DEC/10 NDX Iron Butterfly Day-by-day Review

My DEC NDX Iron Butterfly was a good position (+5.11% ROI). It challenged the up-side once again, but it did so in a controlled manner, allowing me to cut and roll and make a profit. I had one adjustment in the last few days that cost me the 10% goal. Friday prior to expiration week we moved higher and got too close to my short strikes so I decided to close, it would have worked if I let it ride the weekend but I was moving and did not feel good about having that additional stress in my mind during the moving weekend (not to mention I was tired from flying back from Europe the same weekend). Anyway, all things considered I put in the trade and managed it regardless of travel schedule, work schedule and life schedule..

Also, the process of monitoring my well-being and overall mind-state was awesome and certainly something I'll continue to do moving forward. This is all about an on-going process of self improving, this is why I enjoy trading so much!

11/17 Daily Summary
11/18 Daily Summary
Ok, Today I can't login to TOS for one reason or a...
11/21 Game plan for Tomorrow.
11/22 Daily Summary
11/23 Daily Summary
11/24 Daily Summary
11/26 Daily Summary
11/28 Game Plan
11/29 Daily Summary
11/30 Daily Summary
12/01 Daily Summary
12/03 Daily Summary
12/04 Daily Summary
12/06 Daily Summary
12/7 Daily Summary
12/08 Daily Summary
12/09 Daily Summary
12/10 Daily Summary

Going on vacation

Ok everyone, time for me to take a long awaited and well deserved trading break during the Holiday Season! I wish all of you the very best, have a great Holiday and Joyful time. Looking forward to starting again in JAN. I will be trading the FEB contracts early next year, this break means I will pass on trading the JAN contracts. I chose to do this for two reasons:
1) I want a break
2) I didn't feel very excited about the vols being so low and the value totally extracted out of the JAN contracts this week, so I'll pass on selling the iron butterfly this month. Does it mean it won't work? Of course not, you will never know (I will never know) unless you do it. But see reason #1, that is the most important one for now. :)

I will post an update day-by-day review on the DEC contracts, sometime in the next few days, as well as an update on my performance.

2010 was a positive year despite my learning curve during the earlier part of the year (read too many trades, multiple strategies and losses), things got really better for me once I focused in ONE trade per month, that made my life easier and my focused approach paid off. It worked for me, so I'll do more of the same in 2010!!

Cheers!
Gustavo

12/10 Daily Summary

Just wanted to briefly update everyone. I've closed the position on Friday, as the market moved up I felt it was time to shut things down, specially because I was moving over the weekend and didn't want to have this extra thing "hanging" in the back of my head.. Anyway, I've closed with about 5% profit for the month.

12/09 Daily Summary

Looking good, my plan is to go another day and evaluate either closing on Friday or leaving it alone through the weekend.

12/08 Daily Summary

I've picked up 5% Today, great overall recovery on this trade thanks NDX for sitting around for a few days, it is all it takes for the NDX Iron Butterfly to roll in with profits. Today I've condorized the position, it was a 1-hour long process, and I just surfed the market up and down, taking the best possible trades at great spots, this allowed me to roll the short calls and put away from the money so I can travel relaxed Tomorrow and let this thing roll through the weekend. Cheers!

12/7 Daily Summary

Yesterday's price action hit my first level of adjustment. The morning before I had a gut feeling to move my stop up to 2110, and during the first hour of trading I also had the gut feeling of moving it further up. I didn't listen to these hunches of inspiration so the contingent got triggered. Just want to register it here so I know for my future trading to listen to them when they come up.. In any event, I have a good feeling about Tomorrow (Today already here in Geneva), my goal is to condorize by the end of the trading session so I can travel back to the US on Thursday and just leave the position alone through the rest of the week. So far so good, we're in the green and will stay that way.

12/06 Daily Summary

I am very grateful the market stalled again all day Monday! Now looking for the best way to exit the position and bring it home! I will be watching price action at the close and before that prepare a possible exit strategy for me to execute.

