07/31 Daily Update

Nothing major to report, MNX Iron Butterfly made a nice recovery with the small pull back and extra theta I added Yesterday with the adjustment. IBM Calendar working fine and the SPY Double Diagonal still hanging in there.

The RUT Iron Condor was the one in worst shape, the trade was approaching -15% and going into the weekend theta negative with a huge vega. If we moved up it would certainly hit the stop loss. It could also hit the stop loss if we stayed flat on Monday and Vols decreased. So I decided to call for help and added an Iron Butterfly on the position.

Detailed Positions:
07/31 IBM Calendar
07/30 RUT 30-Day Iron Condor
07/31 MNX Iron Butterfly
07/30 SPY Double Diagonal

07/31 IBM Calendar

IBM is being nice to me. The position needs nothing, I still have "buying power" to add a new calendar if we move up or down and so far it seems like it won't be needed.


Position's History:
07/30 IBM Calendar
07/29 IBM Calendar
07/28 IBM Calendar
07/27 IBM Calendar *New*

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07/31 MNX Iron Butterfly

So far, the best position out of the ones in trouble. The MNX Iron Butterfly is handling very well and I find that once I make the adjustments, they don't kill the trade's potential for profits. I'll have a long and hard discussion with my risk manager (aka wife) to discuss why we're doing anything but the iron butterfly in the portfolio.

So far, the trade recovered nicely and if we pull back it will be profitable faster.

Position's History
07/30 MNX Iron Butterfly
07/29 MNX Iron Butterfly
07/28 MNX Iron Butterfly
07/27 MNX Iron Butterfly
07/23 MNX Iron Butterfly
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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07/31 RUT 30-Day Iron Condor

Today the position got in a tough spot. It was theta negative going into the weekend, a 1 st. deviation move on Monday would hit the stop loss. I didn't want to go through the weekend with a theta negative position pulling down on the portfolio, so I needed to do something.

I decided to add an Iron Butterfly. My thinking is that it will bring a lot of extra (and much needed) theta and help control the vega risk, which was getting big because of the Long SEP Call contracts. I still have risk to the up-side, and plan on hedging if we break this week's highs. If we start moving to the down-side, I believe I can manage the risk a bit easier. It will all depend on how RUT behaves on Monday.

Position's History:
07/30 RUT 30-Day Iron Condor
07/29 RUT 30-day Iron Condor
07/28 RUT 30-day Iron Condor
07/27 RUT 30-Day Iron Condor
07/23 RUT 30-Day Iron Condor
7/22 RUT 30-Day Iron Condor
7/21 RUT 30-Day Condor *New*

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07/30 SPY Double Diagonal

The trade is still in a tought spot. It is theta positive going into the weekend, but in reality a pull back is just about all that can bring it back into play. Yesterday and Today were important days in a technical stand-point, as we faded the top in the last hour of trading, let's see if this is indicative of a pull back next week.

Position's History:
07/30 SPY Double Diagonal
07/29 SPY Double Diagonal
07/28 SPY Double Diagonal
07/27 SPY Double Diagonal
7/23 SPY Double Diagonal
07/22 SPY Double Diagonal
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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07/30 Daily Summary

If I account for my total portfolio change between Yesterday and Today, there wasn't much of a change in P&L, however, there were several changes in a few of my positions, hopefully those changes will pay off in the longer run.

I adjusted the RUT Iron Condor and the MNX Iron Butterfly, the SPY Double Diagonal and IBM Calendar had no changes made to them Today. All and all, I'd say this up-side move is showing weakening signs, but that's only based on candle patterns and the sentiment can always shift overnight.

Detailed Positions:
07/30 IBM Calendar
07/30 RUT 30-Day Iron Condor
07/30 MNX Iron Butterfly
07/30 SPY Double Diagonal

07/30 IBM Calendar

IBM was pushing higher Today, I thought it would end up closing at my adjustment point, but as it turns out, it moved back down and finished the day without forcing an adjustment. As a matter of fact, because it finished the day with a bearish candle formation, I'd say we're due to pulling back Tomorrow.

Position's History:
07/29 IBM Calendar
07/28 IBM Calendar
07/27 IBM Calendar *New*

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07/30 RUT 30-Day Iron Condor

RUT hit my adjustment point at 560, and as it was trading at those levels I started to peel off the PUT spreads. I removed the extra PUT insurance and also got 1x 470/460 PUT spreads off for .15c (80% of its initial credit). I didn't take the others because I didn't have a lot of time to work them, it wasn't filling as a spread so I had to work as individual orders.

