Friday, July 02, 2010

Buy SDS (sell puts)

Buy SDS via selling Aug 31 puts SDS@38.6. I expected a market rally on the employment report. The tiny bump up only lasted a short time. I get closer to delta neutral with this trade, but am still net long SPY.

I am already short SDS Jul 30 puts, SDS Aug 27 puts, both are close to delta zero. On the other side I am short SPY Jul 66 puts, Jul 92 puts, Aug 84 puts, as well as a SPY Sep 96/88 put backratio.

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

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