11/03 XLE Double Diagonal - Daily Update

Daily Update: XLE is behaving ok. Did not go crazy to the up-side like the major indexes and is still at the Break-Even level. Volatility dropped by quite a bit since I entered the trade, and yet I`m still doing ok.

If reaches the short strike tomorrow, I`ll come in and cut deltas even though it is not down 10%, the reason for doing so is that it is way too early for the index to reach the short strike, it means it is moving over 1 st. deviation for that first week of the trade.

Contingent Orders:
- Up-side adjustment: Buy 3x APR Vertical 44/48 CALL spread if XLE on or above 44 (Day order)
- Down-side adjustment: Buy 3x APR Vertical 33/28 PUT spread if XLE or or bellow 33.50 (Day order)
* Decrease imp.vol by -5% for up-side, and increase imp.Vol by +5% for down-side.
Dashboard: Notice how price is rubbing up against the 1 st. deviation curve on the volatility cone. 44 is way above that for the 1st week. Also worth noticing is the huge drop in implied volatility from the time I put the trade, this is not hurting my current P&L as much because it was a vega-neutral trade from the beginning.

11/03 RUT High Prob Condor - Daily Update

Daily Update: I wish I could say, nothing happened Today. Not quite. We got the 2nd day of 2 st. deviations this week. I discussed the trade with mentors at Sheridan and they proposed hedging it around 405. I`ve looked at various scenarios including hedging.

My decision is to stick with the original plan. For better or worse, I`m going to stay still and not dive into cutting deltas right now. I`ll see where it closes on Friday and spend some time thinking it over during the weekend. the CALL-side stop loss is about 2.5 st. deviation from the current price, if RUT gets there Tomorrow, (Friday, wich is usually a slow day) I`m ordering a steroids test! :)

Contingent Orders:
- Buy CALL spreads for .10c (GTC order)
- Buy PUT spreads for .10c (GTC order)
- Stop Loss @ or bellow 310, or @ or above 422 (Day Order)**
** Increase Imp.Vol by +5% to estimate down-side, Decrease Imp.vol by -5% to estimate up-side

Here is the current profile and dashboard.

I made a mistake when adjusting during the down-swing, Cut too many PUT spreads and I miss them right about now. Lesson learned. Nevertheless, this trade has gone through some major one-day swings, see the deviation picture on the lower right corner, quite a ride.

11/03 XLE Double Diagonal - Daily Update

Daily Update: Not much movement on XLE Today, Volatility came down a bit, but didn't hurt the position because I set it up to be as vega-neutral as possible.

I just realized that my adjustments are comming in earlier than the 10% I have in my trading plan. My thinking is that if I get to an ajustment point this week, it means something is out of wack with the trade, so I'll come in sooner instead of waitting to be down 10%. I'll check this with my mentors at Sheridan Mentoring. For now I'll live it like that, simply because if I hit an adjustment this week, it means XLE is on a move of well over 1 st. deviation on the volatility cone.

Contingent Orders:
- Up-side adjustment: Buy 3x APR Vertical 44/48 CALL spread if XLE on or above 44 (Day order)
- Down-side adjustment: Buy 3x APR Vertical 33/28 PUT spread if XLE or or bellow 33.50 (Day order)
Note that XLE's implied volatility has dropped by 10% since I put the trade, being vega neutral is helping me out right now.

11/03 RUT High Prob Condor - Daily Update

Daily Update: Not much to report, RUT didn't move much Today and we collected the extra theta and some vega due to volatility decrease.

Contingent Orders:
- Buy CALL spreads for .10c (GTC order)
- Buy PUT spreads for .10c (GTC order)
- Stop Loss @ or bellow 308, or @ or above 432 (Day Order)**** Increase Imp.Vol by +5% to estimate down-side, Decrease Imp.vol by -5% to estimate up-side
As you can see on the dashboard, the trade is starting to work itself back up in the P&L chart, also, Volatility spiked up all the way to +14% and now is back to 0.

10/03 XLE Double Diagonal - Daily Update

Daily Update: XLE up over 1 st. deviation Today, not very nice to have a big move right after you enter a non-directional trade. Nevertheless, that`s why I have a plan and put contingent orders, so I don`t need to fret about market movement, some times this is a lot easier said than done.. That being said, bellow are the risk profile with possible adjustments and the dashboard.

Down-sie adjustment, considering volatility increase of +5%

Up-side adjustment, considering volatility drop of -5%. Will very likely close PUT spread and roll it up if we get there this week.

Dashboard. Price action pushing against the Top of the volatility cone.

10/03 RUT High Prob Condor - Daily Update

Daily Update: RUT moved 2 st. deviation up Today. This was very good for the position, I'm right in the middle of the condor, delta neutral and improved P&L.

One thing to note is that I`ve already made adjustments to this trade, when RUT was cutting through my down-side I closed 2 of the PUT spreads, Closed the original CALL side and re-entered the CALL spreads with half of the contracts.

Contingent Orders:
- Buy CALL spreads for .10c (GTC order)
- Buy PUT spreads for .10c (GTC order)- Stop Loss @ or bellow 302, or @ or above 425 (Day Order)**
** Increase Imp.Vol by +5% to estimate down-side, Decrease Imp.vol by -5% to estimate up-side
Bellow is the historical probabilities study. It shows how many times we RUT moved over the distance between current price and the stop loss. Still looks good

Bellow is the dashboard I use to keep track of my trades at the end of day. It helps me to see if any trend is developing. In this case, Note the price moving away from 1 st. deviation on the volatility cone, at that time I performed adjustments mentioned earlier. Now we`re back inside the cone, but we were way out for a while.

10/03 XLE Double Diagonal - Trading Plan Correction

I made a mistake and looked at the wrong place to figure out the total $ invested in the position. Updated plan follows.