07/14 Daily Summary

Today was a nice quiet day, I added the remaining contracts on my SPY Double-diagonal. I wanted to wait until Wednesday, but I'm not sure I'll be able to trade at the end of the day Tomorrow, so I did it Today.

The paper trades are doing a lot better after one day of little movement. I have started to simplify the position and am pushing it for one more day in the expiration week. I watched a web-ex session in Dan Sheridan's site with Dan Harvey and Gary Lee. Gary took an iron butterfly and just observed it day-by-day, it was great to see how these trades are a lot stronger than I originally thought, I over-adjusted and Gary made no adjustments, his profits were huge and mine are not yet here.. Of course, the market stayed in a range-bound environment, otherwise the story would be a lot different :)

Positions Summary:
07/14 SPY Double Diagonal
07/14 RUT Iron Butterfly
07/14 SPX Iron Butterfly

07/14 SPY Double Diagonal

I added the second half of the trade Today. By waitting I was able to get a slightly better price than Yesterday, nothing major, but worth the wait.

There is little to do in the short term, my double diagonal adjustment strategy for the first week on the trade is to use a debit spread to roll the shorts CALLS or PUTS if we get to either one of the short strikes. Once the first week is over, I will perform the adjustment if we get between the short strike and the expiration break-even. I've added the adjustment levels to the volatility cone.



Position's History:
07/13 SPY Double Diagonal *New*

07/14 RUT Iron Butterfly

The position is profitable Today, very small profits. If this was a real trade, I'd be tempted to take some of the spreads off the table, See how Gamma is pretty big.

I have started to simplify and reduce the inventory by removing long puts and extra calls I had in place and are no longer adding theta to the position.



Position's history day-by-day:
07/14 RUT Iron Butterfly
07/13 RUT Iron Butterfly
07/09 Daily Update
07/08 Daily Update
07/07 RUT Iron Butterfly
07/03 RUT Iron Butterfly
07/02 RUT Iron Butterfly
07/01 RUT Iron Butterfly
06/30 RUT Iron Butterfly
06/29 RUT Iron Butterfly
06/25 RUT Iron Butterfly
06/24 RUT Iron Butterfly
06/23 RUT Iron Butterfly

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07/14 SPX Iron Butterfly

I have started to simplify the position, getting rid of the excess inventory, flattened myself out and did whatever I could to increase theta as much as possible. At this point, all it needs is one more range-bound day. In retrospect, I certainly over-traded this position, I'm going to run a few more simulated trades and stay with a smaller size for AUG.

We're back at B/E on its way to profitability. Staying in the trade through Expiration week is not the most optimum thing to do because of the Gamma exposure, so far the gamma has not yet exploded, let's see how it goes Tomorrow

Position's history day-by-day:
07/14 SPX Iron Butterfly
07/13 SPX Iron Butterfly
07/09 Daily Update
07/08 Daily Update
07/07 SPX Iron Butterfly
07/02 SPX Iron Butterfly
07/01 SPX Iron Butterfly
06/30 SPX Iron Butterfly
06/29 SPX Iron Butterfly
06/25 SPX Iron Butterfly
06/24 SPX Iron Butterfly
06/23 SPX Iron Butterfly
06/22 SPX Iron Butterfly

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07/13 Daily Summary

Today I started entering my AUG/09 trades, I posted earlier in the day what is my plan and how I'll allocate the trading capital. I started with a SPY Double Diagonal, plan on entering the trade in two stages. I might also enter the RUT 30-Day condor this week (two stages as well).

All and all, my biggest surprise for the day were my two paper Iron Butterflies. I didn't check one vital component of the greeks and got crushed Today. See the postings for more details.

Live Positions:
SPY Double Diagonal (Live)
AUG/09 Trading Plan

Paper:
SPX Iron Butterfly
RUT Iron Butterfly

07/13 RUT Iron Butterfly

One more day in paradise.. See the SPX posting as well.

I didn't check my Vega exposure last Friday, and Today it hit me like a brick (in the face). I was running around happly expecting these two iron butterflies to cash in Today, but got surprised by how much Vega risk I left last Friday, with Today's movement it just nailed the positions..

Let's see if they can still make it trough, I flattened it once again.

07/13 SPX Iron Butterfly

WOW!! In all of Friday's excitement, I forgot to check one KEY issue with my position as of last Friday.. Take a look at its Last Friday's profile, and see if you can tell for yourself what it is..

.. I'll give it some time to further explain it later. Today, I was shocked to see the position losing money when SPX moved up, at first I thought it was the normal P&L oscilation, but then I double-checked my records and realized I had missed this one key item, and it hit me right on the head Today...

See the Vega in last Friday's chart, with Today's up movement being long that many vega just crushed the trade. VIX dropped over 9% Today, and along went my paper profits.. I left the trade on, let's see what Tomorrow brings. Today I was careful to double-check the greeks, they all seem to be in check, let's see..