Siemens and Macy's earning reports added the fuel to the gap down this morning. The bear flag pattern played out with Fed's speakers hinting of rate hike in December. Indices were slowly dripping and fall off cliffs before closing. RUT, SPX shredded 2% and 1.4% respectively. VIX is above 18 and indices closed at low of the day. We may see another leg down tomorrow. There may be wild swings on the expiration Friday.
I had to roll my rut 1160 to next two weeks. I was forced to get less premium as my expectation of later afternoon relief didn't happen. Even the out of money position of 1150 didn't fall and I had to pay $50 higher to get out after cash closing. MM was playing tough ball. A lesson leaned not to nickle and dime with near the money positions on expiration day. I have more positions in SPX and SPY needed to be closed or roll tomorrow. I should start early with ITM ones, perhaps with spreads in ES after 1pm.
Risk figures improved as the positions closed. The pressure switched to put side which is more dangerous. I will try to revise it to the call side tomorrow. Despite of increased net liq and available fund the VAR is still too high ($96K). The number of positions is too high, especially on the put side. I must deleverage further by reducing puts and adding calls tomorrow.
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