A play on Px/vol. There was no quant here. I simply wanted to get short knowing that there won't be any more good news out of China this week but w/o a ton of conviction. Holding for a touch of 6550 cash. I trade 132 flies exclusively over symmetric-flies with two weeks or less to LTD. I have to close these (prior to exp) in single-name vol since these are (mostly) traded in an IRA. I may get lucky and underlying may be trading inside the body-strike, but no IRA broker/custodian is going to let you hold through LTD if it's close. I like cash-settled contracts. I am not in a 20-lot. I don't even use that account. Front-end is set to 20.
Sorry, missed this. I do use some TA, but not for strike-selection. About 30% of my positions are in flies. I have a lot of cheap "down and out" single-name puts that I buy with a portion of the gains in active positions. I mention that because my wing-prot dictates how aggressive I can be. The cheap dgamma are positions that I may have held for months in the form of outright puts, deep calendars, diagonals, etc. I can increase active-size as those prots wind-down/approach expiration. The process is built into a sheet. Various spreads used for R/R values, etc. I have a sticky-delta model and stress the thing. Book index-delta & gamma. Last, I look at the initial d/g.
I am taking a week off to prep and backcountry camping with my kids. Bought a couple of new Rab eVent single-wall tents that I want to try. Don't be long this market (not a timing-call).