So today was day 1 of the Dan Sheridan Options Mentoring Reunion and it was great. I was the first speaker, followed by mentor Dan H, Seth, Mark and Mark. Then talks by Tom Sosnoff of TOS and a Broker-Dealer guy and a market maker. And let's not forget seeing good friends/fellow students and meeting new ones, as well as a great meal in Greek Town in Chicago. Definitely a great day. Well, it turns out I'm sitting in my hotel room, the one I didn't expect to be in because I was planning on doing the 2.5 hour commute back up to Wisconsin. Dan Sheridan insisted that I stay in a hotel overnight, and since I only had two hours sleep last night, I thought it would be a good idea. Due to the long commutes both ways, I would have only gotten about 4 hours sleep tonight before having to turn around and head back down to Chicago. Definitely looking forward to tomorrow, especially on a few more hours sleep.
So today during the seminar, I made a couple of small adjustments. First of all, I entered an order to sell some calls on my high prob RUT iron condor. As previously mentioned, I have all my call spreads off, so in order to decrease my positive delta as well as increase my theta, I thought I'd sell some call credit spreads. The Jul 550-560's to be exact. After seeing the futures down, I wasn't too optimistic about getting a fill at the price I entered for my limit. Well, I got filled sometime during my presentation. I looked at the current mid and I got a pretty good fill. Of course, that was before RUT made it's big move up.
And due to the move up, and leaning fairly short deltas on my butterflies, I added a Aug 570 call to cut my butterfly deltas in half.
What can I say about my SPX now-double calendar? We moved up so much today (after converting it to a double calendar yesterday due to fear of the downside) that I'm now right at my original 920 strike. Unfortunately, my P&L is something like -13%. Yuk.
That's it for now. No pretty graphs tonight. Time to get some sleep.
Thursday, June 25, 2009
Wednesday, June 24, 2009
Adjusted SPX and took profits on RUT Flys
I certainly needed that move up today. All of my positions were leaning long after Monday's big down day, so today's move up was a relief. Also, the move up pushed my RUT "double butterfly" up to about 10% combined gain, so I decided to take half the trade off to lock in some profits, especially before the FOMC meeting announcement. After doing so, my previous extra longs to balance deltas that were now remaining, were leaving this position a little negative delta. I though that this might be okay coming into the Fed announcement. I thought leaning negative was probably good, and if we go up, I'll be helped by the vols dropping. Turns out I benefited from both a slight move down off of today's highs as well as a post-announcement IV drop. At end of day, I'm up about 12% on the combined position. The individual flies are up 9% in 12 days and 16% in 6 days. I'm hoping to get out of the rest of the trade on Friday afternoon or Monday after enough time decay has set me up with 15-20% gain total. Below is before (blue) and after (purple) graphs on OV.
I also adjusted my SPX 920 Call calendar. Again, today's run up was a gift, but I was still concerned about the downside. I'm hoping that SPX stays in a range. I'd guess somewhere around 875 to 950, and my current breakevens are about 885 to 955. So I decided to roll down half of my position to flatten the deltas, increase my theta slightly, and lower my BEs a bit. Knowing my luck, I'll get whipsawed on this again and SPX will shoot up above 950 in no time. Of course, me saying that will hopefully prevent it from happening. As it stand, this trade is down about 8%. The current position is shown below.
As for the high prob RUT iron condors, my "lost 10% the day I put it on" tranche has finally crossed into positive territory at 0.8%. I'm looking to get around 5% on this trade due to my earlier adjustments (locking in some losses). My other tranche is around 5.5% gain with a goal of 10%. Doing well. Because I have no calls left, this pair of trades are leaning quite long delta, around 80, with theta around 100. Now that the Fed announcement is done, I'm thinking on selling some calls (around 25% of the original position size). Probably something around the 550-560, and this would cut my deltas to around 50 and increase theta to 140. Selling only 25-50% of the original size keeps the whipsaw risk lower while improving the greeks.
I also adjusted my SPX 920 Call calendar. Again, today's run up was a gift, but I was still concerned about the downside. I'm hoping that SPX stays in a range. I'd guess somewhere around 875 to 950, and my current breakevens are about 885 to 955. So I decided to roll down half of my position to flatten the deltas, increase my theta slightly, and lower my BEs a bit. Knowing my luck, I'll get whipsawed on this again and SPX will shoot up above 950 in no time. Of course, me saying that will hopefully prevent it from happening. As it stand, this trade is down about 8%. The current position is shown below.
