Position's history day-by-day:
Thursday, June 25, 2009
06/25 RUT Iron Butterfly
RUT went to Break-even Today, provided it has been moving around right after the trade started, it is ok. I have a contingent order to hedge and flatten my deltas if we keep moving to the up-side.
06/25 SPX Iron Butterfly
I was tricked by Yesterday's profile. Because I used the line at expiration, the perspective on my current P&L line looked as if everything was great on the up-side. When you look at the "at expiration" profit potential, then giving up a few hundred dollars is no big deal, however, if you think in terms of what my profit goal is, it is a big deal.
So, the position is hedged and I am now using the Day-step lines for evaluating where the risk is.
So, the position is hedged and I am now using the Day-step lines for evaluating where the risk is.
Position's history day-by-day:
06/25 MNX Iron Butterfly
MNX reached the 147 adjustment point, I cut the deltas in 1/2 and have the contingent orders to continue cutting if we keep moving up Tomorrow.
Position's history day-by-day
06/25 RUT 30-Day Iron Condor *Closed*
I exited the position Today with just about 10% ROI, the main reason was the fact that it took only 10 days to get the profits. So that's a great reason to exit!
Position's history day-by-day
JUL RUT 30-Day Iron Condor (day-by-day review)
I exited the trade with just under 10% in 10 days! Whenever I get profits quickly like that, I take my gift and head to the exit. Thank you uncle Russell! :)
Start: 06/15/09
Finish: 06/25/09
Duration: 10 days
Results: +9.49%
06/15/09 - Started the trade, spent about 20% of credit to purchase PUT and CALL insurance
06/16/09
06/17/09
06/18/09
06/19/09
06/22/09 - Closed 1 CALL spread and the CALL insurance
06/23/09 - "RUT took a hit on P&L, We need it to move back up for a recovery. I have contingent orders to cut the deltas if we reach the 480 level"
06/24/09 - "RUT gave the position a break Today. The volatility drop also helped to bring profits back up."
06/25/09 - Saw just over 10% in my monitor spreadsheet, proceeded to exit the trade.
Start: 06/15/09
Finish: 06/25/09
Duration: 10 days
Results: +9.49%
06/15/09 - Started the trade, spent about 20% of credit to purchase PUT and CALL insurance
06/16/09
06/17/09
06/18/09
06/19/09
06/22/09 - Closed 1 CALL spread and the CALL insurance
06/23/09 - "RUT took a hit on P&L, We need it to move back up for a recovery. I have contingent orders to cut the deltas if we reach the 480 level"
06/24/09 - "RUT gave the position a break Today. The volatility drop also helped to bring profits back up."
06/25/09 - Saw just over 10% in my monitor spreadsheet, proceeded to exit the trade.
JUL SPY Double Diagonal (day-by-day review)
This trade was fairly uneventfull. I exited once I had reached 15 days on the trade, when it started to lose profits I got on my way to the exit. In hindsight, it would be more profitable a few days later, but then again, it could as easily be going the other way.
Start: 06/03/09
Finish: 06/23/09
Duration: 20 days
Results: +4.79%
06/03/09
06/04/09
06/05/09
06/08/09
06/09/09 - "Today I allocated the remaining capital planned for Double Diagonals. I decided to add to the SPY position to keep my portfolio simple enough. "
06/11/09
06/12/09 - " The main thing to notice is that the Volatility has dropped by 12% on this trade, I'm checking the middle of the graph at expiration to see if the P/L there has collapsed or not, so far it is very good, only dropped by about 2%.."
06/15/09
06/16/09
06/17/09
06/18/09 "I took the finger off the trigger on the trade Today. I was itching to exit this position. Given the weekend is just around the corner, and we find ourselves in the middle of the graph, I'll let it ride and look at it again Monday."
06/19/09
06/22/09 - "This is the 3rd week on the trade, and the question I ask myself is: do I want to stay here? We're approaching the level where the adjustment point is no more than 1 st. deviation in the volatility cone, from that point on, adjusting is simply part of the expected law of probabilities."
06/23/09 - "We had this trade for over 15 trading sessions, the profit got up to 8% and when it started to drop back down I decided to close it."
Start: 06/03/09
Finish: 06/23/09
Duration: 20 days
Results: +4.79%
06/03/09
06/04/09
06/05/09
06/08/09
06/09/09 - "Today I allocated the remaining capital planned for Double Diagonals. I decided to add to the SPY position to keep my portfolio simple enough. "
06/11/09
06/12/09 - " The main thing to notice is that the Volatility has dropped by 12% on this trade, I'm checking the middle of the graph at expiration to see if the P/L there has collapsed or not, so far it is very good, only dropped by about 2%.."
