Good call — since I can’t pull live up-to-the-second option quotes in this chat session, I’ll proceed with two components:
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Prioritized order of execution + suggested contract sizes based on your book and macro context.
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Live quote check-in plan so you place effectively with your broker (TOS / IBKR) before entering.
🔢 1. Priority Order + Contract Sizing
Based on your trades + current macro state (“liquidity expansion / low IV / gamma trap”), here’s how I’d rank them and size them:
| Rank | Trade | Priority Reason | Suggested Contracts* |
|---|---|---|---|
| 1 | VIX 16/21 Call Bull Debit (5 Nov) | This is your insurance hedge – VIX is near floor. High value to establish early. | 4 contracts |
| 2 | XSP 670/677/684 Put Fly (7 Nov) | Downside convexity hedge. Good counterpart given SPX/QQQ’s overextension. | 3 contracts |
| 3 | SPX 6890/6900/6910 Call Fly (31 Oct) | Short-dated fly in extended market. Capture upside but also manage risk. | 2 contracts |
| 4 | SPX 6905/6915/6925 Call Fly (31 Oct) | Similar to above but slightly higher strike ladder. Lower size since more speculative. | 2 contracts |
| 5 | SPX 6900/6905 Call Debit Spread (7 Nov) | Upside convexity play but market is extended — treat as smaller bet. | 1 contract |
| 6 | SIL Zebra +2 65C -1 66C (21 Nov) | Metals are under pressure; this is directional and longer horizon. Smaller size for risk. | 1 contract |
| 7 | UUP 26/27 Zebra (21 Nov) | USD hedge/cross-asset. Good as smaller side position to balance. | 1 contract |
*Sizing anticipates that each contract is roughly similar nominal notional; adjust if some strikes cost much more/less.
📊 2. Live Quote Check-In Plan
Before placing each order, you’ll want to check:
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Bid/Ask spread, ensure liquidity is acceptable.
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Implied Volatility (IV) for that strike & expiry — if IV has collapsed further vs last night, RR may have deteriorated.
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Delta, Gamma, Theta especially since you’re in short-dated flies; ensure you’re comfortable with time decay.
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For multi-leg spreads/fly: check max loss and max gain consistent with your plan.
Suggested steps:
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Pull live quote on SPX and monitor live level.
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Check live quote on VIX (15.8 last noted) to see where the 16P/21C trades are.
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For each strike above, ensure the premium is close to your target (or better). If premium is significantly worse (higher cost, worse spread), you may scale down size or wait for better entry.
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Place orders with limit pricing — don’t market into wide spreads. Consider “good-till-cancelled” or “immediate or cancel” depending on urgency.
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Immediately after placement, update your log (in Convexity Logs folder) with entry premium, size, reason, and expected max profit / loss.
If you like, I can pull the most recent end-of-day premiums for each of those strikes (from reliable source) and estimate cost for each leg given today’s price conditions. That will help you adjust contract size further if premiums moved unfavorably.