As for the high prob RUT iron condors, my "lost 10% the day I put it on" tranche has finally crossed into positive territory at 0.8%. I'm looking to get around 5% on this trade due to my earlier adjustments (locking in some losses). My other tranche is around 5.5% gain with a goal of 10%. Doing well. Because I have no calls left, this pair of trades are leaning quite long delta, around 80, with theta around 100. Now that the Fed announcement is done, I'm thinking on selling some calls (around 25% of the original position size). Probably something around the 550-560, and this would cut my deltas to around 50 and increase theta to 140. Selling only 25-50% of the original size keeps the whipsaw risk lower while improving the greeks.
Monday, June 22, 2009
Big move, not too big pain
Well now. Wasn't that a shock to the system? SPX moved -1.7 daily standard deviations and the RUT moved down -1.8 SD. So, what did that do to the trades? Well, first of all, I got knocked out of my CAT iron-butterfly-turned-iron-condor for a max loss. Below you can see my entry point and original breakevens, which were then extended down to about 32.5, which was broken again today. I bailed.
My SPX calendar at 920 got spanked a bit today as well. I can't show the TOS graph because the MM's messed around with the vols (and/or bid/ask spread) at the end of the day. About one minute before the close, my P/L said I was at about a 200% loss. Not easily accomplished in a debit spread such as a calendar. So I'll use OptionVue, and show the curve as of 30 minutes before close, showing me down 9% (I was flat as of Friday close). Also pictured is the proposed adjustment, taking half of the spreads off and rolling down to ATM. Doing so cuts the delta from about 50 to 20, and increases theta from 80 to 93, and doesn't increase the capital requirements for the trade.
The RUT butterflies are doing fair. And in absolute terms, I'm doing not much worse at today's close than at Friday's close, in total. Both butterflies were up about 9% combined as of last Friday, and short about 16 delta, and after today's big move down, I'm still up about 8% but long 50 delta. Getting a bit long, so I'll have to consider cutting that. Looking at the positions individually, my first fly, with a 520 strike was up 12% on Friday, but is now only up 5%. I wasn't really ready to close it out at 12% last week, and today moved down so much right at the opening bell, that I didn't want to take it off for single digit returns. On the other hand, my second Fly, opened just 2 trading days ago, is up 11%. For an adjustment, I may consider rolling one of my 520 shorts down to ATM (490). Just like the SPX adjustment, this cuts the delta and increases theta, but this time it increases margin requirements since I wouldn't be moving one of the longs with it. If margin is a concern, you could also move one of the long calls too, but you'd be sacrificing theta as well as not cutting the deltas as much.
On the RUT High Prob, I was able to buy back my 590-600 credit spreads for $0.12. With the RVX up as much as 4 points today, the calls really didn't go down much in price, so I couldn't get them off cheaply, or take other call spreads I have on in this trade. But since I originally sold these 12 days ago for $0.70, I captured 83% of their value quickly. Nothing much to report here, other than between the 20 point move down and taking off half of my call credit spreads, I'm now a bit long delta, at 70, with theta only 115. Since this trade is so wide (short 430 - 570 strikes), I'm not too worried. If we have a calm price action for the next couple days, I may consider re-selling some calls.
My SPX calendar at 920 got spanked a bit today as well. I can't show the TOS graph because the MM's messed around with the vols (and/or bid/ask spread) at the end of the day. About one minute before the close, my P/L said I was at about a 200% loss. Not easily accomplished in a debit spread such as a calendar. So I'll use OptionVue, and show the curve as of 30 minutes before close, showing me down 9% (I was flat as of Friday close). Also pictured is the proposed adjustment, taking half of the spreads off and rolling down to ATM. Doing so cuts the delta from about 50 to 20, and increases theta from 80 to 93, and doesn't increase the capital requirements for the trade.
The RUT butterflies are doing fair. And in absolute terms, I'm doing not much worse at today's close than at Friday's close, in total. Both butterflies were up about 9% combined as of last Friday, and short about 16 delta, and after today's big move down, I'm still up about 8% but long 50 delta. Getting a bit long, so I'll have to consider cutting that. Looking at the positions individually, my first fly, with a 520 strike was up 12% on Friday, but is now only up 5%. I wasn't really ready to close it out at 12% last week, and today moved down so much right at the opening bell, that I didn't want to take it off for single digit returns. On the other hand, my second Fly, opened just 2 trading days ago, is up 11%. For an adjustment, I may consider rolling one of my 520 shorts down to ATM (490). Just like the SPX adjustment, this cuts the delta and increases theta, but this time it increases margin requirements since I wouldn't be moving one of the longs with it. If margin is a concern, you could also move one of the long calls too, but you'd be sacrificing theta as well as not cutting the deltas as much.
