June/09 Positions

1) RUT 50-Day Condor
2) DIA 42-Day Double Diagonal
3) SPY Calendar

4) RUT 30-Day Iron Condor

5) DIA Iron Butterfly

6) MDY 30-Day Iron Condor

JUN09 RUT 50-Day Condor (Day-by-Day Review)

This position worked nicely, RUT stayed right in the center of the volatility cone for the entire duration of the trade. It is a nice refresh from last month's position.

Start: 04/30/09
Finish: 05/27/09
Duration: 1 Month
ROI: +10.41%

04/30/09

05/01/09

05/05/09

05/06/09

05/07/09

05/11/09

05/12/09

05/13/09 ("Ok, I now have one certainty about this trade: it give me profits...")

05/14/09

05/19/09

05/20/09 ("The trade is at almost max profit, I've set up an order to ake it out of the table for .10c...") The order didn't get fill

05/21/09 ("Tried to exit the trade Today, got nowhere with fills...")

05/22/09

05/26/09 ("The position is right in the middle...")

05/27/09 Closed

JUN/09 DIA Double Diagonal (Day-by-Day Review)

I started this trade slightly bearish and vega positive, my intention was to capitalize on a down-move as I was expecting it to happen soon after placing the trade. As it turns out, the market did come down but went back up faster than I expected, and the drop in volatility hurt the position to a point where I decided to exit it.

In my mind, the Max profit in the center of the risk profile graph wasn't worth staying for the ride.

Start: 05/07/09
Finish: 05/19/09
Duration: a bit over 1 week
ROI: +1.82%

05/07/09

05/11/09

05/12/09

05/13/09 ("DIA pushed down Today, it is right in the middle of my profit chart, the "bearish incline" I did with the trade seems to be paying off")

05/14/09 (Note Vols dropped 6%, so far so good)

05/19/09 Exited the Trade (Volatility dropped 14% since I started the trade)

MAY XLF SPEC Trade (Review)

Entered this trade based on a bearish candle formation on XLF, as it turns out, XLF moved back up the next day, but ended up crashing lower the next week, allowing me to take profits on the position.

I was originally planning to let it expire, but then realized I had in the money contracts and could end up assigned a bunch of XLF shares (thanks, but no thanks!)

Started: 05/07/09
Finished: 05/15/09
ROI: +21%

MAY OIH 30-Day Condor (Day-by-Day Review)

This trade on OIH hit the skids, I wasn't able to close it with my contingent orders, as OIH gapped up and I ended up giving up more profits than planned.

Started 04/15/09
Finished 05/06/09
Duration: About 20 Days
ROI: -24%


04/16/09

04/23/09

04/24/09

04/27/09

04/28/09 ("OIH reached 50% of target profit Today...")

04/29/09 ("Today OIH contracts got changed due to a dividends distribution. I'm not sure how this affect my position in terms of liquidity on the new contracts")

04/30/09 (Closed PUT spread)

05/01/09

05/04/09 (Hedged with Long CALL)

05/05/09 ("Ouch!! OIH pushed higher Yesterday and hit my last line of defense on the trade...")

05/06/09 ("Closed the OIH Condor as it gapped through my stop big time during Today's opening")

MAY MNX 45-Day Condor (Day-by-Day Review)

I wanted to get some diversification, and entered this trade one week after the RUT 50-Day condor. In the end, the results were very much similar, so I'm not so sure the diversification worked in this scenario.

Started the Trade 03/30/09
Finished the Trade 04/30/09
Duration: About 1 month
ROI: -18.2%


03/31/09

04/01/09

04/02/09

04/03/09

04/04/09 ("This was a rough week to start any trade...")

04/06/09

04/07/09

04/08/09

04/09/09

04/11/09 ("The trade is taking a lot of heat on the up-side...")

04/13/09

04/15/09

04/16/09

04/23/09

04/24/09 ("MNX has been pushing higher just about every day this week ...")

04/27/09

04/28/09

04/29/09 ("This position is taking just about the same ammount of up-side pressure as the RUT condor, yet the P&L seems to be in much better shape.")

04/30/09 (CLOSED, reached max loss)

MAY RUT 50-Day Condor (Day by day Review)

This is long overdue, I was super busy the past few weeks. The plan is to have a day-by-day history of all my trades, this way I can go back and see what worked and what didn't work in past trades.

Trade Duration: About 1 month
ROI: -20%
Notes: This was a rough month for a no-touch strategy. This position had only a few days of profitability or B/E, in the future, it might be wise to get out sooner, or tighten the stop.

