04/04 MNX 45-Day Condor

This was a rough week to start any trade, this MNX position took it to the chin, yet it is still standing! MNX went up, up and then up some more for the week, there is still a lot of time left on the condor, one could adjust it from here, I'm committed to keeping them simple, so will stick to the original trade plan and use 1.5x cashflow as the stop on the trade..

Probabilities are still looking good, with 30 days to go there is 92% historical and 78% implied probability of expiring within the Break even.

As far as the stops are concerned, I was looking at the risk profile and noticed a difference in P&L and the stop based on delta. If we hit a 30 delta on the call side, it is showing the P&L to be less than -1.5x the cashflow, only a 32 delta would hit the stop. I need to evaluate this with the market open to make sure these values are correct, in the mean-time I will use 32 delta as the risk profile is suggesting. There is 91% chance it will be fine Monday.

Bellow are probability, dashboard and risk profile:

04/04 GLD Calendar

Sometimes, you snooze you loose.. GLD moved back down for two days in a row and threw away the small profits we had. Something inside of me was telling me to take profits on this trade. I stuck to the plan, for better or worse. Now we`re back to where we started, however, there is time decay working in our favor, based on TOS we recover about 1% for every day that goes by, so the weekend alone will recover the trade.

As far as probabilities are concerned, there is 54% historical and 45% implied probability it will expire within the range.

NOTE: I`m thinking about adjusting this position back to the 89 calendar. I want to avoid over-trading and stay objective, so I`ll run a decision tree on it. It will be something similar to what I did for the XLE double-diagonal

Bellow are the historical probability, dashboard and risk profile charts:

04/04 OIH 36-Day Condor

OIH was behaving wonderfully well last week, then it took a triple-spresso shot and went nuts Thursday and Friday.. Well, let me put it this way, I took OIH instead of RUT for th 36-day condor, this trade is still on the board, if I had taken the RUT path it would be gone a while back. The pre-trade study paid off in this case.

Let's talk probabilities: with 10 trading sessions to go, there is 87% historical and 78% implied probability we'll expire under the CALL-side B/E. That`s great considering this trade started out with about 68% chance.

As far as the stop, there is 95% chance of it staying fine Monday.

Bellow are the historical probability, dashboard and risk profile charts:

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.