I was watching the SPX 15 minute chart, as usual, and the move to the top of the Bollinger Band happened around 7 AM, and moved up for another hour. Then it started to fade off that top BB line.
I watch the SPX with the TTM_Squeeze. When the TTM_Squeeze histogram went from rising (light blue) to falling (dark blue) I entered a 2090/2085 bear put spread for $1.80.
At the time the /ES traded flat and held above the breakout level from the morning (see the horizontal line on the graph below), but then broke below signalling the market could trade lower. Then it rose back into the low end of that trading range, again broke below it and then sharply traded back to the level and then dramatically sold off.
The bull put spread went profitable, but because of the low trading volumes and run up in near term volatility (VXST was trading up 12% at the time), the put spread was very difficult to sell to close it.
So, when /ES started moving up sharply into the close, I added a 2080/2070 bull put spread for $2.55, creating a broken wing put condor.
When all was said and done at the end of the day, I forced a close to make sure I do not have to deal with this tomorrow (around the time of the green arrow on the first graph). I sold the bear put for $2.25 and bought back the bull put for $2.45. A total gain of $0.55 was made on the day.
The best I saw the mid-price on the bear put at any time during the day was $2.50, which is quite disappointing considering the 10 point move in the SPX intraday.
Today's SKEW printed at elevated levels again (~139). Put buying picks right up when we see any sign of weakness in the market. RUT was strong today and the NDX was the weakest.
Tomorrow is likely the day to get long at the close of trading.
