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I am trading options on the Russell 2000 (RUT)...specifically, long put butterflies in RUT and also buying IWM (Russell 2000 ETF) call options to bring Delta to 0....that's the opening trade. Then as time goes on (we hold for about a month), if delta starts to get out of whack, we might buy RUT call verticals or buy more IWM calls outright if delta is above 10...if delta moves below -10, then we would do the opposite.
They are fairly liquid as far as options go (IWM way more liquid than RUT)...I am buying and/or selling at any time I think is right...trading just like stocks or futures
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