The M3 Rhino called for an adjustment today but I wanted to wait until everything settled down re the Fed minutes. It’s a super resilient trade and its so far out, there is no rush in these types of adjustments (at all). As long as it gets done sometime soon.
Here is the trade as it stands at close.
Here it is with the planned adjustment
When delta gets to about delta -250 to -500 (depending on where we are in the risk profile.) we’ll start adding in call calendars. I can’t believe the RUT is up almost 80 points in like 3 trading days.
Brian Larson has a service over at Capital Discussions for anyone that wants trade alerts for this type of trade. It’s a good one. He’s just started and it’s free until January I believe.