easier.
I put two butterflies on. First one is an iron butterfly on CAT which has been channeling for about two months. Earnings is just after earnings, so hopefully the IV will behave in the front month. I was originally thinking about a calendar, but the 2 point negative volatility skew wasn't too appealing. It's most likely due to earnings in the back month, and that skew could possibly become more negative, actually helping out the calendar, but I liked the butterfly better. Not sure I made the correct choice, so we'll have to see how it plays out.
Next up is a call butterfly in RUT, 470-520-570 for a $17.95 debit. I'm a bit concerned about the upside, so instead of adding a long to cut the delta in half, I went almost all the way to neutral.
Here's my one and only long vega trade. Another calendar on SPX. Surprisingly, it's fairly easy to get filled at mid prices on SPX. Of course, the markets haven't been crazy intraday, so getting mid is a bit easier. I'd hate to see what it trades like when things are hitting the fan. I put this one on with a tiny bearish bias. After all, this is a positive vega trade....how does vega go up? Price goes down. Hence the small bear bias.
I guess I didn't write about my July RUT HP IC that I put on Wednesday, so there that is. I'm short the 430 and 590 strikes, plus I put on some insurance. I mistakenly added some extra long 590's instead of 600's (reducing my shorts, not adding to my longs). I didn't want to correct this after the fact, so I let it be.
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