Tuesday, March 10, 2009

10/03 RUT High Prob Condor - Daily Update

Daily Update: RUT moved 2 st. deviation up Today. This was very good for the position, I'm right in the middle of the condor, delta neutral and improved P&L.

One thing to note is that I`ve already made adjustments to this trade, when RUT was cutting through my down-side I closed 2 of the PUT spreads, Closed the original CALL side and re-entered the CALL spreads with half of the contracts.

Contingent Orders:
- Buy CALL spreads for .10c (GTC order)
- Buy PUT spreads for .10c (GTC order)- Stop Loss @ or bellow 302, or @ or above 425 (Day Order)**
** Increase Imp.Vol by +5% to estimate down-side, Decrease Imp.vol by -5% to estimate up-side
Bellow is the historical probabilities study. It shows how many times we RUT moved over the distance between current price and the stop loss. Still looks good
Bellow is the dashboard I use to keep track of my trades at the end of day. It helps me to see if any trend is developing. In this case, Note the price moving away from 1 st. deviation on the volatility cone, at that time I performed adjustments mentioned earlier. Now we`re back inside the cone, but we were way out for a while.

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