Started on 03/25/09

03/26/09

03/27/09

03/29/09

03/30/09

03/31/09 (Not yet profitable)

04/01/09

04/02/09

04/03/09 (No trade detail)

04/04/09

04/06/09 (Position recovered a bit, still not profitable)

04/07/09 (Back at B/E)

04/08/09

04/09/09 (Short Post, no trade detail)

04/11/09 (back in the red)

04/13/09

04/15/09 (Still there, not profitable)

04/16/09

Was out for a few days, using multi-day contingent orders

04/23/09

04/24/09 (Another day to test patience)

04/27/09

04/28/09

04/29/09 (Up trend has been rough)

04/30/09 (Hit loss)

05/29 Beta Weighted Portfolio

Finished the week leaning a bit more deltas than I care to. That's ok, the weekend is here and I'll relax, if the market continues to push higher next week I'll be hedging the MDY and RUT 30-Day condors, as well as the DIA Iron Butterfly.

Here is the portfolio with MDY and RUT 30-Day condors hedged.

05/29 Greek Salad :)

I decided to start testing my hands at the greek. This is a paper trade where my goal is to make 10 to 15% ROI, I'll be increasing capital as I go along, adding positions to fix the greeks whenever I see fit. Let's see how this salad work.

05/29 DIA Iron Butterfly

DIA gave me a break! I now expect to be at TTN on Monday and my goal will be to keep navigating and getting this to the finish line safely.

05/29 SPY Calendar

Time decay finally kicked in, I expect to take the trade off the table next Monday. Will have an order running to get out.

05/29 MDY 30-Day Condor

MDY got close to hedging level. There isn't a long contract that will cut my deltas in 1/2, the only alternative would cut it too much, since this position is very small, I will have to use a debit spread to cut the delta, hope I won't even need it, we'll see.

05/29 RUT 30-Day Condor

I realized my hedge was too far out of the money, it lost almost all its value with RUT being close to 502.5 again I may need to come in and buy a new hedge, this time closer and stronger.

05/29 RUT 50-Day Condor

This position is fairly new, there is a lot of time to go, and not much else to say.

05/28 Beta Weighted Portfolio

I really like to look at my total portfolio in this perspective, it allows to see how well I'm doing in regards to managing by the greeks. I'm thinking about adding several positions in the same Index in a paper-trader account. I'll also start tracking a larger Iron Butterfly on paper trade.

It will be a busier blog starting next week, so I'm considering re-structuring the blog, to make it easier to track results and day-by-day changes on my positions.

05/28 DIA Iron Butterfly

We're now in the green! One thing I learned Yesterday while watching Dan Harvey's sessions regarding iron butterflies on ETFs is that they tend to have a high Gamma.. Looking at my position, one can see that 1 point move either way puts me in a high delta scenario because of the position's Gamma (see profile)..

This makes it harder to manage the position and keep it delta neutral, maybe the reason why I over-traded it in the beginning of the trade. Not justifying myself here, simply learning a new lesson..

05/28 SPY Calendar

We're almost at our target! If SPY stays quiet for a few days, I expect to be out of the trade with my target profit of 15%. In fact, I already have a GTC order running to get me out.

05/28 MDY 30-Day Condor

MDY moved back up, but the position is still profitable, time decay is working to help things along.

05/28 RUT 30-Day Condor

The position is not yet profitable, but it is on its way. I'm expecting it to be just fine next week. Due to my execution mistake when getting in, I'll have to stay in the trade for at least 2 more weeks.

05/28 RUT 50-Day Condor

Got into this new position Yesterday, the plan is to take 10%, max loss set at -15%. Will monitor on a daily basis.

5/27 Beta Weighted Portfolio

5/27 DIA Iron Butterfly

I am still getting a handle on how to manage the iron butterflies, I'm sure I over-traded this position in the beginning, so I decided not to touch it at the end of the day Today. We'll see how it works out.

One of my lessons learned is that I have to let the trade work the first week, then I can get into profit protection mode, otherwise I'm defending $0 profits all the time..

5/27 SPY Calendar

I have yet to see profits on the position, it is still under the "tent", so I'm not concerned. But it goes without saying that calendars are a bit unpredictable when it comes to P&L, some times it gives you a lot in a few days, some times it gives you nothing for a while..

I keep them very small on my portfolio

5/27 MDY 30-Day Condor

The position is back at looking great Today. I was lucky it didn't hit the adjustment point like it did on RUT. I also enjoy the fact I started slightly more bearish than usual, and it continues to pay off.

5/27 RUT 30-Day Condor

RUT hit the 502.50 level Today and fired up the first hedging. I had posted my technical analysis Yesterday and mentioned that a push up-ward would hold not much strengh if it came without first retracing.

Well, I didn't want to bypass my trading management rules, but I honestly did not expect RUT to trade much higher, the compromise I found was to hedge the position but not cutting deltas in 1/2, I cut less than half, and as it turns out, RUT did fall back to 490 by the end of the day.

5/27 RUT 50-Day Condor

Closed out the position Today, No sense in holding this for all this extra time in order to gain only an extra 2.5%, another reason is that it is time to enter the JULY 50-Day condor, so I'm re-setting the capital and entering a new position.

5/27 VIPES