06/15/09
06/16/09
06/17/09
06/18/09 "I took the finger off the trigger on the trade Today. I was itching to exit this position. Given the weekend is just around the corner, and we find ourselves in the middle of the graph, I'll let it ride and look at it again Monday."
06/19/09
06/22/09 - "This is the 3rd week on the trade, and the question I ask myself is: do I want to stay here? We're approaching the level where the adjustment point is no more than 1 st. deviation in the volatility cone, from that point on, adjusting is simply part of the expected law of probabilities."
06/23/09 - "We had this trade for over 15 trading sessions, the profit got up to 8% and when it started to drop back down I decided to close it."
JUL RUT 50-Day Iron Condor (day-by-day review)
This trade hit the wall super fast, the only thing on the bright side was that I only entered 1/3 of the position's size. Managing risk by a step-by-step allocation helped me in this case. I did not allocate the remaining lots and moved my capital into other positions that worked better for the month.
Start: 05/28/09
Finish: 06/05/09
Duration: about 1 week
Result: -20.92% (on 1/3 of the position's size)
05/28/09
05/29/09 0.7 st. deviation move up, weekend expected to help
06/01/09 1.4 st. deviation move up, rough on the position
06/02/09 - Take a look at the volatility cone
06/03/09 - First down day (barely)
06/04/09 - "Trying to do too many things at once at the closing Today, I ended up missing a review of all my positions. This trade needed to either be hedged or exited Today."
06/05/09 - Closed beyond max loss.
Start: 05/28/09
Finish: 06/05/09
Duration: about 1 week
Result: -20.92% (on 1/3 of the position's size)
05/28/09
05/29/09 0.7 st. deviation move up, weekend expected to help
06/01/09 1.4 st. deviation move up, rough on the position
06/02/09 - Take a look at the volatility cone
06/03/09 - First down day (barely)
06/04/09 - "Trying to do too many things at once at the closing Today, I ended up missing a review of all my positions. This trade needed to either be hedged or exited Today."
06/05/09 - Closed beyond max loss.
JUN RUT 30-Day Iron Condor (day-by-day review)
This was one of my best trades ever. Not because it easily gave me profits, because it as a great challenge to get a trade that was down and work its way back into profits.
I closed at a small loss due to an oscilation in P&L that I couldn't understand (see bellow). However, the lessons I learned that day and moving forward were awesome.
Start: 05/22/09
Finish: 06/10/09
Duration: a bit less than 1 month
Results: -2.68% (Priceless)
05/22/09
05/26/09
05/27/09 - Hit first adjustment level (this early in the game)
05/28/09
05/29/09 "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."
06/01/09 - Second hedge enabled
06/02/09 "The anxiety is out of this trade, however, I must start looking for a way out of this hedge, it makes no financial sense to leave the money sitting there earning no time decay"
06/03/09 "I'm still holding the trade expecting RUT to give up this up-swing."
06/04/09 "RUT is not giving up, Today the position was hurt by a drop in volatility. Need to remember, when you hedge the position, the vega risk is still there. Specially risky on the up-side."
06/05/09 "With the trade being down 15%, and going through the weekend at the 430 level, due to negative Theta I would be at max loss on Monday. I wanted to do something other than taking the loss, so I came up with a recovery plan and went for it! No guts no glory."
06/05/09 - Recovery Plan
06/08/09
06/09/09 - "Nice! My goal is to exit this trade Tomorrow. By the look of things, I will be able to take the 15% ROI from the original trade"
06/10/09 - MISTERY HAPPENED, where did the profits go? Read the post and find out
I closed at a small loss due to an oscilation in P&L that I couldn't understand (see bellow). However, the lessons I learned that day and moving forward were awesome.
Start: 05/22/09
Finish: 06/10/09
Duration: a bit less than 1 month
Results: -2.68% (Priceless)
05/22/09
05/26/09
05/27/09 - Hit first adjustment level (this early in the game)
05/28/09
05/29/09 "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."
06/01/09 - Second hedge enabled
06/02/09 "The anxiety is out of this trade, however, I must start looking for a way out of this hedge, it makes no financial sense to leave the money sitting there earning no time decay"
06/03/09 "I'm still holding the trade expecting RUT to give up this up-swing."
06/04/09 "RUT is not giving up, Today the position was hurt by a drop in volatility. Need to remember, when you hedge the position, the vega risk is still there. Specially risky on the up-side."
06/05/09 "With the trade being down 15%, and going through the weekend at the 430 level, due to negative Theta I would be at max loss on Monday. I wanted to do something other than taking the loss, so I came up with a recovery plan and went for it! No guts no glory."
