Post BrExit Vol

Thanks. I had expected a down move after the BrExit vote down to around 1980-2000 level, but not this precipitously!

 

Futures are indicating SPY might come in just under 200, but short vol? Hmmm.

 

its more about short gamma now

 

Depending on expiry, looks like those puts came close to tripling in value.

 

Good, the SPX went back up after futures were down more than 100 points - my short SPY puts are okay. My other positions - short TLT puts, short VXX calls, and even my double calendar leftover are all doing great. Talk about dumb luck!

 

Down move is not over. Bought SPY calendar 7/15-6/30 200P.