Contingent orders to close if beyond the levels in the chart bellow:
Wednesday, March 25, 2009
03/25 GLD Calendar
P&L dropped a bit Today, still in the middle of the chart. Bellow is risk profile
Contingent orders to close if beyond the levels in the chart bellow:
Contingent orders to close if beyond the levels in the chart bellow:
03/25 OIH Condor
P&L getting better, will OIH come back inside the cone? Only future will tell.
Probability of expiring in profit = 73%
Contingent order:
Close 1x PUT if at or bellow 63.50
Bellow are profile and dashboard:
Probability of expiring in profit = 73%
Contingent order:
Close 1x PUT if at or bellow 63.50
Bellow are profile and dashboard:
03/25 XLE Double Diagonal
Added the PUT and CALL diagonals as I planned Yesterday. Now there is some profit potential on my risk graph. I don't plan on adjusting it any longer, so my contingent orders are stops at the levels on the risk graph.
Probability of profit by expiration is 46.40%
Bellow is risk profile and Dashboard.
Probability of profit by expiration is 46.40%
Bellow is risk profile and Dashboard.
03/25 RUT HP - MAY09
Started a new HP for MAY contracts. I've decided to drastically reduce my size and focus on the craft and not to worry about P&L. The plan for this trade is simple: stay in it untill get the profits. Or bail out if we go down by 1.5x my cashflow. I'll execute this trade month-after-month and my expectation of profits on the long run is 75%.
With time I can understand how this trade works and better manage it, but so far I've been adusting all my HP to loss, so I'll just stick with a no-touch plan for a while. I've estimated that -1.5x cashflow equates to a delta of .22 on the PUT side and .27 on the CALL side, so I'm setting the contingent orders based on Delta, so I don't have to spend too much time every day adjusting the stop by RUT's price level.
Probabilities:
84% implied probability it will expire profitable
98% historical probability it will expire profitable
Bellow is the risk profile and trade plan.
With time I can understand how this trade works and better manage it, but so far I've been adusting all my HP to loss, so I'll just stick with a no-touch plan for a while. I've estimated that -1.5x cashflow equates to a delta of .22 on the PUT side and .27 on the CALL side, so I'm setting the contingent orders based on Delta, so I don't have to spend too much time every day adjusting the stop by RUT's price level.
Probabilities:
84% implied probability it will expire profitable
98% historical probability it will expire profitable
Bellow is the risk profile and trade plan.
Tuesday, March 24, 2009
XLE Decision Making
I ran a decision tree on the current situation with the XLE trade. I evaluated 3 options:
1) Do nothing
2) Roll back vertical spreads
3) Add a 2 extra double diagonal on CALL and PUT sides
I'm attaching the risk profile for the 3 options, as well as the decision making tree. One thing I noticed is that option #3 starts to win over options 1 and 2 after 3 days of time-decay. It has more profit potential, however adds an extra $400 of trading capital, and therefore pushes my stop loss to $870.
I did consider shutting down the trade, but on any scenario it was always the worst, because it gives me 100% probability of losing $500, so I took it out of the decision tree.
If XLE stays around the same price level Tomorrow I'll enter option #3.
Risk Profile Option #1
Risk Profile Option #2
Risk Profile Option #3
1) Do nothing
2) Roll back vertical spreads
3) Add a 2 extra double diagonal on CALL and PUT sides
I'm attaching the risk profile for the 3 options, as well as the decision making tree. One thing I noticed is that option #3 starts to win over options 1 and 2 after 3 days of time-decay. It has more profit potential, however adds an extra $400 of trading capital, and therefore pushes my stop loss to $870.
I did consider shutting down the trade, but on any scenario it was always the worst, because it gives me 100% probability of losing $500, so I took it out of the decision tree.
If XLE stays around the same price level Tomorrow I'll enter option #3.
Risk Profile Option #1
Risk Profile Option #2
Risk Profile Option #3
03/24 GLD Calendar
Trading is starting to show profits, it is up 8% with great probabilities of staying between the strikes one more day Tomorrow.
I have orders to close if it gest beyond the B/E lines, also have orders to close each calendar with 15% profit.
I have orders to close if it gest beyond the B/E lines, also have orders to close each calendar with 15% profit.
03/24 OIH Condor
OIH moved back down Today, still hanging around 1 st. deviation, that's good for the trade.
FYI: I'm re-evaluating adjustments in general, and very likely to stop adjusting by cutting spreads, still backtesting, but as a business, cutting the spread simply yanks too much profit from the table.
Bellow is the dashboard and risk profile. As I explained Yesterday, I'm not cutting a call spread if we go up, so my only adjustment is to cut 1 Put spread out on the down-side.
FYI: I'm re-evaluating adjustments in general, and very likely to stop adjusting by cutting spreads, still backtesting, but as a business, cutting the spread simply yanks too much profit from the table.
Bellow is the dashboard and risk profile. As I explained Yesterday, I'm not cutting a call spread if we go up, so my only adjustment is to cut 1 Put spread out on the down-side.
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