Monday, June 8, 2009
06/08 SPY Double Diagonal
Profits are building up, SPY behaving very good. Not much else to say, we're benefitting from these past few days of market indecision, it is always good to build up a reserve of $.
06/08 DIA Iron Butterfly
DIA is back at the green, and, if it is up to me, will stay that way. I was watching the markets when DIA fired up at the final hour. I was able to stay with it, adding a few call contracts and moving the short 85 CALL via a butterfly roll. The result is a relatively flat profile at the end of the day.
06/08 MDY 30-Day Condor
MDY moved around Today, I didn't do anything, except hedging it a bit more at the end of day. My goal is to end the day in conditions to take a 1 st. deviation gap the next morning and stay at the same P&L levels, this allows me to manage the position and avoid giving back the $ I recovered thus far.
06/08 RUT 30-Day Condor
RUT was down all the way to 520, then it jumped back up to 530 in the final hour, just to finish at 525. I was glad I did not hedge the position when it was around 520, the main reason why is that I wasn't seeing much strengh in the 30-Min and 1-Hour charts, however, I had my line in the sand, if we were to hit 518 I'd come in and fix up my deltas.
I learned one thing Today, the fact that weekend Time-decay was mostly priced in on FRIDAY, when I bought the Iron Butterfly position, if you look back at my TOS chart from Friday (see the green line, that represents Monday), you'll see that I was expecting to be almost at break-even on Monday, however, we opened just about the same level and the Iron Butterfly only started to give up theta at the end of day on Monday. Am I missing something here?
One way or another, having added the iron butterfly allowed me to recover 10% from Friday to Monday, and there is more to come Tomorrow. So my job now is to make sure I navigate this trade back into the green zone by Friday.
I learned one thing Today, the fact that weekend Time-decay was mostly priced in on FRIDAY, when I bought the Iron Butterfly position, if you look back at my TOS chart from Friday (see the green line, that represents Monday), you'll see that I was expecting to be almost at break-even on Monday, however, we opened just about the same level and the Iron Butterfly only started to give up theta at the end of day on Monday. Am I missing something here?
One way or another, having added the iron butterfly allowed me to recover 10% from Friday to Monday, and there is more to come Tomorrow. So my job now is to make sure I navigate this trade back into the green zone by Friday.
06/06 Pre-opening Plan
Both /ES and /TF, the futures equivalent to SPX and RUT, are little change as of right now, it is 4:42 AM PST and there is plenty of time for things to move around before the market opens. There isn't any news announcement Today except for a speech from Federal Reserve Governor Daniel Tarullo @ 9:30 AM PST.
I learned something new Today: The risk profile chart on TOS that you see prior to opening is not really accurate. The reason I say that is because on my TOS charts, the P&L for Today is matching the same values from last Friday, when the market closed.
Well, we know there is time decay happening over the weekend, and that the Monday's P&L shouldn't match with Friday's. I guess the reason behind that is the simple fact they do not have updated quotes for all option values, so they don't want to give you a current value and make you believe you're better (or worse) off than you should really be.
That being said, I'm glad I captured Friday's charts with the "day step" lines in them, they provide an estimate of where I should be on Monday.
I also realize it is very important to review each and every position at the closing hour, what Dan Sheridan calls the "Fire Drill" excercise: Look at the profile and 1 st. deviation up and down, iIf you're approaching an adjustment or max loss at either point, you may want to do something on that day, before the market closes. It is better waitting for the next day opening and running the risk of an overnight gap ruining your trade (see what happened to my RUT 50-Day condor in July).
Ok, now lLet's look at each position before Today's opening
RUT 30-Day Condor: we'll be around 525 at the open, and based on Friday's chart (see the green line) the trade will be around B/E at the opening. That's a fantastic recovery. On the down-side, the gamma risk may be increasing, as the P&L curve is steep to the down-side. So I have alerts at 520 and 535 levels and will take some action if we hit those points. I don't want to let the recovered profits go away.
MDY 30-Day Condor: Seems like we'll be opening at the 107.50 level. Looking at Friday's chart, we'll be recovering ground but the up-side is still risky, so I'll set up alerts at 108 to see if anything needs to be done at that point.
DIA Iron Butterfly: DIA is around the 87 level. Looking at Friday's chart, we should be profitable on the position. I'll have an alert at the 88 level to protect profits if we start to run up again.
SPY Double-Diagonal: SPY is around 94, based on Friday's chart, it should also be in profit and there is nothing much to be done, I'll have alerts just to know if we start moving over 1 st. deviation Today.
Well, that's it for now, as it seems, the opening will be stress free Today.
I learned something new Today: The risk profile chart on TOS that you see prior to opening is not really accurate. The reason I say that is because on my TOS charts, the P&L for Today is matching the same values from last Friday, when the market closed.
Well, we know there is time decay happening over the weekend, and that the Monday's P&L shouldn't match with Friday's. I guess the reason behind that is the simple fact they do not have updated quotes for all option values, so they don't want to give you a current value and make you believe you're better (or worse) off than you should really be.
That being said, I'm glad I captured Friday's charts with the "day step" lines in them, they provide an estimate of where I should be on Monday.
I also realize it is very important to review each and every position at the closing hour, what Dan Sheridan calls the "Fire Drill" excercise: Look at the profile and 1 st. deviation up and down, iIf you're approaching an adjustment or max loss at either point, you may want to do something on that day, before the market closes. It is better waitting for the next day opening and running the risk of an overnight gap ruining your trade (see what happened to my RUT 50-Day condor in July).
Ok, now lLet's look at each position before Today's opening
RUT 30-Day Condor: we'll be around 525 at the open, and based on Friday's chart (see the green line) the trade will be around B/E at the opening. That's a fantastic recovery. On the down-side, the gamma risk may be increasing, as the P&L curve is steep to the down-side. So I have alerts at 520 and 535 levels and will take some action if we hit those points. I don't want to let the recovered profits go away.
MDY 30-Day Condor: Seems like we'll be opening at the 107.50 level. Looking at Friday's chart, we'll be recovering ground but the up-side is still risky, so I'll set up alerts at 108 to see if anything needs to be done at that point.
DIA Iron Butterfly: DIA is around the 87 level. Looking at Friday's chart, we should be profitable on the position. I'll have an alert at the 88 level to protect profits if we start to run up again.
SPY Double-Diagonal: SPY is around 94, based on Friday's chart, it should also be in profit and there is nothing much to be done, I'll have alerts just to know if we start moving over 1 st. deviation Today.
Well, that's it for now, as it seems, the opening will be stress free Today.
Subscribe to:
Posts (Atom)