On the RUT High Prob, I was able to buy back my 590-600 credit spreads for $0.12. With the RVX up as much as 4 points today, the calls really didn't go down much in price, so I couldn't get them off cheaply, or take other call spreads I have on in this trade. But since I originally sold these 12 days ago for $0.70, I captured 83% of their value quickly. Nothing much to report here, other than between the 20 point move down and taking off half of my call credit spreads, I'm now a bit long delta, at 70, with theta only 115. Since this trade is so wide (short 430 - 570 strikes), I'm not too worried. If we have a calm price action for the next couple days, I may consider re-selling some calls.
Thursday, June 18, 2009
Catching the blog up
Didn't seem like that busy of a week, but I guess I have some trades to catch up on. TOS says I had 37 orders filled (and 182 canceled!) for the last 4 days.
Let's start with this week's closed June trades. Finally closed my calls on the High Prob RUT IC, but due to a bunch of excuses, I only pulled about a 2% gain on this trade. Not a highlight of my RUT HP trades. The really sad thing is that if I would have truly traded it like my "no-touch" non-adjusting condor, it would have returned my standard 10%. But I over-traded it. The big run up on 5/26, 6/1 and 6/2 had me running for the hills, or at least to cover some of my call spreads at a loss. Doing so locks in this loss and I didn't resell any spreads to make up for it. I also tried a Friday through Monday (actually Tuesday) hedge because I was afraid of a quick move up on Monday morning like we've seen in the past. Just goes to show me....I can't read charts, and the 80+% odds of this trade works better than I do. I should REALLY leave it alone. I'd make much more money that way.
That's the bad news. Now the good news. I also had a Low Prob RUT IC on and I hung onto that all the way until Tuesday, only 2 days before expiration. I covered this one quite extensively in the blog. I ended up with 14.4% return. Not stellar, but not chump change.
Now let's cover July closed trades. I'm sorry to report that all of my bullish put credit spreads opened on just this last Friday hit their max loss, roughly -14% on each. That's APC, EWZ, OIH and OXY. Closed in only 5 days. Yuck. Also had to close my GENZ bull put spread at max loss. This one lasted all of 12 days.
That's the bad news. Now the good news. The SPX 930 calendar I opened last Friday closed today for 10.3% gain in 6 days. Kinda funny thing is that I was planning on adding to the position today, and that trade closed on a open limit order. Even funnier is that today's ATM strike is almost the same as the trade I close. Closed the 930's, opened the 920's today. So let's take that as a segway into the rest of the July trades and new July trades.
So here's the SPX 920 call calendar. Interesting to note is my fills. I originally tried getting filled on the 920 puts, but as soon as I'd put in an order, the mid would jump up $0.20. I tried it on the 915 put calendar too, and the same result. I let the trade sit for a while and the mid came back down to my price but no fills. I then checked out the 920 calls and found them about $2 less. The negative skew was a bit less than the puts. (Golden nugget there....check the skews for both the puts and calls and pick the one that has less negative skew.) So I put in a order for mid on the calls and got filled instantly. I decided to put in another order for $0.10 under mid and got filled instantly. I then put in yet another order for $0.30 under mid and didn't get filled. I let it sit for maybe 1 minute then moved it to $0.25 under mid and got filled instantly. Wow. Great fills on SPX!
Next up is the RUT Fly I started 6 days ago. I'm currently up 10%. Today I doubled the position by adding a 460-500-540 butterfly along with a Aug 600 call to help the short deltas. Below is pictured last week's position by itself, and how it looks with the combination fly.
I have two tranches of the RUT HP IC. One started on 5/29 which hit 10% loss in one day and the 2nd tranch started on 6/10. Nothing is happening on the 2nd tranch other than time decay, and I'm now just shy of 4% gain in 8 days. Pretty good for this trade. The 1st tranch I've managed to get back to about a -3% loss. As previously mentioned, I took half my calls off, locking in that loss. Yesterday I took the puts off for $0.20 (a little early) and today I decided to resell them for $0.60 (short 430 strike), as well as put the other call spreads back on for $0.53 credit (short 570 strike). This was to collect more credit to offset that previously locked in loss. The overall trade is now sitting at only -8 delta and +160 theta. Nice. I'm going to try very hard to not touch this trade again. Either I'm going out with max gain (~10%) or max loss (~ -20%) per my plan.
I've decided to not put on a RUT LP today. It's not that I didn't try. I just couldn't get filled close enough to mid (I caved in $0.05 - 0.07) and I tried nearly all day long. Maybe I'll try again in the morning, but I'm thinking the two RUT butterflies will replace the LP this month.
And saving the worst for last, CAT has made quite a run down, an 11% drop in the 4 trading days since I put on the butterfly. I decided to cut the 400 long delta by moving the entire put side down. I moved all the shorts to the current ATM strike and moved down the longs. I couldn't keep the 5 point spacing because of the lack of 1 point strikes below the 30 strike. So I went from a 32-37 put spread to a 30-34. This helps cut the delta even further. After this adjustment, I'm at +176 delta and +48 theta. Not a great ratio, but better than the 417 delta and only +21 theta before the adjustment. Before and after adjustment risk graphs shown below.
