As I said Thursday evening, I became less content with my Delta's. Here is my thought process which led to the adjustment. At first the market was turning down a bit between 8AM and 10Am. Around 10Am it found support on the pivot point. For me it was crucial that we moved down from there. The Average True Range for the Russel Future is 16 points. At 10AM I can either see the 8:30Am top of 747 as the top of the day give me a range down to 731. Or I can see the 10AM 742 low as the low of the day and have a 'statistical normal' expectation of 758 high for the day. So when we found support on the pivot point and at 10:30 AM we broke upwards with good volume, I felt that I had no choice but to reduce deltas.
I had two choices.
1. Adjusting the butterflies per my rules. Buying back some of the shorts and reposition them at the current ATM level.
2. Taking off the lower butterfly.
I chose the last option. I closed the lower butterfly for a little profit (taking into account my commissions). So we are back in having one butterfly center at the 740. That butterfly is over 20% up and has okay delta exposure. The size is 3-6-3 plus one extra 790. As you might recall the extra 790 was bought when we set up the position to smooth the deltas for the first week. Now we have reduced the position size, the extra 790 weighs relatively on the position. Hence the little upswing in my t1-graph.







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