12/04 Daily Summary

Things got back in shape during Friday's trading session. Volatility actually deflated even further and the position is showing great recovery, back at B/E level. Now Mr. NDX, you will work for me on Monday, here is what I want you to do: Open lower, around 2155, then trade back up to 2160 just to deflate the vols, stay there for most of the day and let market makers fill me on my exit. Thank you, see you then!

12/03 Daily Summary

I honestly think the P/L Today was distorted by a mis-print at closing time. I was somewhat observing the market action and P/L, and was quite surprised to see being down 12% by end of day. We didn't have this big of a move and, as far as I can tell, the volatility has dropped. In any event, I'm holding the same contingent orders and game plan from Yesterday if we keep going higher I'll hedge and see what else is left for me to do. Cheers! Gustavo

12/01 Daily Summary

Today I rolled the remaining 2125 calls and add an extra butterfly to the position. The 2125 call delta was around 65 and it is time I add theta to the position so it can recover. I was traveling to Europe overnight and had to make these adjustments prior to end of day, they would be cheapper if I was awake at the market closing time, but I couldn't do it. It would not have triggered otherwise, and this is the second time I by pass the contingent orders on my trade, I felt good about it when I did, as we were breaking out of the range on all other indexes, NDX traded down at the closing, but I still think the sentiment is more to the bullish side.

We have been bouncing hard in a range, let's see what Tomorrow brings, I'm doing my best to keep my adjustment points far away from the price to avoid this whipsaw and constant adjusting the position. I have a feeling we'll have a quiet day Tomorrow because we'll be waitting the NFP to come out on Friday. Let's see what happens.

11/30 Daily Summary

I'm on my way on a business trip once again, the position's P/L didn't change much from Yesterday, I will drop the long JAN call if we keep going lower, I need a day of quiet market movement so this trade can recover. We may find some support around these levels, perhaps bounce back up a bit from here, we'll see.

11/29 Daily Summary

Ok, we're definitely in a wild market. Today we traded about 2 standard deviations, triggered my long PUT order at 2120 and traded almost all the way back up. I'm glad my adjustment was not an order to drop the long Call, as it would have whipsawed me quite a bit. On the up-side, I'm still flying the trade and managing the wild movements, on the down-side, these adjustments are costing me profits. I need a few days of no activity to build up profits. So far the position looks ok, and I feel I'm doing my best to keep the adjustments away from 1 st. deviation zone, yet with these sort of swings the best bet is to go easy on adjusting so the whipsaws don't hurt as much.

11/28 Game Plan

Here is my game plan for Tomorrow. My goal is to cut and roll and add another butterfly if we trade higher, if we go down what I'll do is simply cut some of the delta risk and get rid of the long call if we keep going lower.

Note: One thing I noticed is that at the current level there is not a whole lot of theta. We're trading in a very narrow range, so I'll wait for the market to show its hand, break the range and then I'll do what I need to get things rolling faster again.

11/26 Daily Summary

Not much to add Today, except the market didn't move. One thing to note is that it seems my position lost a couple % points of P/L. Not sure what happened, it might be the spreads being out of wack or something like that. I will evaluate more carefully once I get some quiet time. For now, enjoy your Holiday! Cheers! Gustavo

11/24 Daily Summary

Today I happened to be watching in the AM when the market was trading at my adjustment level. Instead of hedging with contingent order, I did a butterfly roll and moved 2 of my short calls to the up-side. The short deltas on the 2125 calls is at .65 and it is time to get rolling. I did not roll all contracts just yet as we have been in a wild zig-zag mode so I want to get reassured of the direction we're moving before rolling all contracts.

Note: This was not deviating from my plan, because my goal with the long call is simply to hedge because they're easier to fill by contingent orders, I then roll the short calls when I can (usually next morning), since I was watching I went straight to the rolling instead of hedging first.

Happy Thanksgiving everyone!!

