Current Trades - Market Analysis on Mar 17th, 2017

Repeating this post to have it in a more visible place:

Here is a summary of what the positions we are carrying around so far with their performance.

That is what I love butterflies in general (I know you must be tired of hearing the same thing over and over :) )

We are currently bottom-fishing GDX expecting a wave 3 with a GDX fly that is now at 2.16 ( 59% from entry) and still going strong.

We are also top-fishing SPX, expecting a wave Iv (at least the initial c down portion of it) with a fly that is at 4.70 (we entered at 4.60) even though the market went up a little bit since we entered today.

We also have a lotto hedge for the SPX fly with SPXPM options for tomorrow in case it hits 2400. 

In addition to that we have an end of the world hedge in VIX with a vertical call spread for April (man will VIX ever go up again ?), lotto trade which is underwater but still very resillient.

And finally we have a long gamma play for that wave iV down for 3/31 with a vertical put spread in SPX (lotto style too) also underwater and with 2 weeks to go. We'll see if *any* downside manifests itself in SPX again.

Here is a summary of the trades. For reference is now too late the enter the GDX fly as it has already gained a lot since we entered:


BUY 10 GDX April13 20 CALL/SELL 20 GDX April13 24 CALL/ BUY 10 GDX April13 28 CALL


The current fly is still young so you can enter it if you want:

BUY 10 SPX April28 2340 PUT/ SELL 20 SPX April28 2370 PUT/BUY 10 SPX April28 2400 PUT


There is a binary put spread for March31, better to use something similar a little farther away if you want to play big downside:

SELL 1 SPX March31 2300 PUT/BUY 1 SPX March31 2305 PUT

Finally VIX, we have a calendar for April that might be still attractive, it is a lotto hedge for the end of the world

BUY 1 VIX April19 16 CALL / SELL 1 VIX April19 18 CALL

Leo Valencia hosts the Gamma Optimizer options service at