04/01 Portfolio Update

The market moved up Today, but not by much. I was completelly detached from intra-day volatility and price movement, the longet I get used to trading with contingent orders, the better for me. The portfolio certainly improved Today, specially the XLE double-diagonal.

I entered a new MAY/09 Position: EWZ Double Diagonal.

1) RUT 52-Day Condor:


2) XLE Double Diagonal:

3) OIH 36-Day Condor:

4) GLD Calendar:

5) MNX 45-Day Condor:

6) EWZ Double Diagonal:

04/01 EWZ Price Study

First let me start with the volatility & price action study. You can see from the picture bellow that EWZ had very few 2+ st. deviation moves in the past 30 and 60 days. The number of 1.5+st. deviation days could be a bit lower, but given the recent market volatility I'll accept.

The second thing is the 5-day Vol Spikes, you'll notice it is following a wave function pattern, this to me, indicates there is not a strong trend in place. Also, there are not too many big spikes on that chart, which indicates on major swings.


So, once I liked EWZ as a candidate, the next step is to look at a possible trade. Here is the Double-Diagonal profile. It yields about 27% in the center and has over 58% probability of expiring in between the B/E.

Historical deviation suggests that there is 88% chance the trade will stay within the no-adjustment zone for the next 3 weeks, therefore cashing out my target profit.

Historical probability also suggests there is about 74% chance of staying within the B/E for the duration of the trade.