The market had its way with me today.
In the premarket the S&P was down by as much as 16. An ok ISM report, reversed the open and the market moved higher. During that time I exited some of my bullish index calendar positions. I held on to a few more with the thoughts we may find a continued move higher. No luck.
The market monster just laughed and dove again. at 11am eastern the S&P dropped, took out stops and fell nearly 20pts. It chopped it’s way higher 3 times. On the 4th time it broke significantly higher. At 2:30 there was another leg up. It retraced slightly, and finished on the highs.
What I did well.
I sold half of my index positions into the morning run to take off the risk.
I tried to rehedge to the downside with a few butterflies, no takers. I didn’t chase.
POT broke a level of support around 215, I put on a bearish butterfly. I was pulling the order when I was filled.
I exited the final calendars around the top in the afternoon.
Held on to my good equity calendars, and rolled USB appropriately.
It had to be easier than I made it out to be
What I didn’t do well:
On the second strong move down, I panicked. I exited 1/4 of my remaining bullish calendars on the retracement at relatively poor levels. If there was a good side, it was that I exited the the calendars which where not producing positive theta.
I didn’t exit my bearish IWM hedges 71/68p spread. I put orders to sell it from the bottom, but no luck. I chased a bit, and then by the top, I decided to hold for tomorrow.
UWM – I saw the IWM breaking out, I could have pulled the trigger @ 45.99. I didn’t buy because my mind drifted to yesterday’s unsuccessful trade in the DDM. This closed the day @ 47.23. I am pretty bummed about that one.
It was active: The S&P made a 16 pt morning swing, 20pt mid-morning swing, then a 25 pt rally. shesh. There will probably be some positive results as we head into the 4th. I must say, I am very gun shy right now. This volatility and quick breakouts have me jumping a bit. When I fell the rush, I try and slow it down. Sometimes I miss a few breakouts that way, but I would rather do that than fire hastily.
SPY – 131 jul/Aug sold for 1.22 and 1.30
SPY 134 jul/Aug sold for .82 .83 in the morning session. .70 and .71 in the afternoon
SPY 128 jul/Aug sold for 2.95 and 3.00 in the morning session.
IWM – Exited short Jul75c for .05. This is now slightly biased long.
IWM – exited jul/Aug 71c for .80, .90 in the afternoon
POT – jul 210/200/190p butterfly for 1.30 @ 214.75. I bought this on a strong sell breakdown. The underlying finished @ 222.40. Dang it.
C – covered my short july 22.5c. I still have a long sept 22.5c to go along with the Jul/Sept 20c calendar.
USB – Rolled my all of my Jul 30p to Aug 30p for a .50cr. I originally bought these for .65. So I only have .15 of my initial risk in the trade. Very nice!
I was a bit bummed at my performance, however it retrospect my afternoon trades didn’t turn out as badly as I originally thought. In fact, in some cases I have better results.
I was somewhat disappointed in not getting filled, while even giving up some edge to the market. I tried to put on an XLE Broken Wing Butterfly with the underlying @ 89. I also tried to put on butterflies SPY 129/132/135c and 128/125/122p, but neither would get filled even giving while up some edge. And trying to exit POT right as I got filled, that was a bit of a bummer too.
My goal was to increase theta exposure while going into the weekend, however I did the opposite.
SPX weighted position greeks:
Gamma – .45
Theta 44 ( I want more than 200 prior to the weekend)
Vega +165 (I took some vega off when the VIX moved above 25)
I close the day 90% in cash. I continue to be small here. I would like to deploy cash, but I will keep looking.