06/05/09 - Recovery Plan
06/08/09
06/09/09 - "Nice! My goal is to exit this trade Tomorrow. By the look of things, I will be able to take the 15% ROI from the original trade"
06/10/09 - MISTERY HAPPENED, where did the profits go? Read the post and find out
MDY 30-Day Iron Condor (day-by-day review)
This is a review for my JUN/09 position. Note that risk management was followed with the caviat that I adjusted the $ levels once I added to the position.
In hindsight, the market moved up fast, but the biggest issue was lack of CALL contracts to properly hedge the small position. I tried incremental hedging with debit spreads and it didn't work.
I think adding the iron butterfly to bring theta back was a good idea, it didn't quite saved the trade, but gave it some more time to work itself out. As I become more experienced with iron butterflies, the over-hedging won't be an issue any longer.
Start: 05/20/09
End: 06/16/09
Duration: Aprox. 30 days
Result: -19.43%
05/20/09 - Started the trade slightly bearish
05/21/09
05/22/09 - Bearish stance paid off (first few days)
05/26/09 - 1.5 standard deviation up, P&L took a hit
05/27/09 - Market backed off
05/28/09
05/29/09 - MDY Got close to 1st hedging level. "...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." In hindsight, this was a bad idea.
06/01/09 - "I hedged the position using debit spreads because there were no long contracts available to cut small deltas. It was very inneffective and as a result it hit max loss. I couldn't get out with no fills on the PUT side, so I hedged once again and will re-evaluate it Tomorrow."
06/02/09 - "The MDY trade is on hold pattern, the P&L somehow improved a bit Today. Once again, it makes no financial sense to leave the position on if it is not earning any money. I might add a calendar or pull it off the table." NOTE: It was no longer at max loss, spreads had come back down to mormal levels
06/03/09 - Started a recovery plan: Added an iron butterfly to bring theta back into the picture, considered the additional capital and adjusted profit & max loss levels.
06/04/09
06/05/09 - Had the game plan in advance helped me. The market opened gapping up, didn't have to freak out
06/08/09
06/09/09 - "The lack of upper CALL strikes on MDY has been a problem on this trade since a while back. Back when MDY fired up, I wanted to hedge the position but couldn't because there was no contract available to fine-tune the delta."
06/10/09 - Ended the day with negative Delta, not too much
06/11/09 - Over adjusted the Up-side, cut deltas by too much
06/12/09
06/15/09 - Started peeling off spreads
06/16/09 - Closed the trade, execution took $ down from 15% to 20% negative.
In hindsight, the market moved up fast, but the biggest issue was lack of CALL contracts to properly hedge the small position. I tried incremental hedging with debit spreads and it didn't work.
I think adding the iron butterfly to bring theta back was a good idea, it didn't quite saved the trade, but gave it some more time to work itself out. As I become more experienced with iron butterflies, the over-hedging won't be an issue any longer.
Start: 05/20/09
End: 06/16/09
Duration: Aprox. 30 days
Result: -19.43%
05/20/09 - Started the trade slightly bearish
05/21/09
05/22/09 - Bearish stance paid off (first few days)
05/26/09 - 1.5 standard deviation up, P&L took a hit
05/27/09 - Market backed off
05/28/09
05/29/09 - MDY Got close to 1st hedging level. "...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." In hindsight, this was a bad idea.
06/01/09 - "I hedged the position using debit spreads because there were no long contracts available to cut small deltas. It was very inneffective and as a result it hit max loss. I couldn't get out with no fills on the PUT side, so I hedged once again and will re-evaluate it Tomorrow."
06/02/09 - "The MDY trade is on hold pattern, the P&L somehow improved a bit Today. Once again, it makes no financial sense to leave the position on if it is not earning any money. I might add a calendar or pull it off the table." NOTE: It was no longer at max loss, spreads had come back down to mormal levels
06/03/09 - Started a recovery plan: Added an iron butterfly to bring theta back into the picture, considered the additional capital and adjusted profit & max loss levels.
06/04/09
06/05/09 - Had the game plan in advance helped me. The market opened gapping up, didn't have to freak out
06/08/09
06/09/09 - "The lack of upper CALL strikes on MDY has been a problem on this trade since a while back. Back when MDY fired up, I wanted to hedge the position but couldn't because there was no contract available to fine-tune the delta."
06/10/09 - Ended the day with negative Delta, not too much
06/11/09 - Over adjusted the Up-side, cut deltas by too much
06/12/09
06/15/09 - Started peeling off spreads
06/16/09 - Closed the trade, execution took $ down from 15% to 20% negative.
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