11/23 Daily Summary

I've started a self-assessment as part of my daily routine, the goal is to flag situations that bring me in a negative state and what can I do in order to improve both my feelings and overall well-being. Needless to say, I'm a bit unhappy with myself Today after the market rolled down just after I hedged the up-side risk. This is one of those things that one must master: the ability to be consistent with what you do, and the ability to manage the future and not dwell in the past, so this would affect me a lot more in the past, it bothers just a bit nowadays.

The position is in decent shape, don't get me wrong, it will make money. What bothers me the most is that I've set myself up with the evening game plan and use of contingent orders to help me navigate the day-by-day of trading. I've realized several months back that decision-making during the "lunch hour" for me was not the right approach. I've decided it was best to get hit on an overnight gap than trying to predict the next morning's action based on a 5 minute look at the market. Hence the contingent orders. Yesterday when I pushed the order manually I broke my own rule. Of course, the market took no reservations in pulling back.

11/22 Daily Summary

It seems we're back on the bullish mode, when we can't seem to stay down. I was happy during the morning, and then not so happy by end of day when I saw we recovered and got close to my adjustment point. I then executed the long call to hedge my deltas. I might have added a bit to much on the call side by trading the JAN 2000 call instead of the 2025 as I had on the original plan. Let's see what happens Tomorrow.

Today I'll start tracking my feeling and state of well being mode. I'll work on the tracking log for this and will start monitoring on a daily basis. I think the key will be helping me flag states of low well being so that I can figure out ways to adjust the TRADER just like I adjust the trade on a daily basis.

11/21 Game plan for Tomorrow.

Just to keep it on the record, here is my game plan for Tomorrow. Not much different than the one on Friday, except that I'm pushing the up-side adjustment by 5 points because of the extra weekend of time decay.

NOV10 NDX Iron Butterfly - Day-by-day Review

NOV10 was a wild month, the market started moving higher and higher, without any stop in the horizon. In addition to this, we had the FMOC meeting event, this kept vols up while the market traded higher and made the butterfly further difficult to manage.

I've adjusted, rolled the call side up, added the butterfly. In my mind I did everything I could to keep my money in the game and working for me. In the end closed with a loss of 6%, not bad given the market conditions. For the most part my management was good, I do have some lessons learned that I can share with you:

1) Trading is 100% in your mind, you need to do whatever it takes to stay sharp. Take time for yourself, workout, manage work-life balance.. The brain is the machine and if you're tired, you'll operate at less than optimum capacity. I was tired during most of the nights when I was doing my reviews. I had quite a busy month at work, pulling 13 hour days for weeks in a row. This reduced my ability to stay sharp in the evenings and sit with a good mind to review my positions and plan my adjustments. There was limited time during the day where I could pay attention to the market. Once again, the 13 hour work schedule forced me to start working at 7 am and roll through lunch.

3) Keep an eye on GAMMA at all times: There was one or 2 days where my gamma exposure was twice what I usually see. I didn't notice them until it was too late. Of course, the market did what it does when you're not paying attention: It moves quickly and far, takes away your money and leaves you frustrated.. Notice my postings between 11/10 and 11/11.. In two days I was thrown back in bad shape. I managed to keep my head cool, and got in with good adjustments, in the end I had another 2+ standard deviation movement, but because I was watching the GAMMA exposure, this move did not wipe me out, on the contrary, I actually recovered another 2% that day.

Ok, these are my two very important lessons learned. Need to incorporate them in my day-to-day management so they stay around.