I wonder what tomorrow will bring?
Let's start with this week's closed June trades. Finally closed my calls on the High Prob RUT IC, but due to a bunch of excuses, I only pulled about a 2% gain on this trade. Not a highlight of my RUT HP trades. The really sad thing is that if I would have truly traded it like my "no-touch" non-adjusting condor, it would have returned my standard 10%. But I over-traded it. The big run up on 5/26, 6/1 and 6/2 had me running for the hills, or at least to cover some of my call spreads at a loss. Doing so locks in this loss and I didn't resell any spreads to make up for it. I also tried a Friday through Monday (actually Tuesday) hedge because I was afraid of a quick move up on Monday morning like we've seen in the past. Just goes to show me....I can't read charts, and the 80+% odds of this trade works better than I do. I should REALLY leave it alone. I'd make much more money that way.
That's the bad news. Now the good news. I also had a Low Prob RUT IC on and I hung onto that all the way until Tuesday, only 2 days before expiration. I covered this one quite extensively in the blog. I ended up with 14.4% return. Not stellar, but not chump change.
Now let's cover July closed trades. I'm sorry to report that all of my bullish put credit spreads opened on just this last Friday hit their max loss, roughly -14% on each. That's APC, EWZ, OIH and OXY. Closed in only 5 days. Yuck. Also had to close my GENZ bull put spread at max loss. This one lasted all of 12 days.
That's the bad news. Now the good news. The SPX 930 calendar I opened last Friday closed today for 10.3% gain in 6 days. Kinda funny thing is that I was planning on adding to the position today, and that trade closed on a open limit order. Even funnier is that today's ATM strike is almost the same as the trade I close. Closed the 930's, opened the 920's today. So let's take that as a segway into the rest of the July trades and new July trades.
So here's the SPX 920 call calendar. Interesting to note is my fills. I originally tried getting filled on the 920 puts, but as soon as I'd put in an order, the mid would jump up $0.20. I tried it on the 915 put calendar too, and the same result. I let the trade sit for a while and the mid came back down to my price but no fills. I then checked out the 920 calls and found them about $2 less. The negative skew was a bit less than the puts. (Golden nugget there....check the skews for both the puts and calls and pick the one that has less negative skew.) So I put in a order for mid on the calls and got filled instantly. I decided to put in another order for $0.10 under mid and got filled instantly. I then put in yet another order for $0.30 under mid and didn't get filled. I let it sit for maybe 1 minute then moved it to $0.25 under mid and got filled instantly. Wow. Great fills on SPX!
Next up is the RUT Fly I started 6 days ago. I'm currently up 10%. Today I doubled the position by adding a 460-500-540 butterfly along with a Aug 600 call to help the short deltas. Below is pictured last week's position by itself, and how it looks with the combination fly.
I have two tranches of the RUT HP IC. One started on 5/29 which hit 10% loss in one day and the 2nd tranch started on 6/10. Nothing is happening on the 2nd tranch other than time decay, and I'm now just shy of 4% gain in 8 days. Pretty good for this trade. The 1st tranch I've managed to get back to about a -3% loss. As previously mentioned, I took half my calls off, locking in that loss. Yesterday I took the puts off for $0.20 (a little early) and today I decided to resell them for $0.60 (short 430 strike), as well as put the other call spreads back on for $0.53 credit (short 570 strike). This was to collect more credit to offset that previously locked in loss. The overall trade is now sitting at only -8 delta and +160 theta. Nice. I'm going to try very hard to not touch this trade again. Either I'm going out with max gain (~10%) or max loss (~ -20%) per my plan.
I've decided to not put on a RUT LP today. It's not that I didn't try. I just couldn't get filled close enough to mid (I caved in $0.05 - 0.07) and I tried nearly all day long. Maybe I'll try again in the morning, but I'm thinking the two RUT butterflies will replace the LP this month.
And saving the worst for last, CAT has made quite a run down, an 11% drop in the 4 trading days since I put on the butterfly. I decided to cut the 400 long delta by moving the entire put side down. I moved all the shorts to the current ATM strike and moved down the longs. I couldn't keep the 5 point spacing because of the lack of 1 point strikes below the 30 strike. So I went from a 32-37 put spread to a 30-34. This helps cut the delta even further. After this adjustment, I'm at +176 delta and +48 theta. Not a great ratio, but better than the 417 delta and only +21 theta before the adjustment. Before and after adjustment risk graphs shown below.
I wonder what tomorrow will bring?
Saturday, June 13, 2009
New July Trades
Friday was a busy trading day. I started seven new trades.
