Jan 26th

If you followed my intra-day babbles via Twitter then you know I closed the RUT butterfly for 25%. We have been in the market for 12 days - I can take off till March comes close to 35 days to expiry. Well the last part I wish it was true - I have to much other stuff cooking.

Today I entered two opposing trades I added to the SPY Stangle - still seeing some negative movement in the VIX.

I also set step one in the overall reduction of my portfolio delta's. This morning I calculated my overall delta beta weighted to the SPX. I split the overall delta in two parts - part 1 - delta's from short term Theta Positive trading - part 2 - delta's from long term semi "Buy/Hold" stuff. It was the delta from the second part which I wanted to moderate. Like I wrote I am setting step one - very much willing to take a little loss on the insurance and also very much willing to add when this market gives in.

How did I reduced the delta - I bought 825 puts SPX DEC09. It is my plan (similar to the RUT calendar) to sell the front month put deep OTM to pay for time decay. I have 11 rolls and I paid 119.20 - on average I will need to sell for $10.85 per month if  we ride the insurance premium to 0 (which we don't).
Why did I go to DEC, two reasons 1. The RUT calendar ends in June, this way I have them staggered. 2. If the VIX pops up the DEC will give me a big pop in profit based on vega.