Thursday, December 17, 2009

Spread Update

With today’s pullback I was able to close out my $SPX butterfly for +13.86%. I would normally wait to close a butterfly out, but with low liquidity I pulled the trigger a little earlier then I normally would have. I still have my double diagonal on, and my calendar on, which have not been performing as well as they normally do, because of the long Vega portion of the spread. Since today vol is popping a bit, it’s really helping out my double diagonal and calendar. I will be patient and continue to manage my risk with those spreads.



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