15/03 XLE Double Diagonal - Daily Update

Daily Update: The trade made it through the 1st week. Now that we got the theta and the trade is a bit more robust, I`m pushing the adjustment level further away (somewhere around the half-point between the short-strike and break-even). I`m also closing the opposite side and evaluating re-opening if and only if it reaches one of the adjustment points.

Contingent Orders:
If XLE at or above 44.80 (+2.25 st. deviations):
a) Close PUT diagonal
b) Buy 3x 44/48 CALL Vertical spreads
c) Evaluate where to re-open PUT diagonal (not automatic, analyze risk profile)

If XLE at or bellow 32.65 (-6.0 st. deviations):
a) Close CALL diagonal
b) Buy 3x 33/28 PUT Vertical spreads
c) Evaluate where to re-open CALL diagonal (not automatic, analyze risk profile)

Risk profile: TOS gives me only 16.4% Probability of needing an adjustment on the up-side, that`s great.
Dashboard: Trade is profitable despite large volatility drop this week

Historical Probability: For 20 trading days, the historical chances of staying within the range are awesome!

15/03 RUT High Prob - Daily Update

Daily Update: Last week was rough on this position. Not very confortable to watch RUT moving up 2 st. deviation like it is nothing. Nevertheless, being emotional can only make matters worse. I evaluated this position in terms of probabilities and I believe they look good.

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

Risk Profile: Based on TOS probability study, there is only 17% chance of hitting the 422 level next week, meaning 83% chance the trade will make it through.


Dashboard: P&L trend makes me unconfortable. In the past the emotion would make me go crazy and hedge this trade all over. Right now, I`ll stand the ground and trade with the odds.

Historical Probabilities: For the next 20 trading days, probabilities still look good for the trade.

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.