The last 5 trading days have been a bit tough on our protector alpha portfolio and MIC positions as we experienced whipsaw in the big up move followed by a very aggressive down move. The PA lost significant value when both rolling out shorts didn’t work in our favor and also having one of the equities fall 10 percent (NEM). The MIC for SPX suffered when we closed 9 units of our credit spreads and added 3 2040/2020 to balance only to have the 2040/2020 take a big loss on Friday and again yesterday (they are closed). Trade is still up as is the Rut mic but definetly felt the hurt.
I’ve got a few M3 and Bearish Butterfly’s on which are all profitable. My BB was up about 20 percent and is now at around 15 percent. Rules call for closing the trade at 30 percent.
Through the trades I figured Rut should find support at 1210 area and it appears it did. I have no idea how this will go but the China situation could cause pain after what I expect will be a brief oversold bounce. I am so glad I realized a few weeks ago that we were not getting paid for our risk and kept the mic allocation below 50 percent.