Tuesday, March 16, 2010

03/16 OEX Weekly Iron Condor

OEX got to 530 Today after the Interest rate announcement, it is closer to my stop than I’d like, but it is part of the game, I’m staying the course. One thing to notice is that I have all my contingent orders set to start at 7 AM in the morning, this helps me to avoid the first 30 min. of trading, when volatility is higher than usual. Hopefully the market will back off from here. :)

The second time where I find myself in a challenging spot after the market moves intra-day on Monday, need to make sure this is not messing up the strategy all together since I backtested it with end of day data.


Anonymous said...

If you did use end of the day data would you have been able to sell the 540 for any decent credit or would you still sell the 535? I think the problem on the call side is that the vols are too low to get any credit at least 3 strikes away from the oex entering price. One big up day and the position is in trouble and you start to feel pain. I dont know what the vols were during the back test period but I would check to see how the position did in a low vol environment.

Gustavo's Trades said...

I think you are correct. I'd have to go back and double check to see how the position behaved in a low vol environment.

I will also double-check the two instances when I entered mid-day instead of end of day to see what the backtest would look like.

One of the challenges is getting a fill at the end of day, it seems a lot easier mid-day as you set the order and have time for it to get filled.