S&P Fear Regression

The regression area of 7/11/11 – 7/18/11 correlates to a spike in the VIX.

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Spread Adjustments 3/4 – 3/11

Spread Adjustments – 3/3/11

Wednesday Trades

Tuesday Trades

Tuesday Trades

Wednesday Trades

 

Monday Trades

IN
AIG – AUG 48 CALLS @ 2.59
BAC – AUG 16 CALLS @ 0.87
CME (hedge) – MAR 280 PUTS @ 3.40
DG – MAY 30 CALLS @ 0.90
EXPE (added) – APR 28 CALLS @ 0.45
FFIV (hedge) – APR 105 PUTS @ 2.25
MCD (added) – MAR 75 CALLS @ 0.67

OUT (-1.545)
AMZN (covered short) – APR 210 CALLS @ 0.73 (+0.10)
CME (part) – MAR 320 CALLS @ 3.30 (-2.833)
PG (part) – APR 62.5 CALLS @ 2.73 (+1.02)
PG (part) – APR 67.5 CALLS @ 0.428 (+0.258)
ROVI (part) – MAR 65 CALLS @ 3.36 (+0.91)
VIX (part) – MAR 20 CALLS @ 1.30 (-1.00)

SCALP (-0.091)
FFIV (in) – MAR 145 CALLS @ 1.521
FFIV (in short) – MAR 150 CALLS @ 1.05
FFIV (out part) – MAR 145 CALLS @ 1.25 (-0.271)
ROVI (in) – MAR 70 CALLS @ 1.52
ROVI (out part) – MAR 70 CALLS @ 1.70 (+0.18)

Weekly Results – 2/4/11

Wednesday Trades

IN
AMZN – APR 205 CALLS @ 1.18
MCD – MAR 75 CALLS @ 0.75
PG – APR 62.5 CALLS @ 1.57
PG – APR 67.5 CALLS @ 0.17
OI – MAR 30 CALLS @ 0.95
VIX – APR4 18 CALLS @ 3.70
UUP – SEP 23 CALLS @ 0.51
ROVI –  Short MAR 70 CALLS @ 1.40
GLD (added) – MAR 129 PUTS @ 2.56

OUT
GLD – MAR 131 CALLS @ 2.423 (-0.180)
GLD (covered short) –  MAR 132 CALLS @ 2.00 (+0.129)
GLD – MAR 129 PUTS @ 2.46 (-0.215)
FRX (part) – MAR 33 CALLS @ 0.85 (+0.15)
ROVI (part) – MAR 65 CALLS @ 3.10 (+0.60)
ICE (part) – vertical MAR 120/125 CALLS @ 2.40 (+0.494)
UUP (rolled forward exp) – MAR 22 CALLS @ 0.41 (-0.235)
VIX (rolled forward exp) – FEB 20 CALLS @ 0.70 (-0.59)