Position's History:
07/29 RUT 30-day Iron Condor
07/28 RUT 30-day Iron Condor
07/27 RUT 30-Day Iron Condor
07/23 RUT 30-Day Iron Condor
7/22 RUT 30-Day Iron Condor
7/21 RUT 30-Day Condor *New*

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07/30 MNX Iron Butterfly

MNX made a new high Today, I had a contingent order to flatten the trade if we hit 162.5, which we did. At the day's closing, I realized that going into another day with flat deltas was not the best option, specially after we faded from the top in such a strong manner.

I rolled another 150 CALL contract, and sold one of the extra SEP long Calls. This brought me back to being delta negative and increased my theta. If we move back up Tomorrow I'll deal with it, but my best guess is that we'll either stay put or pull back Tomorrow.


Position's History
07/29 MNX Iron Butterfly
07/28 MNX Iron Butterfly
07/27 MNX Iron Butterfly
07/23 MNX Iron Butterfly
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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07/30 SPY Double Diagonal

The trade got a bit closer to its stop loss Today, I'm glad we backed off at the end of the day, and I'm hopping we can make it through the weekend and pull back next week, let's see. At this point, it is only a matter of hanging in here..

Position's History:
07/29 SPY Double Diagonal
07/28 SPY Double Diagonal
07/27 SPY Double Diagonal
7/23 SPY Double Diagonal
07/22 SPY Double Diagonal
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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07/29 Daily Summary

Today I am glad to report there are no major changes. I'd like to report P&L improvement on all positions, however, because volatility actually increased, only a few positions posted small gains, the others had the daily theta erased by the increase in volatility.

One way or another, just another day in paradise. :)

Position's details:
07/29 IBM Calendar
07/29 RUT 30-day Iron Condor
07/29 MNX Iron Butterfly
07/29 SPY Double Diagonal

07/29 IBM Calendar

Posted a little bit of profits Today, still keeping the contingent orders. Since I have time, a quick note about my contingent orders for calendars:

Because I like to add calendars as adjustments *only* if we are closing at the adjustment point, my contingent order only triggers at the last 30 minutes of trading. So I use the feature in TOS to only start the order in the last half hour of trading. If prices are beyond the adjustment point, then the order will add the second calendar, otherwise, it won't do anything. I only do this because Calendars tend to have a less aggressive risk profile, so they can wait for adjustment, as Dan Sheridan says, I don't have to "jump on the hand grenade" right away (its his bad analogy, not mine) :)

Position's History:
07/28 IBM Calendar
07/27 IBM Calendar *New*

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07/29 RUT 30-day Iron Condor

No major change from Yesterday. RUT pushed lower, but as all other indexes, it found buyers at the end of the day.

Position's History:
07/28 RUT 30-day Iron Condor
07/27 RUT 30-Day Iron Condor
07/23 RUT 30-Day Iron Condor
7/22 RUT 30-Day Iron Condor
7/21 RUT 30-Day Condor *New*

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07/29 MNX Iron Butterfly

No major change, P&L got a small decrease because the volatility increased Today. Nothing major to say, except that I have orders to cut delta if we move beyond the expiration B/E point to the up-side as noted in the TOS risk profile bellow:


Position's History
07/28 MNX Iron Butterfly
07/27 MNX Iron Butterfly
07/23 MNX Iron Butterfly
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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07/29 SPY Double Diagonal

No major change in the Position Today. Once again, buyers came in at the end of the day and pushed prices higher, SPY posted a small pull back, but the position needs a lot more in order to recover to a decent level. Still hanging in there.

Position's History:
07/28 SPY Double Diagonal
07/27 SPY Double Diagonal
7/23 SPY Double Diagonal
07/22 SPY Double Diagonal
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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07/28 Daily Summary

The portfolio was looking a lot better mid-day Today, then stocks started to move back up and finished erasing the earlier pull back. Today, we challenged the 5 EMA on the daily chart for most of the Indexes/ETFs I'm trading, if we trade bellow Today's low, the odds are we'll be starting the pull back.

Most of the positions got a slight improvement in their P&L, theta is helping and the fact we're trading at the same price levels for a few days is another help for the positions. Should we see a pull back or continue to stay around the trades are going to continue to improve.

I added another contract to the IBM calendar, plan on adding more to it later on the week. I'm not sure if I'll open a double-calendar or if I'll build on the 115 and divide it up if we move beyond the "tent"., It will all depend upon where we are sometime around Thursday.

Positions' Details:
07/28 IBM Calendar
07/28 RUT 30-day Iron Condor
07/28 MNX Iron Butterfly
07/28 SPY Double Diagonal

07/28 IBM Calendar

IBM pulled back down Today, I added the second contract to the 115 PUT calendar. I do have a contingent order to add the 120 PUT Calendar if we close above 119.5.

Position's History:
07/27 IBM Calendar *New*


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07/28 RUT 30-day Iron Condor

The position got a bit of a P&L improvement Today, mostly due to an increase in Volatility. I have the contingent order to hedge the trade if we get above 560. I also have orders to close the PUT spread to lock in 80% of profits on the PUT side. If we move slightly up Tomorrow I'll be out of the PUT side.


