December 1, 2011 AM Trade Update

Hi All,

Quite an impressive move in the markets yesterday with RUT leading the way with a nearly 6% move.  As expected, the open positions took a beating yesterday and adjustments were made.

The December M3 position, being closer to expiration, took the biggest hit. For adjustments on this position, I sold the 2 – 660 butterflies we had on and bought one 630/680/730 call butterfly. In addition I bought back 1 of the 2 660/670 put verticals to get the position slightly Delta negative again. The position is currently up about $740, a far cry from the $1200 it was up on Tuesday but still not bad. If the market gives me too much more trouble, this trade will be exited. The position is shown below:

The January M3 position, got a very minor adjustment.  I bought a 660/670 call spread to cut the delta down some and increase Vega exposure. This position will need a more substantial adjustment if the markets hold these levels or continue upward. The position is down $170 and is shown below:

The January bearish butterfly exceeded it’s first scale in point and I was able to get an excellent price on the entry of the second 1/3 of the position and am looking to add the last 1/3 if the RUT exceeds 740 toward the end of the day. The position is down $450 and is shown below:

That’s it for now, make it an awesome day!

John