How do you solve a problem like vacation?

Macro Man is stuck with a problem. As problems go, it's a pretty good one to have, but it remains a problem nonethless. He is going on vacation next week.

Sadly, macro traders are not consulted when the UK school system compiles its holiday calendar; otherwise, they might not have scheduled the half-term break the week after G7 (and the week of the Humphrey-Hawkins testimony and a whole slew of key data.)

Nevertheless, Macro Man needs to start thinking about what to do with his positions, as it could be dangerous to leave them sitting for a week. (He will of course be actively managing his real world portfolio, but the blog portfolio will remain untouched all week.)

Step one is to position for risk aversion, which would lill a lot of the alpha and beta positions.

Macro Man therefore puts on an option spread on SPH7.

He buys 200 March 1445/1425 put spreads at 5.7, and sells 200 March 1480 calls at 5.9.
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