OOCH, the smooth portfolio was severly damaged by the recent surges in market. SPX jumped 60 points in about a week.
The portfolio had about 10% profit about about 1 week ago and it showed a minor loss after the 9-6 big rise, then the QE3 annoucement day rise crushed the protfolio. This is the life of the smooth profit. Exited all positions with losses except the unbalanced butterfly in RUT.
In the last couple of days, Delta increased from 40 to 130 and Theta decreased from 170 to 30. Vega had major increase as well. The gamma had been suspiciously low at around 1.
Have to restart another trading month.
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