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Had a small position in /ES puts. Although we have experienced a 60% pop in the VIX, and nearly 120 point drop from when I had initially put on the position, they have not reached their exit points yet. They are all between 9-23 days old with about 91 days to expiration as of today.
The worst two day in Dow index since 1960 was down 26.17% on the black Monday Oct 19, 1987 following a Friday down 4.6%. The major reasons were said programming trading, market psychology and overvaluation.
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Let me throw a knife at you. See if you can catch it. Or will you jump out of the way?
Isn't every single move 'market psychology' to a certain extent?
FYI I performed the following quick analysis earlier hope to do more this weekend. Not sure I can cross post four threads continually though but here goes
The ESx5p1650 IM is now 1360. It settled at 17.40.
For myself I didn't have any IMx3 positions hit exit point but some are real close. 58 away.
My IMx4 still have plenty of room. 754 away.
My ESx5p1500-1700 spreads are 286 to 366 away from exit point. (Added 4-7 days after 1650s.)
I added one set of spreads on the same day, 7/31, as the 1650s. It is 294 away from exit while 1650s are 58 away.
Ron,
Are you looking to exit on Monday or just ride this out and exit when the margins hit their limit?
When I opened my ESX5 P1700 the IM was 800 and I had 2400 in extra cash. Right now the margin for the position is at 1636. Or ESX5 P1650 the IM was 608 and I had 1812 in extra cash. The margin is what you see above. So I still have runway but as I mentioned in my earlier note to you, I just don't know if I'm going to throw good money after bad by hanging on hoping for a bounce..or what.
2 day large down moves have happened but rarely 3 or beyond. Question is do you follow the rules and take the loss or wait for the bounce
Problem of taking the loss is more psychological and may leave u gunshy. Of course riding it out also is tough because I doubt you will take new positions though for this strategy prob best to initiate new positions when there is fear and vix is high
On a side note to rsm005 where do u get your option Greeks and IM - not from zaner 360 I don't think it has Greeks right? Thanks in advance
As an example of how an increase in IV can dramatically impact far OTM options, you can sell 3 delta 90DTE puts in ES around 700 pts lower right now (1250ish).
If you haven't been out, it's not a good idea to get out now when capitulation is in sight. Don't expect a V-shaped recovery but the market doesn't have much further to go, at least according to the VIX term structure. You can cut the risks down so that your buying power doesn't go into negative and receive that dreading margin call. Getting out when the volatility is extremely overbought and the VIX term structure is hugely inverted isn't a sound judgement.