Of the seven new trades, I did four bull put credit spreads, all based on recent 20-day high closes on Thursday. They were APC (short the 43 strike), EWZ (short 49), OIH (95), and OXY (60). Since the market opened a little lower on Friday morning, getting a good credit was easier.
I put two butterflies on. First one is an iron butterfly on CAT which has been channeling for about two months. Earnings is just after earnings, so hopefully the IV will behave in the front month. I was originally thinking about a calendar, but the 2 point negative volatility skew wasn't too appealing. It's most likely due to earnings in the back month, and that skew could possibly become more negative, actually helping out the calendar, but I liked the butterfly better. Not sure I made the correct choice, so we'll have to see how it plays out.
Next up is a call butterfly in RUT, 470-520-570 for a $17.95 debit. I'm a bit concerned about the upside, so instead of adding a long to cut the delta in half, I went almost all the way to neutral.
Here's my one and only long vega trade. Another calendar on SPX. Surprisingly, it's fairly easy to get filled at mid prices on SPX. Of course, the markets haven't been crazy intraday, so getting mid is a bit easier. I'd hate to see what it trades like when things are hitting the fan. I put this one on with a tiny bearish bias. After all, this is a positive vega trade....how does vega go up? Price goes down. Hence the small bear bias.
I guess I didn't write about my July RUT HP IC that I put on Wednesday, so there that is. I'm short the 430 and 590 strikes, plus I put on some insurance. I mistakenly added some extra long 590's instead of 600's (reducing my shorts, not adding to my longs). I didn't want to correct this after the fact, so I let it be.
Of the seven new trades, I did four bull put credit spreads, all based on recent 20-day high closes on Thursday. They were APC (short the 43 strike), EWZ (short 49), OIH (95), and OXY (60). Since the market opened a little lower on Friday morning, getting a good credit was easier.
I put two butterflies on. First one is an iron butterfly on CAT which has been channeling for about two months. Earnings is just after earnings, so hopefully the IV will behave in the front month. I was originally thinking about a calendar, but the 2 point negative volatility skew wasn't too appealing. It's most likely due to earnings in the back month, and that skew could possibly become more negative, actually helping out the calendar, but I liked the butterfly better. Not sure I made the correct choice, so we'll have to see how it plays out.
Next up is a call butterfly in RUT, 470-520-570 for a $17.95 debit. I'm a bit concerned about the upside, so instead of adding a long to cut the delta in half, I went almost all the way to neutral.
Here's my one and only long vega trade. Another calendar on SPX. Surprisingly, it's fairly easy to get filled at mid prices on SPX. Of course, the markets haven't been crazy intraday, so getting mid is a bit easier. I'd hate to see what it trades like when things are hitting the fan. I put this one on with a tiny bearish bias. After all, this is a positive vega trade....how does vega go up? Price goes down. Hence the small bear bias.
I guess I didn't write about my July RUT HP IC that I put on Wednesday, so there that is. I'm short the 430 and 590 strikes, plus I put on some insurance. I mistakenly added some extra long 590's instead of 600's (reducing my shorts, not adding to my longs). I didn't want to correct this after the fact, so I let it be.
Closing June trades
Time to do a little catching up with the blog. I've been doing little adjustments here and there, and closing out June trades when possible.
First up is my COST butterfly. COST has been a true roller coaster. At first I was -25% down (at my max loss) on May 23rd, then earnings came out on 5/28 dropping the vols and putting me only down 10%. It then was fairly calm until June 4th when COST made a big move down at the open and put me down 17%. I tried not to over-react and overtrade, and later in that same day I was essentially flat. I finally closed the trade 7 days later on 6/11 with a 12.2% gain. From -25% to up 12%. Nice recovery.
TEVA didn't work out as well. Three days after I put on this trade, TEVA went from totally channelling to climbing 11% in 3 weeks. I tried rolling some of the shorts from 45 up to 47.5. It helped slow the bleeding, but not enough to save the patient. I closed this trade out on Wednesday 6/10 for a -14% loss.
I had a bull put vertical (put credit spread) on MA. It's been a little rocky, but finally closed out on Wednesday for a 12.1% gain. This trade took a while, 30 days. I had 8 other such verticals on and they closed in 6-22 days, with an average of 12 days, so 30 seemed like eternity.
Out of my 9 verticals for the month, 7 were profitable, 1 took a loss, and 1 was a scratch. The winners averaged 9.8% return and the loser was -14%. I think the reason for the winning percentage is that all but one were bull put verticals and the market was running up hard. I'm not so sure how this would work if the market was a little more sideways.
