Monday, September 21, 2015


Friday's action was a bit surprising.  Didn't expect that kind of selloff on triple witching, but the Friday selloff basically front ran the post options expiration selloff that you normally get post triple witching.  The fund managers are so eager to get protection, that they are willing to be double protected, that is, they will buy October out of the money puts to protect themselves ahead of the weekend even though they already own September puts expiring that day.  That is how nervous they are.

I doubt any rally gets any traction this week, so I am looking to short this market.  Perhaps a gap fill from Thursday's close would be a good spot, around SPX 1985.  Not much edge yet, although if I had to hold a position for a week, I would much rather be short than long here.

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