Trade update

August expiration:
I'm still trying to claw my way back to profitable. My SPX calendar, which I rolled up 3 times and then turned into a double calendar, is now profitable. I'll probably take that off on Monday or Tuesday. I still have some pieces of the MNX double diagonal on, with no hope of profitability, but trying to recover some losses. I'm around -8% on that trade. And I have what started as a couple butterflies in RUT. That trade is still underwater, but I have a relativily low delta with theta >300. I'll try to hold that for another day or two to collect that theta and get out.

September expriation:
I liked that XLE DD that I put on so much, I doubled my position. XLE had moved up a little when I decided to double, so I chose 1 point higher on the call side. I'm currently up 7% and still perfectly centered. Max gain (in the saggy part) is 25%, so I'd be looking to take profits around 15%.

My MNX double diagonal is also fairing well, almost perfectly centered and up about 4%. Max gain (sag) is about 15%, so will look to take profits around 10%. This trade has developed a little tilt. I'll have to watch that, maybe purchase a Oct call to help with the fast slope on the up side.

The RUT fly is going well also. I'm up 9%, but I don't have any plans to take profits any time soon. In fact, I'm looking to double and most likely triple my position. My plan is to add another fly when RUT hits 550 or 590, but RUT has been behaving well and hasn't gone there yet. If we don't hit those points by Thursday, I'll probably add another fly ATM, just so I can get the capital in use.

I put the second tranche of my RUT iron condor on. Since RUT didn't move much since the first tranche, I ended up using the same strikes. The first tranche collected $1.48, whereas the second one netted $1.35, 5 days later. I sold the second one on 8/11, on a 10-point down day, to take advantage of the higher vols on that day. Vols dropped about 2 points the following day, as RUT recovered with a 10-point gain. Even the large drop on 8/14 didn't cause vols to climb much. Not much theta has ticked out of this trade yet, so I'm up only ~3%. Max yield is 12% and looking to get about 10% out.

Watches:
As previously mentioned, I'll probably add another RUT butterfly this coming week. I'll most likely add a SPX Sep/Oct calendar. Possibly a OEX butterfly.

Playing catch-up

Well, I guess I've caught my breath now...I came out from under the bed and have started breathing again. This "crash up" has toasted most of my delta neutral positions.

My NDX double diagonal went through several adjustments to the upside, nearly every other day, until I finally threw in the -20% max loss towel. Have you looked at a NDX chart lately? From 7/13 to 7/23, NDX had an up range of 15% in 9 trading days. Not good for the delta neutral, market neutral trader.

I have a similar MNX double diagonal with embedded calendar trade on. It too has had some adjustments but isn't quite out of the game yet. (Read: I'm not at max loss yet.) Actually, I'm only down about 6%.

My normal 36-day RUT high prob iron condor was wiped out only 9 days into the trade. Luckily, I had "call side insurance" (extra long calls, in case of a big/fast move up) and it allowed me to stay in a little longer, but with so many days in a row of higher highs, it wasn't enough. Instead of waiting until my -20% max loss, I pulled the plug a little earlier, with "only" a -13% loss. My stop loss exit points are -20% loss, or 10 points from the short strike, whichever occurs first. In this case, I was within 10 points of the short strike, which allows me to escape with a little less loss. This trade was started on 7/14 with RUT at $496, and exited 7 trading days later on 7/23 when we went past $540, 10 points from my 550 short strike. That's >9% move up in 7 days. Crazy. Some people would reposition their entire trade up at that point, but when the max yield is only ~12%, and you took a 15-20% loss, you're only going to get close to scratching. Granted, scratching is better than a 15% loss, but you also have a chance of turning that 15% loss into a 30% loss. I'm taking the position of keeping my powder dry until next month...what's left of it. I'm also afraid with such a strong run up, that we could retrace fairly quickly too, so repositioning, especially the puts, isn't appealing to me at this point.

I still have a SPX calendar on. Originally, it was a bearish bias 900 strike, and 7 days into the trade I rolled it up to a 930 strike, still bearish. Now a couple days ago I added a 980 strike to make it a double calendar, give me a little more theta, and cut my delta a hair (not much). My new break evens are aroun 915 - 1000. The last couple days have been kind to me as vols crept higher, helping this vega positive trade. I'm currently sitting at around a 3% loss, even with the previous roll.

Last but not least, I have several butterflies on RUT. What started out as a single butterfly with a second one added a week later has morphed into butterflies at several different strikes and for the most part, I'm now managing the entire trade by the greeks, trying to keep delta relatively low (but no where close to zero) and theta high and positive. I'm still very leary of a downward move, so I'm still leaning a little negative delta.

Overall, a pretty rough month for delta/market neutral trading.

NDX Double Diagonal

My plan was to open up a new MNX double diagonal around today. Instead, I decided to save commission costs and open up a NDX instead. Today was my first ever trade in NDX. I got filled right at the midpoint instantly on a 4-legged trade...I guess I should have held out for more! Nothing fancy here. Will manage the same way as the MNX. Will roll up/down shorts to next strike when I get to 1505 or 1295.

Here's how the MNX double diagonal is looking. We had a low of 139.49 today, with the lower adjustment point at 137.00. Very, very close. We closed at 141.15, so the adjustment point is only a 1.7 daily standard deviations move down. It could happen at any time, and that's why I have a contingent order set to trigger at 137.00. Simply buy a 137.5-135 put vertical a few cents above mid price.

Lastly, I was able to buy the remainder of my RUT iron condors 580-590 call verticals for $0.20. This leaves me with all the puts and therefore fairly long delta. With the move down over the last few days, this position is down only about 4%. I'm hesitant about re-selling some calls...not without a day or two of upward movement first. And if I do resell, I'd only sell about half of the original amount at no more than a 10 delta on the short strike.

Starting Aug early: RUT IC & MNX DD

First some old business. I closed out of my RUT 420-430 credit spreads today. I was able to buy them back for 0.10. I still have some call spreads on that I recently (less than a week ago) resold. Those would be the 550-560's that I sold for $0.50 and are now priced at $0.80. Ouch.

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.