Position's History:
07/27 RUT 30-Day Iron Condor
07/23 RUT 30-Day Iron Condor
7/22 RUT 30-Day Iron Condor
7/21 RUT 30-Day Condor *New*

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07/28 MNX Iron Butterfly

I rolled one more 150 CALL contract, used a debit spread to buy the 150 and sell the 160 call. I didn't want to flatten my deltas completely, so my options were either to close one of the Long SEP calls or to "bebtize" one of them by selling a further out of the money SEP Call. I chose the latter and sold the 1x SEP 170 call.

If we rally Tomorrow, I'll buy back the 17o call and flatten my deltas, if we go down the trade will benefit from it.



Position's History
07/27 MNX Iron Butterfly
07/23 MNX Iron Butterfly
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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07/28 SPY Double Diagonal

The position got a very small break Today, its P&L improved sligthly, SPY is still pretty much out of bounds. Should the expected pull back come in the next few days it will be ok, otherwise I'm ready to pull the plug if we fire up above 100.

I've looked into adding an Iron Butterfly or even a a calendar to help with theta. However, keeping the same Stop loss level makes adding to the trade a bad option. The reason is that we're too close to being stopped out, and adding to the trade puts the stop close on the down-side as well.

Position's History:
07/27 SPY Double Diagonal
7/23 SPY Double Diagonal
07/22 SPY Double Diagonal
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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07/27 Daily Summary

Today most indexes were range-bound and consolidating at the top. Could this be signaling that the "elephant is getting tired"? I sure hope so. Ok, ok, "hopium" is not an indicator I follow, so I'm being optmistic and realistic at the same time: All my positions have their contingent orders and action plan to adjust if we keep moving up. The SPY double diagonal is the one hurt the most so far, so the next step if we keep going up is to shut it down.

MNX Iron Butterfly is holding on the best, the market gave it a workout, and P&L actually recovered a bit over the weekend. I intended to move at least one of the 150 Call spreads up on Friday, but because I wasn't able to trade I could only do it Today (missing the weekend of theta).

I also added the IBM Calendar Today, started with the 115 CALL and may add the 120 CALL Tomorrow, but wanted to give it one more day to see if we pull back.

Position's details:
07/27 IBM Calendar *New*
07/27 RUT 30-Day Iron Condor
07/27 MNX Iron Butterfly
07/27 SPY Double Diagonal

07/27 IBM Calendar *New*

Today I started loading the IBM Calendar. This is the last position for my AUG portfolio, and I hope that the timming of my allocation may help me. IBM looks to be having a hard time to break the 118 area, if we do break it and hit 119, then I plan on adding the 120 calendar. I will also add to this position in a few days.

Call me crazy, but I decided to start bearish, by entering the 115 Call calendar. If I'm proving wrong, this is only 1/4th of the position's size, so it won't be a huge hit, if I'm right, I'll keep on building it up.

07/27 RUT 30-Day Iron Condor

RUT hit 550 Today and I added a long SEP Call to hedge the deltas. At this level we are slightly theta negative, so the hope is for RUT to back off. This is true for all my positions. Because the last up-side push was soon after I entered the trade, the P&L is hurting quite a bit.


Position's History: 07/23 RUT 30-Day Iron Condor
7/22 RUT 30-Day Iron Condor
7/21 RUT 30-Day Condor *New*

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07/27 MNX Iron Butterfly

MNX finally showing signs of slowing down. We did go down a little bit Today, the daily chart looks "topish" to me, but we never know. Right now, my plan is to continue rolling the short 150 Calls by using a debit spread. If we keep going up, even if we stay at these levels, the 150s are way deep in the money, they're what Dan Harvey calls "delta hogs". I'm removing them slowly to avoid exposing the position to a big gamma risk, this may hurt if we go down fast from here.



Position's History
07/23 MNX Iron Butterfly
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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07/27 SPY Double Diagonal

SPY showed some signs of indecision/consolidation at the top Today. I'm hopping we're close to a pull back. If we do pull back I plan on adding spreads to the trade in order to bring theta back to the table. I thought about doing it last weekend but couldn't really analyze the trade on Friday.


As of now, we're close to the max loss and I have an order to halt the position if we go to 100. One way or another, looking at the volatility cone, this has been a relentless up-move and this trade is still there. No way an Iron Condor could have made it through.




Position's History:
7/23 SPY Double Diagonal
07/22 SPY Double Diagonal
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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07/24 Daily Summary - Short

I could not watch the market all day Today, had a contingent order on RUT to hedge if we got to 550, we never did, so the order is cancelled now. Our son was sick and we spent all day running around in a clinic. He is better, at least medicated. So I'll see if I can update later on the weekend.

