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.

03/30 Note about contingent orders

Unless otherwise noted, I display the levels where my contingent orders should trigger on the risk profile for every trade. This way I avoid to repeat redundant information every day. I'm keeping my postings shorter to have enough time to continue backtesting and researching for trade candidates.

Keep in mind a few simple rules I follow for my contingent orders:

1) Rule #1: ALWAYS have an order in place. The market can do anything anytime, having capital preservation is essential for every trader.

TOS Contingent Orders Guidelines:
a) I use OCO orders with limits set for mark + small increments (mark - when selling), I always have an order to buy or sell on the bid or ask in case none of the previous orders were triggered.

b) I use a time trigger: Most of my orders are set to start half an hour after the market is open. This allows me to avoid the opening madness. Yes, there is 30 min. risk in case of a price gap, but the feedback I have from a lot of experienced traders is that they avoid that first 30 minutes, and so do I.

c) Use time increments on the trigger: I had a situation where all my OCO orders were filled at the exact same time. It happened that the underline was moving beyond all 3 orders, and because I didn`t have a time interval between them, they were all filled.

d) Avoid GTC orders, unless they are for closing a trade with the target profit. I had a scenario when a GTC contingent order to shut down a position was trigger at the exact time the market opened and caused my limit to be super-high because the opening prices were all over the map the minute the market opened. That`s the reason why I have a time trigger as described on (b)

03/30 MNX 45-Day Condor

Started this trade Today, after performing VIPES it looked like the best candidate Today. My plan is to trade it just like a High Prob, I've sold short strikes with delta around .8 and will place my stops if PUT delta gets to -28 or CALL delta gets to +30. Otherwise, simply collect profits.

Trade Plan, Dashboard and Profile bellow:

03/30 GLD Calendar

Still not bringing profit, the trade has 10 days and I'm starting to wonder if staying with it is a good idea. Will bring it up with Dan Tomorrow.

Dashboard and Profile bellow:

03/30 OIH 36-Day Condor

Great day for OIH, down move broght up a recovery, now above water and on its way to success.

Dashboard and Profile bellow:

03/30 XLE Double Diagonal

XLE moved down by quite a bit Today, over 1 st. deviation. Now on the down-side of the curve. Still far away from the short PUT strike, my thinking is that it will find some support to this down move on the moving averages. One way or another, it backed off from the 1.5 st. deviation on the volatility cone.

Dashboard and Profile bellow:

03/30 RUT 52-DAY Condor

RUT Got back into the cone Today, recovered from last week's movement, back in the center of the condor. Nothing much to report, there is still a lot of time on the trade, so patience is the key.

Dashboard & Profile bellow:

03/30 MNX 45-day Condor

Here is the study I did on MNX prior to getting in a 45-day condor. I performed this study to all ETFs and Stocks I follow and trade, selected MNX, IBM and USO as the best profiles and decided to settle on MNX.

1) Price action:
Here I want to see if how is it behaving for the past 90, 60 and 30 days. You can see MNX had very few days with extreme price movement. Also, notice on the 5-Day chart that price seems to be following an oscillating pattern, to me, that indicates the index isn't trending.

2) Price chart and Volatility
There are plenty of technical levels of support and resistance. The 1 st. deviation volatility Cone is well placed inside the condor and the Implied Volatility is in the middle of the range

3) Probabilities:

With 35 trading days to go, there is over 85% historical probability of success. TOS give me about 83% implied probability of success.

03/30 45-day Condor Candidates

As per my plan, I'd like to add a 45-day condor to my portfolio, right now I'm going trhough VIPES, the following candidates are showing up on my radar screen:

TLT: Looks good and there is a possible MAY condor, not quite yielding 10% ROI, not an option

USO: Another good candidate for MAY condor, only drawback is that USO has been on a long down-trend

MNX: VIPES is not as good as the others, the attractive factor here is the $2.5 strikes, meaning less commissions and slightly better ROI.

IBM: Looks good, except the Condor would have to be a bit bearish, adding risk to the trade on the up-side

Next step is selecting the best trade based on historical probabilities, ROI, the works..

Goal Setting

After reading a great post by Brett Steembarger, I've realized it is important to establish a few process goals for my trading. These goals are not dependent upon market conditions, but yet they depend on me for accomplishment.

One of the process goals I've set to myself was daily journaling. My goal is to have every single trading day documented, I've set a target of 21 days of blogging, and am glad to report I'm almost there. This week I'll complete 21 days and therefore pass the threshold of repetition necessary to create a habit. So one goal is down, there are a few more to pursue. Here is my list of trading goals:

1) Daily Journaling and Monitoring: I'm there, all my trades are properly documented and monitored, the blog is serving as a great journaling tool, it is easy, fast and allows me to share/inspire others as well.

2) zero execution errors: One too often I found myself complaining about a contingent order that mis-fired, or a trade entry that wasn't properly set. I'll start tracking this on a daily basis with the goal of having 1 full cycle without any execution errors, I can increase this goal once the full cycle is reached.

