(1) My portfolio was long about 35 SPX Beta Weighted Deltas after the close yesterday. Not a lot compared to my typical position but certainly enough to protect. With the prospect of a government shutdown looming the indexes could take a hit here. Overall I think the indexes, especially small caps (RUT), will rally strongly if congress resolves the budget issues. That’s why I’m looking for downside protection without a great cost should prices move higher. Last night I opened an ES 5-lot Vertical Put spread for $11.25 ($2812.50). ES moved lower by about .75% overnight so I just reduced the short Deltas on the position by selling a 3-lot of naked Puts that are far OTM for $12.25 ($1837.50). That leaves me with a net cost of $975 and a potential profit of $17,775. There is unlimited risk to the downside which is why the current margin requirement is $21,000. Below is the 2 transactions that created the position and the risk profile of the position. See the comments on the risk profile how I protect against the downside risk.
Sep30 Update: I’ve ‘tweaked’ the position a few times to match the structure to my ES chart analysis. Here is the current position (below). There is still unlimited risk to the downside so I continue to maintain an upsloping current (T+0) profit/loss line.
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