Sunday, March 15, 2009

15/03 XLE Double Diagonal - Daily Update

Daily Update: The trade made it through the 1st week. Now that we got the theta and the trade is a bit more robust, I`m pushing the adjustment level further away (somewhere around the half-point between the short-strike and break-even). I`m also closing the opposite side and evaluating re-opening if and only if it reaches one of the adjustment points.

Contingent Orders:
If XLE at or above 44.80 (+2.25 st. deviations):
a) Close PUT diagonal
b) Buy 3x 44/48 CALL Vertical spreads
c) Evaluate where to re-open PUT diagonal (not automatic, analyze risk profile)

If XLE at or bellow 32.65 (-6.0 st. deviations):
a) Close CALL diagonal
b) Buy 3x 33/28 PUT Vertical spreads
c) Evaluate where to re-open CALL diagonal (not automatic, analyze risk profile)

Risk profile: TOS gives me only 16.4% Probability of needing an adjustment on the up-side, that`s great.
Dashboard: Trade is profitable despite large volatility drop this week

Historical Probability: For 20 trading days, the historical chances of staying within the range are awesome!
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2 comments:

  1. TrackingCRMarch 15, 2009 at 8:40 PM

    Gustavo, usually the probability of touching is more probable than the probability of expiring. Did you factor this in? Also, With your 68% probability of expiring in 1 week (Mar 20); the band enclosed your upper adjustment number. I would suspect your prob. number may be off. Just my first thoughts.

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  2. TrackingCRMarch 15, 2009 at 8:51 PM

    Gus: ignore my earlier comment; I see that your risk chart already uses the prob of expiring. Nice analysis on both !

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