Mid-Day Update
Mon, Apr 16, 2012 | Frank
As of 12:57pm Eastern, we have an active risk-management trade signal. During expiration week, we’re careful to focus on reducing risk (gamma, in particular)—especially in a news-driven, risk-on/risk-off environment. If SPY doesn’t rally back above $137 and hold that level through the afternoon, we’ll be making another adjustment to our hedge position in the last hour to hour-and-a-half of the session.
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