chaps September 10th, 2010 at 9:30 am pstas/Oct strangles: I need to look at it carefully this weekend. IMO, strangles are entering the caution zone. If SPX can fully support 1100 and move up from here in conjunction with continued VIX reduction, I’ll be cutting back. Unless I can construct a combination of shorts with put verticals that I feel I can manage effectively with a 10% price pullback combined with a +10 or more VIX increase. That’s what I’ll look at this weekend. I’m not expecting much on that front, but you don’t know until you look.
September 10th, 2010 at 9:30 am
pstas/Oct strangles: I need to look at it carefully this weekend. IMO, strangles are entering the caution zone. If SPX can fully support 1100 and move up from here in conjunction with continued VIX reduction, I’ll be cutting back. Unless I can construct a combination of shorts with put verticals that I feel I can manage effectively with a 10% price pullback combined with a +10 or more VIX increase. That’s what I’ll look at this weekend. I’m not expecting much on that front, but you don’t know until you look.