June 23, back from the weekend, but nothing has changed

Small and cautious changes made to the portfolio.


It was a pleasant weekend. I witnessed a fantastic speaker @ a PrePaid Legal event. It helped get me away from the market for a little bit. That was healthy for me.
On thursday afternoon, I started looking over a few charts. I found a few good one, and much confusion.
As I look at the SPY and DIA chart, I see pain. I have the most cash on the sidelines as I have for quite some time. Which way does it go? I have a few underlyings which are moving against me, but that is to be expected as we see this downward trending chop. I remain downwardly biased in the SPY and DIA, neutral to slightly bullish on the IWM.
I continue to make small adjustments to my index positions, but I haven’t found good High Volatility moves to sell into, nor Vol Crushes to buy. I am adjusting positions based a market movement. Quite frankly a high downward capitulation scares me a little.
I need songs like this to make me realized that life is pretty funny and not all that serious

Financials have be wacked yet again. I am playing a very small upwardly biased trade on C and USB. Not much good here, but I am in the green with some quick flips.
I traded a little in the morning session:
DIA – sold total July/Aug 119p position for 1.21. I bought this when the Dow was @ 122. It was a slightly downward directional bet to gain some negative deltas, and some time decay. It served it’s purpose, the profits were small, however they were profits. I want negative deltas on the DIA, not delta neutral.
SPY – bought July/Sept 128p for 2.54. I wanted more negative deltas 40 S&P pts below the current market. This is a positive theta position, which benefits from the downside.
KOL – exited this hedge from last weeks JRCC trade. I sold for 57.80. It gave me a very slight profit which made up for my small loss on the JRCC butterfly. Energy ramped today, so perhaps I exited too early, but it just wasn’t ramping like the rest of the energy sector. I don’t like the wide bid ask spreads on the stock.
IWM – bought 1 unit of July/Aug 73c for .91. Until 71.7 is broken, I will hold some of these neutral to slightly bullish positions.
I finished the day with my P/L down 1.4%, most of my on screen loss is due to APOL, DDS, and KO. The Chart says down, my gut says be careful of the whoosh. But something says we may have a bounce. Not sure. I am glad for taking some of the up exposure off the table, but I am still 33 positive (SPX weighted) delta to the upside. If we get a boost, I may have to take some of those off the table.
If we get a down move, I plan on adding to the July/Sept 128 calendar.
Energy stocks raged up today. and a few other sectors performed. The indicies were nearly flat, except for the Russell which was down nearly 1%. Of course I have upside bias on that today.

Observation on my index strategy.

I have been building a variety of calendar strategies over the previous few weeks. I decided use these directional calendars to create a more delta neutral strategy. I am using a Straddle/Strangle ideas of adjustments. That is, as the underlying moves sufficiently in a direction, I am buying calendars OTM and away from the direction of movement. Essentially to rebalance the overall position. I am doing this based on the determination I made that we are in a widely range bound market (SPX 1320-1440), and IWM (71-77). The risk is that as we move toward the far end of the range, I risk a blow out move that wrecks it. We have fallen 8 of the past 12 days. And that is quite a bit for this strategy. On retracement days, I play on either removing the upside hedges (if they are out of Theta decay range), or buy new downside hedges. I lean toward adding more positions to the porfolio, in order to build Theta decay (as long as volatility remains middle to low.
If it gets higher, I will consider Butterfly, Brokenwing butterfly, and credit spreads. But we are not there yet. And for sanity sake, I would prefer we don’t get there until I have made a few adjustments.

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