On a June 20th blog posting I talked about the high probability of the market pulling back, and the Fib lines were right. Today we had a relentless slide in all the major market indices and for some, like myself that were holding short deltas get paid today.
The RUT iron condor that I set 45 days out was closed today, not a big winner but a nice single. When I opened that trade I received a credit of $1.55 and closed it today of $1.15. The reason I closed this today was because I wanted to reduce some of my portfolio short vega and because I think I will be able to reset a iron condor in the next few days at a higher credit and wider wings with the pop in volatility today.
The SPY calendar also was closed today, the skew that I bought as about -1 to -.88 today when I closed it the skew was -1.78. Thats a pretty good move so I closed that up 22% ROI.
And finally the SPX butterfly was taken off up 11.25%. This is a trade that I typically shoot for 10-15% ROI. I also reset a small SPX butterfly to keep some capital working. Below is the risk graph of that.
Currently I have on a XOP strangle, a short VXX put and this butterfly.
I will soon move to Aug contracts and I’m looking to sell some premium at higher volatility. I think that next move for us in the market is an inside day. My target on the RUT is still intact