My RUT high prob iron condor didn't survive the big runup too well. I still have some call credit spreads on (short the 570's). Last Friday I was concerned about what might happen over the weekend, so I hedged with a July call. It was very expensive and would completely save me if we ran up, but if we run down, it kills any profit. And that's essentially what happened. At one point I was up 7% and I'm now only sitting at 1%. I'm still trying to buy back the calls for $0.10 but not filled yet. I'll have to go back and backtest this trade to see what would have happened if I treated this as a "no-touch" HP like I would normally do, as opposed to all the adjustments that I did during the month.
I still have two trades on that I'm carrying to expiration. My SPX calendar and a RUT low prob IC. The SPX calendar, day for day, has never showed a profit. It's kind of an insurance policy and my only positive vega trade for the month. It started out as a single calendar at the 915 strike, one day later turned into a double calendar by adding the 850 strike, 12 days later taking off the 850 strike which then left me with the original 915 strike single calendar and a realized loss on the 850 calendar. My upper break even is at 940 and we've been riding that line for two weeks, with an excursion to 956 on Thursday 6/11. Yesterday I decided that I didn't want to take this trade off yet in case of a pullback. It seems that 950 is an area of resistance, and if we pull back some, this trade could turn profitable. In order to cut my deltas slightly, I added another calendar at the 950 strike. The June 950 still had over $8 in time premium, so it seemed like a good idea. In looking at it, it doesn't really cut my deltas much, but definitely moves the profit window over the range that we've been trading for the last two weeks. And with the strong resistance at 950, I guess I didn't want to be completely delta neutral, but rather lean a little short.
When I last wrote about my RUT low prob IC, just over one week ago, I had a tiny loss. That's turned around with the beauty of time decay, I'm up 15%, and because deltas are essentially zero, we'll let this ride out a tiny bit, and close out sometime next week.
Saturday, June 6, 2009
Closed WMT +14.9%
Not too much to report today. I had a GTC order to buy back my WMT iron condor and it got filled right away this morning for a +14.9% profit in 18 days.
Most all my other trades are are fighting tooth and nail to be profitable. TEVA is hanging around my max loss (-21%) with nearly zero delta. I tried unwinding the trade again today, but the MM's didn't want to fill me at mid prices. There's some decent probabilities of getting back to breakeven on this trade, but it will take nearly all of the next two weeks to do so. My COST butterfly is flat (+3%) but is perfectly centered with low deltas. I just leave that positive theta flowing in. I've previously mentioned that I didn't like my RUT low prob curve with only the call credit spreads left on, so I did something silly...I sold a 480-490 put spread to cut my short deltas to nearly neutral.
Up next week is my "normal" ~36 day RUT high prob iron condor. Maybe a good time to do a double diagonal or two. The bad news is that most underlyings don't have August options out yet, and I don't want to do a July-Sept DD. A good looking candidate is MNX, so I'll look into that closer next week.
Have a good weekend.
Most all my other trades are are fighting tooth and nail to be profitable. TEVA is hanging around my max loss (-21%) with nearly zero delta. I tried unwinding the trade again today, but the MM's didn't want to fill me at mid prices. There's some decent probabilities of getting back to breakeven on this trade, but it will take nearly all of the next two weeks to do so. My COST butterfly is flat (+3%) but is perfectly centered with low deltas. I just leave that positive theta flowing in. I've previously mentioned that I didn't like my RUT low prob curve with only the call credit spreads left on, so I did something silly...I sold a 480-490 put spread to cut my short deltas to nearly neutral.
Up next week is my "normal" ~36 day RUT high prob iron condor. Maybe a good time to do a double diagonal or two. The bad news is that most underlyings don't have August options out yet, and I don't want to do a July-Sept DD. A good looking candidate is MNX, so I'll look into that closer next week.
Have a good weekend.
Thursday, June 4, 2009
TEVA bites me (again)
TEVA has decisively broke out above resistance today. I reacted by buying in some call spreads (some 45-50 and 45-47.5) and tried to exit the entire trade. I was delta neutral-ish when trying to close the trade, so I wasn't in a hurry. Or more to the point, I wasn't in a hurry to give the market makers a bunch of free money. Unfortunately, I coulnd't unwind the trade without caving in more than a nickel on my 42.5-45 call spreads. So I didn't take off the trade today. Mostly delta neutral, positive theta, and weekend time decay around the corner. As long as TEVA doesn't tank tomorrow, I can wait to get a better fill to close this trade (for a loss).
This morning's excitement started with COST gapping down at the open. Two days ago it was at my upper breakeven and I did a small adjustment accordingly. Today's gap down and subsequent plunge to 46.25 (4.6% drop) caused me to go from delta neutral and no loss, to -17% and nearly 400 delta. I tried not to panic and wait a few minutes to see what was going to happen with the market and COST. The market was up, so I was hoping COST was going to follow suit. And it slowly kept climbing, preventing a need for an adjustment, climbing back to 47.87 for a close, putting back at no loss and only 80 delta long. Whew!