10/20 Daily Summary

10/21 Daily Summary - High point of the trade, 4%

10/22 Daily Summary

10/25 Daily Summary

10/26 Daily Summary

10/27 Daily Summary - Kept going higher, Vols are high due to FMOC

10/28 Daily Summary

10/29 Daily Summary - Larger intra-day swings, vols up

11/1 Daily Summary

11/2 Daily Summary - Hit up-side adjustment just prior to FMOC day, flat VEGA

11/03 Daily Summary - Took advantage of high vols, cut and rolled a few contracts, negative VEGA again

11/04 Daily Summary - Large up-side movement

11/05 Daily Summary - Added butterfly in the morning, well positioned for Friday

11/08 Daily Summary - Rolled 1 call side, good recovery, back to -4%

11/09 Daily Summary - Kept condorizing, market moving to down-side

11/10 Daily Summary - Pumped back up, down 2%, did not notice 2+ Gamma exposure

11/11 Daily Summary - Down-side move, triggered adjustment, gamma around 1.89

11/12 Daily Summary - Took big hit (from -4 to -12%) with large price movement

11/15 Daily Summary - Good recovery, gamma now around 1.15

11/16 Daily Summary - Another large move, no major P/L slippage, closed the trade

Ok, Today I can't login to TOS for one reason or another, the market didn't move much and I could tell by end of day the position was recovering from Yesterday's move. Will re-post over the weekend or once I can get in TOS. Cheers!

11/18 Daily Summary

Today I finished loading my trade, the market is moving wildly, and it might be a storm brewing in the horizon (see my daily activity monitor), so heads up sailors! I loaded on the same original contracts, even though the call side seems to be close to a cut and roll situation, to me this simplifies my management, since I have 3 accounts that I trade, I didn't want to have to deal with 3 different positions. I'm already messed up in the P/L between the accounts, since some were filled Yesterday, others Today.. In any event, I'm using the account I always use to track and report my PL, even if P/L differs from my linked trades in the other accounts, the greeks are the same and my adjustments are the same too.

NOTE: For the first time in 1 year of trading I had my single contingent order fail to trigger!! The market may have moved past the contingent order too fast, or a glitch in TOS system, I'm not sure what was it, the fact is I got hurt more than I needed to because of that. To reduce this risk I've implemented now a OCO layered contingent orders, where they'll keep refreshing their price if the market keeps going up and the first order isn't triggered.

11/17 Daily Summary

I have not yet fully allocated my trade for DEC contracts. Market makers wouldn't fill my position this morning and I had to go to work, I left the order there but to no avail. I want to get it filled Tomorrow, so will have some time in the morning to work it. Otherwise will just have to trade smaller size this month.

I might start adding some price charts to my postings, these are the 4 hour charts on /NQ. I follow the 4-Hours on futures simply because I'm used to continued prices as my technical analysis background comes from Forex trading, so I'm not sure about what to do with all those gaps. :) In any event, notice we broke the short-term trend lines to the up-side, so I'll be interested to see how far we pull back. I've noted a few very near resistance points.

11/16 Daily Summary

I shut down the position Today, the market rolled down and triggered all my contingent orders to the down-side, as I wanted to start loading up the next month's position I continued to peel off the spreads and exited the trade with -5.85% ROI. Ohh, well, I did my very best to stay on the game and rode this one as far as I could, was able to recover well from Friday's blow up and given Today was another large down-day and I only lost a few percentage points, that's really good in my mind. Tomorrow I start posting on the new trade, as I only entered it a few contracts (less than 1/3), will try loading the rest of the position as we open in the morning or leave as pending orders through the day. Cheers! Gustavo

11/15 Daily Summary

If anything, these past two days have been a trial of my ability to manage the position and land it despite the turbulence! I am very grateful we didn't move much Today, this allowed the position to recover a bit. I closed 1 put spread at the end of day as it seemed wise to clean up the bearish exposure a bit. Now depending on where we go Tomorrow I may continue to exit slowly (if down-side) or simply pull the plug (up-side). I also need to remove most of the capital off the position as I want to add or start adding the next month's position. This has been the first time where I have an overlap between months.

I might be starting these trades too late in the cycle, I'll review to see if this may be causing me to come in to close to expiration and if it is forcing me to adjust without a lot more time to recover, as it certainly seems something is odd about the past few months being quite a workout to get some profits out of the position.