2014-08-08 VIX  Futures Image

I closed my trades so I'm flat at the moment. The three primary reasons were:

  1. The trades were bearish butterflies and the market had moved to the large “tent” area, which meant Gamma was increasing and the T+0 line was bending down. The farther down the market goes, the worse the Gamma problem becomes with this trade.
  2. The Average True Range (ATR) of SPX and ES futures keeps increasing. The last two trading days, SPX had 25 and 23 points of intraday movement with the ATF over 16. Combining this with the Gamma problem means adjustments are frequent, which always hurts your profit.
  3. The losses were small so repositioning the trades makes more sense. The trade is not one I would put on now which is another reason to reposition the trades.

Enjoy the video!

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