Saturday, June 26, 2010

Updated Daily Summary Chart

First and foremost, I’d like to thank the fellows from Dan Sheridan’s Florida Trading Group for their weekly meetings. I can’t attend the meetings but have made a point to download the audio and listen to their discussions every week. A few weeks back they presented what I thought was a great idea: A monitoring spreadsheet to monitor daily movement in relationship to volatility, sounds familiar? :)

Well, the difference is that they were tracking the underlying movement from High to Low, instead of just from close to close. I also liked the fact they were capturing historical data to get a sense for trending. The questions their study answers: how often have we moved over 1 standard deviation (from high to low) during the past 30 days? Is this trending up or down?

With that, I’ve made a bit of adjustments on my own daily tracking spreadsheet. While I do not track the implied volatility as the FTG folks do (I track a 20-day historical volatility), the data I have allows me to take the same sort of measuring and plot this in a trend chart. So there we have it, the updated Daily Summary sheet now will tell us how many times (in percent) has the underlying moved over 1 standard deviation for the past 30 days. For trending, all I had to do is to capture this value for every day and display the results for the past 120 days and displays it in a line chart.

This can potentially serve as a great way to measure when the storms are coming.

06/25 Daily Summary





Second down-side adjustment got hit Today, I sure am glad I got out of my live trade and got into this one to practice my trading management skills. So here is the deal: Since Today was a Friday I didn’t want to go full board rolling my puts since they’re usually at lower prices on Fridays.. I plan on moving the remaining spreads next Monday.

06/26 Performance from trade strategies I've used in the past

I've decided to clean up my blog a bit, and noticed I have performance postings that are quite outdated on my main menu navigation. Since a few months ago I've decided to focus all my attention and limited time on one trading strategy instead of trying to manage multiple positions through the cycle.

The selected strategy is the NDX Iron Butterfly, so I created this blog entry to simply gather the other strategies I've used before for future reference if I ever decide to brush them up and trade them again. Here are links to all other strategies I've traded one way or another in the past:


NDX Fast Iron Butterfly

OEX Weekly Condor

RUT Iron Condor

DEC 09 Trades

NOV 09 Trades

OCT 09 Trades

SEP 09 Trades

AUG 09 Trades

JUL 09 Trades

JUN 09 Trades

MAY 09 Trades