Time to close our SPY back ratio hedge if you are still in it. As you recall this position was placed back on Sept. 23 when the volatility picture was very uncertain. It was designed to “hedge” the calendars at the time to prevent losses on the “core” position. We briefly had some profits from it but since then the market has settled down.
Hedges are always designed as insurance. They are not expected to make money and they are also optional in the service. If the hedge is making a lot of money, it means the rest of your portfolio is getting hammered.
For those of you that the Jan 375 put was accidentally closed when we rolled you will only have one leg to close.
We do not plan to do these types of hedges often but knowing how to set up a back ratio hedge is a good skill to have and keeps the price of the hedge much cheaper than just buying options.
SPDR S&P 500 ETF (SPY): 397.86
(Only for those members still in the position or that have a leg still open)
TRADE ACTION: CLOSE the SPY 20 Jan 23 375 put and the 20 Jan 23 360 puts for a credit of around 0.51 to 0.55
BTC the SPY 20 Jan 23 375 puts (the 50k Master Portfolio had 2 contracts)
STC the SPY 20 Jan 23 360 puts (the 50k Master Portfolio had 4 contracts)