Monday, October 31, 2011

10/31 Daily Summary

Did not remove the cash-secured puts just yet, truth is I did not have time to work on it early this morning. I want to see it reach 90% of the max profit, it is not quite there yet, so will hold on for a few more days to let time decay do its job. NDX took a dive Today, as you can see, the past few days have been so active that Today's move is not even 1 standard deviation. In the old days a 40+ points (-1.72%) move was quite an event, not so much these days.

Sunday, October 30, 2011

10/30 Weekly Summary

The market seemed to be in a wide range with an upward bias. It seems we had quite a few days with over 1 standard deviation moves last week and the intra-day movement has continued to increase. While the NDX did not move up or down by too much this week it sure did move around. I have a few cash-secured puts that are about to reach their max profit so I may take them out sooner than planned and wait a few days to get back in.

As I have mentioned, I started backtesting a version of the iron butterfly without a lot of adjustments, basically the only adjustment is a consideration at the beginning of the trade about loading all contracts at once or loading contracts in a scaling fashion (start with 1 lot and add others if the first lot gets into trouble). So far the results are looking interesting and I'll do a few more months of testing and am looking to get a small position in December contracts to get back in the iron butterflies.



Monday, October 24, 2011

10/24 Daily Summary

NDX moved higher Today, so did the 3 cash-secured puts I have in my portfolio. So far looking really good. I will be out of town for the rest of the week, may not have time to post updates and even if I do have time I will be away from my home computer so chances are I won't have my daily view.

Thursday, October 20, 2011

10/20 Daily Summary

No major change Today on my positions. One thing to notice the % of days with 1 std. deviation intra-day is moving higher and higher.. This indicates market volatility regardless of smaller range when looked from a close to close perspective.

Wednesday, October 19, 2011

10/19 Daily Summary

NDX pushed lower Today for about 1 standard deviation, not as much down-side pressure on the stocks I have the cash-secured puts on, that's always a good thing. Actually, that's the reason I picked these stocks: They tend to suffer less when the market takes down-side pressure.

Tuesday, October 18, 2011

10/18 Daily Summary

Today's up-side move was beneficial for my 3 positions, not much to do on these, which is something I LOVE!

Monday, October 17, 2011

10/17 Daily Summary

Just a brief posting to update everyone on the current positions I have on, as you can see I have 3 cash-secured puts and they are working ok thus far. I'm also posting the daily summary view for volatility spikes on the NDX.

In preparation for 2012 I have been looking at possibly trading a straight-forward iron butterfly strategy with fewer (if any) adjustments. The key is to have a good feeling for how the market is behaving in the weeks prior to entering the trade. I will post a study report I'm working on once it is complete to give everyone a perspective on what I'm talking about.



Saturday, October 15, 2011

10-15 Weekly Summary

I have been back in the market with cash-secured puts on KO, WMT an PG. So far they are working well. A few observations in this week's summary as it relates to the chart above:
1) Notice the % of prices moving over 1 st. deviation intra-day has been moving higher, we're moving from 20 to 40% it means volatility is back (or never left).
2) Notice on the 5-day price spikes we have formed an up-side swing, I don't use this as a trading signal but have started to study trading with this information handy to warn of a change in trend direction. I have also been following the IBD publication daily and they have good tips on the market structure and confirmed up-trend vs. down-trend.
3) Last, but not least, on the 1 day chart you will notice quite a few spikes with over 1 standard deviation, they all cluster in the last few weeks, seems to me the market is back to delivering wider swings.

I have been studying what sort of strategy should I use in 2012. Thus far the long-term options are the cash-secured puts and synthetic covered calls. I will also look at traditional non-directional strategies (i.e. condors, calendars and butterflies). The key think pulling me away from the NDX Iron butterfly is the daily maintenance it requires as well as the increased margin requirements from my broker. The new margin requiremensts force me to have 3x the amount of the trade in margin, so it becomes a not optimum use of my capital.