04/11 EWZ Double Diagonal

EWZ decided to go wild as soon as I placed the trade. Notice we had a lot of up-days, now beyond 1.5 st. deviation on the volatility cone. The one thing I noticed is the difference between the Double-Diagonal and the 45-Day condor, notice the condor is down almost 10% with price still inside 1 st. deviation, the double-diagonal is losing 12% with price beyond 1.5 st. deviation on the cone..

Note: We are super close to the adjustment level 65% chance of hitting it Monday. One could have adjusted at end of day on Thursday, I wasn't monitoring the position, and even if I was, chances are I would not have touched. I'm tired of messing around and deviating from my plan. the purpose of this blog is to keep me honest, I put the plan in place and follow it, results and experience will tell me what to adjust on the plan, that simple.

Volatility has dropped by quite a bit, but the trade was originally structured to not have much vega risk, so it isn't hurting, in fact it might have helped the position early on.

Probabilities with 25 trading sessions to go:
59.8% implied probability of success
80% historical probability of success

Dashboard, historical probability and profile:

04/11 MNX 45-Day Condor

The trade is taking a lot of heat on the up-side. So far we have had several up days, and only one down day. The P&L is hurting, the volatility is helping. We'll see how it develops. Price is oscilating out of the 1 st. deviation on the volatility cone.

Note: This could be a point for adjusting the trade. I'm trading with no-adjustments in mind, but want to note this here for future reference. Will keep track of a possible adjustment on the paper-trade account

Probabilities with 25 trading sessions to go:
77% implied probability of success
91% historic probability of success

Dashboard, Historical Probability and Profile charts:

04/11 XLE Double Diagonal - Closed

I opted for exiting the trade before the expiration week, the fact XLE moved back up and got closer to the up-side break-even didn't help. I ran a decision tree on the trade and evaluated the 3 possible scenarios: staying flat, moving up and moving down.. Basically only a move down could help, and therefore the probabilities were against keeping the position. Here is the

dashboard and decision tree I used:

04/11 RUT 52-Day Condor

Last Thursday surge didn't help any position in the portfolio. This trade didn't hurt as much, maybe because it has been on for a bit longer than the others. So far, probabilities are still looking good.

Probabilities with 25 trading sessions to expiration:
78% Implied probability of success
94% historical probability of success

Dashboard, probabilities and Risk profile charts bellow:

Ten Lessons I Have Learned About Trading From Poker

I got this post from Brett Steenbarger's blog. It is very valuable, so I'm keeping it here for my future reference.



http://www.traineetrader.com/ten-lessons-i-have-learned-about-trading-from-poker/

04/09 Quick post

I'm out of time Tonight, and since tomorrow is a holiday, will post later this weekend with a weekly update on the remaining trades, dashboard, probabilities, etc.

I closed the XLE double-Diagonal for a small loss Today, ran a decision table and it was better than holding it untill Monday with risk to the up-side, risk to the sideways, and profit only on a down-side move.

More on that later on the weekend. For now Happy Easter!

04/08 Portfolio Update

I apologize I need to make a short post Today. The market seems to have stabilized a bit and that is helping the portfolio.

OIH was closed out Today, the only thing remaining are the long insurance contracts, they were worthless so I decided to leave them there with an order to sell if OIH goes crazy in the next few days.

RUT and MNX condors are doing fine, RUT doing better yet MNX is being helped by the decrease in volatility.

XLE Double diagonal is on its way out. I'll have to decide if I take it off the table Tomorrow or if I let it run over the long weekend. Need to think about that one.

EWZ recovered from the first shot up, even though there is still an up-side bias, as of Today the trade is very close to B/E, so that's a nice and fast recovery from where it was a few days back.

Here are the dashboard and profiles for every position:
EWZ Double Diagonal

MNX 45-Day Condor

OIH 36-Day Condor

XLE Double Diagonal

RUT 52-Day Condor