The last two down days helped our position. Our portfolio’s EV is now positive for the month of Nov. The risk EV is below the max allowed by the strategy. However, it is not below enough for us to establish a position for Dec without going over the allowed risk threshold.
From a technical point of view, it is also not a good time to establish a new position. The risk and reward ratio is poor because the 3 month up move has removed much of the volatility in the market. Additionally, the high slope of the upwards trend would require us to establish a stike price that is far out of the money, resulting in very little reward on the upside. On the down side, there is very little support as many of the short sellers have been forced out of the market to cover their positions.