That's enough excitement for one day.
This morning's excitement started with COST gapping down at the open. Two days ago it was at my upper breakeven and I did a small adjustment accordingly. Today's gap down and subsequent plunge to 46.25 (4.6% drop) caused me to go from delta neutral and no loss, to -17% and nearly 400 delta. I tried not to panic and wait a few minutes to see what was going to happen with the market and COST. The market was up, so I was hoping COST was going to follow suit. And it slowly kept climbing, preventing a need for an adjustment, climbing back to 47.87 for a close, putting back at no loss and only 80 delta long. Whew!
That's enough excitement for one day.
Wednesday, June 3, 2009
Rolled RUT LP IC, new GENZ trade
Today was the pullback that I was looking for, but not nearly as much as I would have liked to see. I guess a few more small down days is better than one big down day as far as IV is concerned. Overall I'm short a LOT of vega, so a IV rise wouldn't be good.
Despite the early pullback, WMT was up pretty strong. I was getting fairly short delta, but since WMT was near the upper end of its range, I didn't want to over-react and buy in too many spreads. So I only bought in a couple 50-55 call spreads, taking my delta from around -300 down to -180. Breakevens are now around 48 - 52.5, which is quite a range compared to recent price action. Despite this quiet time with WMT, its IV hasn't changed much, and in fact has gone up very slightly since I started the trade 15 days ago. No profit from vega here. I'm still sitting around 9% gain. I'd really like to see 15-20%, so we'll hang on a bit longer. Here's the trade after adjustment.
With nearly the entire market down today, I was surprised to see a couple stocks making new 20-day highs. Most notably was GENZ. Therefore, I opened a new 50-55 bull put spread for July, 0.50 credit. Nothing special in this vertical. Just shown for illustration. Exit or adjust when I'm down an amount equal to my credit ($250) (around $58.50) and take profit at 75% of my credit, around $69.00.
Yesterday I was pretty sure we were going to pull back a little, if not today, at least sometime soon. So for my RUT low prob iron condor, I bought back my put spreads for $0.40 (originally sold for $1.49). It seemed like the right thing to do, but afterwards, I wasn't too happy with the risk graph. The downside was great, but it didn't help at all if we went up further. See below, original trade and with puts removed.
So what I did during today's pullback is to roll up my calls by one strike. In order to do this, I simply placed a butterfly trade. I was originally short 540, long 550. To roll up in one move, I bought a 540-550-560 butterfly and am now short 550 and long 560. The resulting risk graph is below.
Again, I'm not very pleased with this after the fact. While I gave myself some room on the upside, the potential yield is kinda weak. In order to improve the situation, I tried to sell a put spread but I never got filled because the market was in it's seemingly "regular" late-afternoon rally, running away from my put spread offer. Pictured below is what I tried to get filled on before time ran out. I may try to do this tomorrow, providing the market doesn't immediately rally and force me out of the trade completely. Proposed position is pink, existing is green.
Despite the early pullback, WMT was up pretty strong. I was getting fairly short delta, but since WMT was near the upper end of its range, I didn't want to over-react and buy in too many spreads. So I only bought in a couple 50-55 call spreads, taking my delta from around -300 down to -180. Breakevens are now around 48 - 52.5, which is quite a range compared to recent price action. Despite this quiet time with WMT, its IV hasn't changed much, and in fact has gone up very slightly since I started the trade 15 days ago. No profit from vega here. I'm still sitting around 9% gain. I'd really like to see 15-20%, so we'll hang on a bit longer. Here's the trade after adjustment.
With nearly the entire market down today, I was surprised to see a couple stocks making new 20-day highs. Most notably was GENZ. Therefore, I opened a new 50-55 bull put spread for July, 0.50 credit. Nothing special in this vertical. Just shown for illustration. Exit or adjust when I'm down an amount equal to my credit ($250) (around $58.50) and take profit at 75% of my credit, around $69.00.
Yesterday I was pretty sure we were going to pull back a little, if not today, at least sometime soon. So for my RUT low prob iron condor, I bought back my put spreads for $0.40 (originally sold for $1.49). It seemed like the right thing to do, but afterwards, I wasn't too happy with the risk graph. The downside was great, but it didn't help at all if we went up further. See below, original trade and with puts removed.
So what I did during today's pullback is to roll up my calls by one strike. In order to do this, I simply placed a butterfly trade. I was originally short 540, long 550. To roll up in one move, I bought a 540-550-560 butterfly and am now short 550 and long 560. The resulting risk graph is below.
