It was a week of revenge rally. The SPX and RUT booked five consecutive up days. The majors parked near the December break down areas. A typical retest point. Sellers are likely to step in. VIX and its futures are below 20 now. Would there be another VIX surge?
My portfolio is pressured on the bear side. I kept waiting for a pullback to adjust my bear call positions but didn't get any meaningful one. It has happened to me during the previous rallies. I had to step in to split rollout some bear calls to reduce my negative delta since my net liq reached the warning line in the last two days. I made delta adjustments for my clients as well. We are still slightly delta negative since I believe another leg of selling will come. It's likely to retest the lows of last December. Hope it will hold there. A V shape bottom is possible but not likely given the slowing economic growth and trade tensions. The earnings session has come with many warnings so far.
Net liq is down to 108K. Leverage is at 513. It's my average at low 400s. My net ITM positions increased for RUT and 3 for SPX due to rollings. I have to monitor the size very closely.
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