Disclaimer
This is for informational purposes only.
Discussion
Trade: Sold half of the SPY October $441 put position.
Trade 2: Took it down to a 1/3 position.
Trade 3: Bought a 1/3 position in September SPY $440 puts and bought back a 1/3 position in the October $441s.
Rationale: HY CDX has been weak ever since yesterday afternoon, and I ignored it until now because defensive sectors have been bid and VVIX firm. But now VVIX is starting to come into line and NDX is catching a bid, and everyone and their brother is looking to BTFD. As demonstrated around Jackson Hole, consensus can will an “oversold” bounce into existence despite the utter and complete absence of any fundamental justification, so I’m not going to just sit back and take it when a key signal like HY CDX is saying there could be some SPX upside.
Rationale 2: SPX pulled back a bit here, and I like the flexibility of trading in thirds, so I took it down to a 1/3 position.
Rationale 3: I started folding in some of Merlin Capital’s liquidity work into my cross-asset signaling process, and his work suggested SPX was topping mid-day (I’m writing this on September 11).