Again, I'm not very pleased with this after the fact. While I gave myself some room on the upside, the potential yield is kinda weak. In order to improve the situation, I tried to sell a put spread but I never got filled because the market was in it's seemingly "regular" late-afternoon rally, running away from my put spread offer. Pictured below is what I tried to get filled on before time ran out. I may try to do this tomorrow, providing the market doesn't immediately rally and force me out of the trade completely. Proposed position is pink, existing is green.
Tuesday, June 2, 2009
Busy with damage control
The last two days have been a little hectic. The market's big run up isn't good for delta neutral traders, especially if they were already leaning a little negative deltas!
First the good news. Monday's big run up allowed three of my bull put credit spreads to exit with their profit targets. This included EWZ, ICE and GS, exiting for 7.5%, 8.8% and 8.2% respectively.
Next up was an adjustment on my SPX calendar. It started as a 915 calendar on 5/20, turned into a double calendar a day later by adding a 850 put calendar, and with the run back up on Monday, I took off the 850 calendar for a $450 loss and am now sitting at the 915 calendar's upper break even point, and -14% loss. Not bad considering the massive whipsaw this trade has gone through in just 11 days. If SPX doesn't retreat soon, I'll consider another adjustment, or possibly just take off the trade.
As for my June RUT high prob iron condor, I didn't reach my $0.10 call buyback price on Friday, and now the spread (570-580) is trading for $0.72, more than I originally sold it for 21 days ago. I did buy back my puts (390-400) for $0.13 today. Last Friday I was up 8%, now only 4%.
As for the really bad news, I started my July RUT HP IC a little early. I put a fraction of my normal size trade on last Friday. Due to some technical difficulties (computer access issues) the order was left working since morning, and executed in Friday afternoon's big runup. In fact, it executed after 3pm CT. So the first of the bad news is that my fill was horrible. It was based on prices earlier in the day, not after the runup. Secondly, I didn't receive an SMS that the trade filled until after 3:15pm CT, which means I didn't put on my "insurance". I wasn't able to buy my extra long puts and calls. And for those of you familiar with iron condors, especially the high prob, you know that you're leaning quite short deltas and the profit (LOSS) curve drops quite steeply going up. Normally this wouldn't have been an issue overnight, or over weekend, but this wasn't a typical Monday morning open. And with Tuesday's continued climb, I decided to cut some deltas by buying back half of my call spreads. Even with the huge run up over the last couple days, the put IV is up nearly 8%, causing the put spread to retain most of its value, so I can't even buy it back cheaply.
Lastly is an adjustment I made on COST today. COST is hanging around my upper breakeven, so I decided to give it a little more room by buying a few 47.5-50 call spreads. You can see the before and after (red) below on OptionVue:
First the good news. Monday's big run up allowed three of my bull put credit spreads to exit with their profit targets. This included EWZ, ICE and GS, exiting for 7.5%, 8.8% and 8.2% respectively.
Next up was an adjustment on my SPX calendar. It started as a 915 calendar on 5/20, turned into a double calendar a day later by adding a 850 put calendar, and with the run back up on Monday, I took off the 850 calendar for a $450 loss and am now sitting at the 915 calendar's upper break even point, and -14% loss. Not bad considering the massive whipsaw this trade has gone through in just 11 days. If SPX doesn't retreat soon, I'll consider another adjustment, or possibly just take off the trade.
As for my June RUT high prob iron condor, I didn't reach my $0.10 call buyback price on Friday, and now the spread (570-580) is trading for $0.72, more than I originally sold it for 21 days ago. I did buy back my puts (390-400) for $0.13 today. Last Friday I was up 8%, now only 4%.
As for the really bad news, I started my July RUT HP IC a little early. I put a fraction of my normal size trade on last Friday. Due to some technical difficulties (computer access issues) the order was left working since morning, and executed in Friday afternoon's big runup. In fact, it executed after 3pm CT. So the first of the bad news is that my fill was horrible. It was based on prices earlier in the day, not after the runup. Secondly, I didn't receive an SMS that the trade filled until after 3:15pm CT, which means I didn't put on my "insurance". I wasn't able to buy my extra long puts and calls. And for those of you familiar with iron condors, especially the high prob, you know that you're leaning quite short deltas and the profit (LOSS) curve drops quite steeply going up. Normally this wouldn't have been an issue overnight, or over weekend, but this wasn't a typical Monday morning open. And with Tuesday's continued climb, I decided to cut some deltas by buying back half of my call spreads. Even with the huge run up over the last couple days, the put IV is up nearly 8%, causing the put spread to retain most of its value, so I can't even buy it back cheaply.
Lastly is an adjustment I made on COST today. COST is hanging around my upper breakeven, so I decided to give it a little more room by buying a few 47.5-50 call spreads. You can see the before and after (red) below on OptionVue:
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