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?