04/04 XLE Double Diagonal

Time Decay is helping this trade a lot! XLE moved up again last week, yet the position P&L improved (see dashboard). With just 10 days to go, probabilities of expiring inside the B/E range is still very good, we have 61% of historical probability and 55.6% of implied probability.

Stops are far away from price, and chances of hitting the up-side stop Monday are small, over 98% chance it will be fine Monday.

Bellow are the historical probability, dashboard and price profile pictures:

04/04 RUT 52-Day Condor

The probabilities still are looking great for this position. With 30 trading sessions to go, the historical probability is 98%, while the implied probability of success is 80%.

As far as probabilities of hitting the stop, there is 87% chance it will be safe Monday.

Bellow is the current profile, as well as the dashboard and probabilities:

04/03 Short post - Portfolio Update

I'll be brief Today, am working on my taxes. Today's market movement was not a big deal, volatility dropped and that helped some of the positions. GLD calendar was one of the most affected Today.

I'll post a complete detail for each position, including probabilities over the weekend.

Enjoy!
Gustavo

04/02 Portfolio Update

Plan the trade and trade the plan

I'm not saying that it is easy, specially on days like Today, with major indexes movng beyond 1 st. deviation and with several gaps at the opening. Nevertheless, I believe that Trading Well is a matter of having a good plan and study for each and every position. For every trade I place, I make sure to have:
1) A pre-trade study of price action and volatility
2) A pre-trade plan of action, with pre-defined profit targets, stop losses and adjustment points 3) A day-by-day monitoring system and methodology for setting up contingent orders to adjust positions, take profits and protect my capital

By having these things in place, I`m confident with myself and that I`m trading well. I have adjusted to the current market environment by reducing my $ exposure, by diversifying the timing and instruments I`m trading.

Now let's look at each position and see what happened Today.

1) RUT 52-Day Condor:
Notice that Voladility didn`t drop at all Today. RUT moved almost 1.5 st. deviation, and RVX didn`t move anything. Should things settle down the RVX can drop and bring the p&l back up. There is about 93% chance we will stay away from the up-side stop. Let`s see what Tomorrow brings.

2) XLE Double Diagonal:
Profits dropped by a little Today, nothing major, and still very far away from the closing points. Another one that has great probability of staying through the weekend.

3) OIH 36-Day Condor:
OIH still inside the volatility cone, Today`s move gave back the 2% we had, but didn`t cause any major loss. Notice that the CALL insurance will start to become less effective as time passes, bringing the stop closer, right now the stop is about .50c from the short strike. Still great chances of making throught the weekend.

4) GLD Calendar:

GLD gave back the profits it took so longer to acumulate, this doesn`t make me very happy, however, on the bright side, there is a great chance we`ll stay the weekend and get these profits back up next week.

5) MNX 45-Day Condor:

Being a young position, it hurt a bit more to get a bigger day, yet it is still inside the volatility cone and P&L not out of control. Volatility has fallen since the position started, however not Today, so should the market settle, it might drop and help P&L. There still great chances (93%) the trade will be around Tomorrow.

6) EWZ Double Diagonal:

Ouch! Such a dramatic move a day after I entered the trade, luckly it is a double-diagonal, so I expect it to recover faster if EWZ stays put for a few days. Nevertheless, let`s monitor it very closely.

04/01 Portfolio Update

The market moved up Today, but not by much. I was completelly detached from intra-day volatility and price movement, the longet I get used to trading with contingent orders, the better for me. The portfolio certainly improved Today, specially the XLE double-diagonal.

I entered a new MAY/09 Position: EWZ Double Diagonal.

1) RUT 52-Day Condor:


2) XLE Double Diagonal:

3) OIH 36-Day Condor:

4) GLD Calendar:

5) MNX 45-Day Condor:

6) EWZ Double Diagonal:

04/01 EWZ Price Study

First let me start with the volatility & price action study. You can see from the picture bellow that EWZ had very few 2+ st. deviation moves in the past 30 and 60 days. The number of 1.5+st. deviation days could be a bit lower, but given the recent market volatility I'll accept.

The second thing is the 5-day Vol Spikes, you'll notice it is following a wave function pattern, this to me, indicates there is not a strong trend in place. Also, there are not too many big spikes on that chart, which indicates on major swings.


So, once I liked EWZ as a candidate, the next step is to look at a possible trade. Here is the Double-Diagonal profile. It yields about 27% in the center and has over 58% probability of expiring in between the B/E.

Historical deviation suggests that there is 88% chance the trade will stay within the no-adjustment zone for the next 3 weeks, therefore cashing out my target profit.

Historical probability also suggests there is about 74% chance of staying within the B/E for the duration of the trade.

03/31 Portfolio update

Today was a great day for the overall portfolio! The market didn't move much in any direction and the positions earned $$.

Here are my comments, dashboard and profile chart for all positions:

1) RUT 52-Day condor:
Behaving well within the expected zone, RUT has been jumping around, but the Condor is very wide and can take up to 1.5 st. deviation on the Vol Cone. Notice the recovery from being -7% a few days after the trade was placed.

2) XLE Double Diagonal:

XLE behaved well Today and earned an extra 1% recovery, there is still some $ to earn, but the adjustment I made a while back by adding to the trade is paying off very well.

3) OIH 36-Day Condor:

The longer OIH drops, the more money the trade will make. Unfortunatelly the adjustment took a big chunk of the profits, the bright-side of it is that it forced me to re-think all adjustments and condors, I'm a lot more confident in trading the 36-day condors without cutting spreads. I backtested over 5 years of 36-Day condors and it is giving me the confidence I need.

4) GLD Calendar:

The trade is losing $, not sure where the issue is, I think it has to do with the 94 Calendar I added right after I put on the trade, I highlighted the volatility chart on the dashboard. The peak is where I added the 94 Calendar, and now that the volatility is dropping, it is hurting the position. It is still under the profit zone, so I'm giving it time. Sooner or later time decay will kick in.

5) MNX 45-day condor:

The new baby on the block. Not much to report, except that I'm very confident with the study I made before getting this trade on.