My RUT double butterfly is still hanging in there. Since I sold half of my spreads earlier, it's taking its sweet time to make more money (since I cut theta in half). Also, as we've been moving up, I've been adding back month (August) long calls to cut the negative delta. This has increased my trade's vega, which isn't helping since volatility keeps dropping. Yesterday this position was up about 14%, but with the move up today, I did an adjustment and am down a little since yesterday. I'm holding out for 3-day weekend time decay and would like to close at the end of tomorrow or very early next week. The market has been fairly calm and I can't expect it to stay that way for much longer. So today I stripped off a 490 short call and moved it up to510 to collect more ATM premium as well as cutting my negative deltas. Because I moved it closer to the money, my theta increased as well.
Now on to August trades. This has got to be the earliest I've opened up a trade in years. My normal timeframe is 28-40-ish days before expiration. Today is 50 days before expiration and I put two trades on.
First trade is a plain-Jane RUT high-prob iron condor. I put about half of my (recent) normal size trade on, in an attempt to time-diversify my trade. I've been doing this for the last few months, but my first "tranche" would normally be put on next week, in the 42-day range. But I thought I would move it a bit further out, and hopefully capture a little of the holiday weekend time decay. I'm short the 430's and 580's. This morning I got a great fill at 1.48 credit (at the market's current mid-price), but even as RVX dropped, somehow the mid-price climbed and climbed through the day, and my great fill didn't look great any more. As of close, the mid-price was a whopping $1.67. I think some of that may be widening of B/A spreads, as the natural price is $0.95, so the mid to natural is a gigantic 0.72, or double that for the condor's B/A spread. We'll see what the price is mid-day tomorrow to get a better feel on if I've been had or not. Funny thing is that I tried getting this trade on all day yesterday for this same price and couldn't do it. So I was happy when I got filled this morning. Anyway, I added some downside insurance (extra 410 put) and I've been concerned with the upside, if we ever punch through the equivalent of 950 on SPX, so I added some cheap extra calls too.
And now for something totally new (to me), I put on a MNX double diagonal. My plan is to do this mid-week next week (around 43-days), but was again hoping to benefit from the holiday weekend decay, so I put some spreads on today. MNX shot up to nearly 150 today, and I didn't really want to start this position up near it's area of resistance. I wanted to see it punch through, or fall back a small amount so I had more room to the downside. And a slight pullback is exactly what happened, so I put the trade on. I went +/- 10 points from ATM for the shorts, and 10 points further out for the longs. Because the trade wasn't perfectly centered, I cut the deltas in half with a back month extra long call. This didn't hurt the theta much and actually got me closer to vega neutral, as I was short a bit of vega. Adjustment plan is simple...if I get 0.50 past a short strike, roll the shorts to the next (2.5 point spacing) strike. Repeat if necessary. Since this roll is just buying a debit vertical spread, I already have contingent orders set up to automatically do that for me. While MNX isn't very liquid, it does have penny-priced options and surprisingly tight markets for the low liquidity. In fact, I got filled 0.04 worse than mid, where the mid to natural price spread is only $0.13. And this is on a 4-legged spread. Even more surprising is that I was the sole day's volume on 3 of the 4 strikes. I call that a good fill.
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