Tuesday, November 6, 2012

Closure of November Option Inventory

With 9 days left for the expiration, I closed all remaining November positions to avoid any surprises after the election. The VIX increased yesterday while SPX rose ahead of the election. On the election day, VIX dropped about half a point at mid day time, causing my Vega positive portfolio to lose some value. Since the remaining positions were mostly calendars, the portfolio Vega was the major contributor for the small market moves. It was a little bit strange that all of my SPX closing orders that were $0.10 above mid-price got filled instantly.
Yesterday, I trimmed down my inventory to reduce risks. Closure of IC neutralized the delta and closure of the double calendar reduced the Vega as shown in the images below.

On the paper-traded 2 month portfolio, it has been very smooth up to now. I plan to close it around this Friday. It's very encouraging time-frame that requires my further study soon.

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