Tuesday, August 21, 2012

Trade Blotter

8/31 sold most of the VXX ETF hedge purchased 8/30 at 11.49, but sold VXX Sep 11 puts for $0.49 to maintain long delta hedge against short 12/13 calls.
8/30 p.m. Reduced VXX long hedge position by selling the Sep 10 strike call position from 8/22 for $2.01.
8/30 a.m. Bought VXX at 11.86 to hedge short exposure (driven by 8/29 short 13 strike calls).
8/29 Sold VXX Sep 13 strike calls for $0.41.
8/27 Covered the 141 short puts for $0.62...didn't like market action.
8/24 Sold additional VXX Sep 12 calls for $0.73/contract.  Bought back SPY 149 short calls for $0.07 and sold some weekly 141 puts for $0.65.  Bullish bias for Monday on the heels of VXX erosion today, plus we're due for a strong Monday.
8/22 Bought VXX Sep 10.00 strike call for $1.95 against existing short calls/VXX underlying length -- risk reducing trade as gamma short was moving against me
8/21 Not looking like the best timing, but rolled the short Sep 125 puts to the 131 strike for $0.14 credit/contract.

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