Long Vega and Short Vega

Today was an ugly day in the markets, we had a pop in the e-minis at the open yesterday and preceded to sell off from there, closing on the lows today. Technically speaking we hit an important line in the sand today on the SPX, which was 1335.

Once we hit that level we weren’t able to break through which was a clear sign this market wanted to roll over. As a hedge today I decided to add some positive vega to hedge my short vega trades. I entered the positive vega hedge right at the 1335 level. I added a calendar spread in the SPY which now looking at the position I am happy that I set this. At the time of setting this trade the skew with negative 1.34. That not bad, but I  would have preferred to sell a higher IV in the front month. In any case I think this will help with any more downside pressure.

I also thought that I might as well try and sell some premium as the IVs popped today. I re-entered the strangle on IWM, the only difference between my last trade on IWM and this trade on IWM is I rolled my short put up one strike and my call strike I left the same from the last trade. The reason I did this trade was because of a couple things, first the pop in IV and second I think that we are still in a range and the top of the range was hit today. I think for the next few trading days we will stay in this range and I will be up money soon.

The last adjustment I did today was cut my deltas on my EWZ strangle. I felt that I was leaning a bit to long so I decided to cut the deltas in half. I might have to stay in the trade a little longer, but I feel better about my risk.

The RUT iron condor is in good shape even thought the RUT was down over 2% and almost 2 standard deviations. I am up money right now in that trade and I expect to peal that off this week.


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