@El OchoCinco Hey, thanks for keeping us updated on this trade. What was your thinking going into this trade? Did you have a feeling that losses would accelerate into the day or was that just gravy?
It was a week long FLY expecting it to run into Froday or Monday. The large drop in the market moved ES well below the peak zone of the chart so I figured I would take the profit rather than wait for it to decay out for 3-4 days and market spike back too high. So getting out same day was bonus.
Just entered this stretched out FLY. Not feeling 100% on it with today's price action but given that it is Friday willing to let it run into Tuesday: Risk Graph below. I feel that it does not get above 2700 but if it pops and settles just over that I have the middle strikes hovering there. Main risk is if today we explode higher then the market to market will show a bigger loss. Hoping going into Monday market settles and I can decay this out a few days.
Well I am using PUTS to take advantage of the skew a bit. Below is the IV of each strike in the position. Also fills on either have not been a problem, I often try to go no more than halfway between mid and ask to buy but start slightly above it.
Don't believe this rally at all and entered following FLY: Do not see ES getting above 2750 by beginning of next week when I would want to cover this. Also one more blow out day to the bottom and I can close sooner.