3) VIPES for every trade: Another goal, is simply to run Dan's suggested Volatility-Industry-Price-Earnings-Skew studies before entering any trade. I'll keep this documented in my journal as well.

4) zero plan deviation: This is the tough one. I have to plan the trades and trade the plan. Once too often I find myself deviating from the original plan and changing things around. So here it goes, sticking to the plan is another goal.

Here they are, properly docummented and I'm committed to them. Will track them on a daily basis.

03/29 GLD Calendar

Trading the Plan:
I've added a 94 Calendar when GLD went above 93. Still in the profit range and time decay will pick up these next weeks.

Probabilities:
With 14 days to go, there is 56% historical probability of expiring in the money, TOS gives me 49% implied probability of expiring profitable. Even though I'm not looking to hold this position till expiration, this gives me some perspective.

Volatility and Dashboard:

We are yielding profits on the trade, shoul GLD stand still next week the trade will get much closer to target.

Contingent orders:

I've protective orders to close the trade at stop loss.

03/29 OIH 36-day Condor

Trading the Plan:
I've cut 1x CALL spread when the position was down by 10%. Bellow is the trade plan. Last week the PUT spreads were closed when they reached 80% of profit potential.

Notice: Once I made the CALL adjustment, I went on Research & Development mode to figure out a better way to handle condors, cutting the spread is not the best way to do it, because it leaves the risk on the table but cuts away your profits.



Probabilities:
With 14 trading days to go, and without the PUT-side risk, historical probability of expiring in the money is 96%. TOS gives me 84% of implied probability to expire in the money

Volatility Cone & Dashboard:
Trade is recovering very well. OIH moving back inside the volatility cone, which is a nice way to bring in profits.
Contingent Orders: Instead of cutting one extra CALL spread, I've decided to simply shut down if we hit -18% ROI

03/29 XLE Double Diagonal

Trading the Plan:
13/03: I've moved 4x CALL spreads from 44 to 48, closed the PUT diagonal and re-opened a PUT diagonal at 41/35
23/03: Moved 2x CALL spreads from 44 to 48 (down 12%)
25/03: Added 2x PUT diagonals at 41/35 and 2x CALL diagonals at 44/52

Now: my next course of action is to shut down if it hits the stop loss. No more messing around with the trade.


Probabilities:
With 14 trading days to go, there is 68% of historical probability XLE will expire between the break-even, TOS gives me 55.50% probability.


Volatility Cone & Dashboard:
The reason for most adjustments to the up-side was the fact XLE moved over 1 st. deviation, violating the cone and forcing adjustments.

03/29 RUT 52-day Condor

Trading the Plan:
Placed the condor with about 52 days till expiration, used .8 delta for the short strikes and plan is to stay in the trade for the full credit. Protective stop loss is at 1.5x the cashflow.

I've studied this strategy for the past 5 years and found it to yield 75% success. The failure happen when price starts to linger outside of the volatility cone. his will serve as my "alert" signal for potential problem with the trade.

Probabilities:
Bellow is the historical deviation study. As you can see, with 33 trading days to go, this position has a 94% historical probability of expiring profitable. TOS gives me 83.4% implied probability of expiring profitable.
Volatility Cone & Dashboard:
I've decided to play a lot more attention to the volatility cone, thus I made it a bigger portion of my dashboard. The other indicators are still there.

Contingent orders:
I'm using the short deltas to determine the approx. stop-loss point. This makes my day-to-day management a lot easier and I don't have to guess where Volatility will be the next morning. Once you tie the stop with the delta of your short strike, the delta will oscilate with the volatility changes. Close trade if PUT delta is at or bellow -28 or CALL delta at or above 30

03/27 All trades update

Short post Today, after all, it is Friday!! Most positions got better Today, only exception is the GLD calendar, glad for the weekend, can enjoy the great weather and the time decay ;)

Bellow are all position profiles:

RUT 36-Day Condor



GLD Calendar

OIH 36-day condor

XLE Double Diagonal
RUT 52-day Condor

03/27 RUT LP

Back in the 19th I entered a LP on my paper trade with the goal of following Santucci's rules. However, I forgot about it until Today. In between then and now I decided to keep all my condors on the "simple does it" diet.. So, my plan for this LP is to simply let it ride untill it gives me the profits or gets down to 1.5x the cashflow..

Bellow are the risk profile and dashboard.

03/26 GLD Calendar

The calendar is up to 10%, I have an automatic order to close it at my target of 15%, between now and expiration my chances are only getting better!

03/26 OIH Condor

Today the PUT side was closed for 80% of the original credit, not all I have left is the CALL side. I'm no longer adjusting the LP condors by closing spreads, it deteriorates the trade way too much. My next session with Dan will be to discus condors and their adjustments.

I'm leaning on the no-touch approach for HP and Insurance + Hedging for LP. Have been doing a lot of back-testing and the results are promissing.

For now, the OIH trade is still on the board and with good probabilities:
76% probability of expiring profitable
99% probability of staying through the weekend.

Bellow are profile and dashboard: