Thursday, November 15, 2018

Delta Neutral Update....11.15.18

An intra day turnaround turned out well for our DN model.  We did not get stopped out in the long side in the morning session as the market dropped but did get stopped out on the short side in the afternoon session and were able to book a net .5% gain for the day.  Volatility continues to decline per the ATR and Open//Close skew.