Thursday, October 06, 2011

Unwind SPY (buy)

Sell SPY Oct 100 puts, this locks at least a minor loss on the 100/95 vertical put spread. I see little chance that SPY breaks 100 before Oct 21. I flipped to net negative delta (short SPY) because of the way the options moved. This unwinding move brings me back to slight positive SPY delta.

Long GLD, PFF, SPY, TLT

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