Wednesday, July 28, 2010

Buy IWM (sell puts)

Buy IWM via selling Aug 58 puts, IWM@66.1. This is more rebalancing of the SPY strangle. I am using IWM as a SPY proxy because of the lower value per contract. I am still net short SPY deltas on the combo of SPY, SDS, IWM options but get closer to neutral.

Gold and bonds had a scary down day on Tuesday. For now I am holding on to those positions. One interpretation of recent price action is money flowing into SPY with the funds coming from TLT and GLD, as asset allocation funds, and hedge funds rebalance their portfolios.

Long BRKB, GLD, IWM, SPY*, TLT*
SPY offset by SDS, net short SPY
TLT offset by TBT, net long TLT

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