07/23 Daily Summary

Today's fast up move was hard on all my positions, specially hard on the RUT Iron Condor, the trade lost a lot of ground with price and volatility moving up. I have adjusted the SPY Double Diagonal and am at a critical point where I need to add something to the position in order to make some theta.

I have also added a small iron butterfly to the MNX position, this will increase my up-side break-even and add theta. Other than that, the next step is to move some of my short calls that no longer have any time-value on them.

Position's Details:
07/23 RUT 30-Day Iron Condor
07/23 MNX Iron Butterfly
7/23 SPY Double Diagonal

07/23 RUT 30-Day Iron Condor

OUCH!! What else can I say?! We moved up and volatility stayed up. This is like a double hit on the Iron Condor, in normal circumstances the VOLS tend to drop the next day, Tomorrow being a Friday will help.

My main concern is that I'm just a few points away from my first hedging level, and with this current volatility, I may pay too much for SEP contracts, but I have to do what I have to do, there is no fooling around with an Iron Condor, if you don't manage, it will take your money in a hurry!

Position's History:

7/22 RUT 30-Day Iron Condor

7/21 RUT 30-Day Condor *New*

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07/23 MNX Iron Butterfly

As Planned Yesterday, I added a long contract when we broke the 97.3 area, this cut my deltas and kept the P&L under control as we fired up. When MNX was trading at 160 I went ahead and added a smaller iron butterfly to increase the theta and expand the up-side expiration break-even on the graph.

My next step, likely to do it Tomorrow is to start rolling the short CALL contracts, at this point they are not making me any more money and I need to roll them up. I will look into using a debit spread to move the CALL contracts, if the deltas get too negative after I roll, I'll sell one of the long SEP CALLs I bought.

In my backtesting, I've seen difficult trades where the iron butterfly recovered, I still trust this one will make it through. Also, note that the TOS risk profile is messed up, it probably has some bad data from end-of-day.

Position's History
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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7/23 SPY Double Diagonal

Today I used a butterfly roll to move 3 of the short 94 CALL contracts and sell the 98 CALLs, this was my way to cut the deltas in the position, I wanted to avoid doing so, but with SPY breaking the previous trading range I had no choice but to stretch the up-side stop as much as possible.

At this point, I'll have to add to the position in order to make a profit. I'll look at it very carefully Tomorrow and come up with a plan.

Position's History:

07/22 SPY Double Diagonal
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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7/22 Daily Summary

Today only the MNX kept pushing higher, the other indexes posted slight losses. As I glance over the charts, it is showing some hesitation at the top, so we'll see how it develops in the next couple of days.

One way or another, I'm being extra conservative with adding protection against the up-side movement. I'm specially avoiding adding put spreads. Who knows, this may snap back to the lows in a few days worth of trading. One has to remember we're trading during the summer months, and there are a lot less players, so it doesn't take much to move the market one way or another.

I adjusted the MNX Iron Butterfly, closed the PUT diagonal on the SPY Double Diagonal and finished allocating the RUT 30-day Iron Condor. Now all that is left is the IBM calendar, which I may start building early next week.

I didn't backtest the MNX Iron Butterfly, decided to take a mid-week break. I sent out an improvement request for TOS's backtrading feature, I'm hopping they implement it. It will make my backtesting a LOT easier.

Position's details:
7/22 RUT 30-Day Iron Condor
07/22 MNX Iron Butterfly
07/22 SPY Double Diagonal

7/22 RUT 30-Day Iron Condor

Today I finished allocating capital to the RUT 30-Day Iron Condor. I decided to wiggle my contracts one by one, and ended up getting the same price as Yesterday, when I entered it all as one single order. One way or another, the trade is brand new, it has insurance to protect against a big move in the next few days.

Position's History:

7/21 RUT 30-Day Condor *New*

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07/22 MNX Iron Butterfly

I am being extra conservative with adjustments on the trade. After the previous 2 iron butterflies were over-adjusted, I'm giving the trade a bit more room to breath. MNX is not yet giving a break to the up-side.

I have a contingent order to further flatten the deltas if we pass Today's highs. Lets see what Tomorrow brings. I considered adding a baby butterfly Today, decided not to do it, I'll do it Tomorrow if we keep on pushing higher.

Position's History
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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07/22 SPY Double Diagonal

Today I closed the PUT Spread for .18c, locked in profits from it. I'm not yet convinced that I want to re-open the PUT diagonal. I've been looking at the daily charts on the SPY and it is showing some signs of weakness on the bullish side. Let's see if it materializes in the next few days.

In the back-pocket, I'm looking at adding theta with maybe an iron butterfly if we get to 97.5. I'm looking at the Volatility cone and this is a huge up-side movement, the fact I'm down only 10% is positive. Of course, I'm only buying time right now, will have to add more theta to the trade sooner or later.

Position's History:
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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