Disclaimer
This is for informational purposes only.
Discussion
Logged everything yesterday via Xwitter, so updating the trade log the morning of August 22.
Trade 1: Bought September SPY $435, December 23 SPY $400, and June 24 SPY $350 puts in the first half an hour of trading with SPX up around 40 bps on the day, bringing me to a fully short position including the core October SPY $440 put position.
Trade 2: When the market started to reverse higher after its mid-morning sell-off, I sold a stub position of the 8/21 $435 puts.
Trade 3: In the final 10 mins of trading I used the stub proceeds from the 8/21 puts to buy $437 puts.
Rationale 1:
Rationale 2: I held the $435 puts through the mid-morning correction, as the market was behaving as if it could go to new lows (HY CDX in particular), but once it started to reverse and VVIX came in I sold what was left of it.
Rationale 3: Breadth was terrible yesterday, and I thought the set-up was in place for a correction the following day. As I type at 5:38am EST SPY is up 35 bps pre-market to $441. So, a bad read and confirmation I need to stick to longer-term view on the market here.