07/24 Daily Summary - Short

I could not watch the market all day Today, had a contingent order on RUT to hedge if we got to 550, we never did, so the order is cancelled now. Our son was sick and we spent all day running around in a clinic. He is better, at least medicated. So I'll see if I can update later on the weekend.

07/23 Daily Summary

Today's fast up move was hard on all my positions, specially hard on the RUT Iron Condor, the trade lost a lot of ground with price and volatility moving up. I have adjusted the SPY Double Diagonal and am at a critical point where I need to add something to the position in order to make some theta.

I have also added a small iron butterfly to the MNX position, this will increase my up-side break-even and add theta. Other than that, the next step is to move some of my short calls that no longer have any time-value on them.

Position's Details:
07/23 RUT 30-Day Iron Condor
07/23 MNX Iron Butterfly
7/23 SPY Double Diagonal

07/23 RUT 30-Day Iron Condor

OUCH!! What else can I say?! We moved up and volatility stayed up. This is like a double hit on the Iron Condor, in normal circumstances the VOLS tend to drop the next day, Tomorrow being a Friday will help.

My main concern is that I'm just a few points away from my first hedging level, and with this current volatility, I may pay too much for SEP contracts, but I have to do what I have to do, there is no fooling around with an Iron Condor, if you don't manage, it will take your money in a hurry!

Position's History:

7/22 RUT 30-Day Iron Condor

7/21 RUT 30-Day Condor *New*

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07/23 MNX Iron Butterfly

As Planned Yesterday, I added a long contract when we broke the 97.3 area, this cut my deltas and kept the P&L under control as we fired up. When MNX was trading at 160 I went ahead and added a smaller iron butterfly to increase the theta and expand the up-side expiration break-even on the graph.

My next step, likely to do it Tomorrow is to start rolling the short CALL contracts, at this point they are not making me any more money and I need to roll them up. I will look into using a debit spread to move the CALL contracts, if the deltas get too negative after I roll, I'll sell one of the long SEP CALLs I bought.

In my backtesting, I've seen difficult trades where the iron butterfly recovered, I still trust this one will make it through. Also, note that the TOS risk profile is messed up, it probably has some bad data from end-of-day.

Position's History
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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7/23 SPY Double Diagonal

Today I used a butterfly roll to move 3 of the short 94 CALL contracts and sell the 98 CALLs, this was my way to cut the deltas in the position, I wanted to avoid doing so, but with SPY breaking the previous trading range I had no choice but to stretch the up-side stop as much as possible.

At this point, I'll have to add to the position in order to make a profit. I'll look at it very carefully Tomorrow and come up with a plan.

Position's History:

07/22 SPY Double Diagonal
07/21 SPY Double Diagonal
07/20 SPY Double Diagonal
07/17 SPY Double Diagonal
07/16 SPY Double Diagonal Decision Making
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*


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7/22 Daily Summary

Today only the MNX kept pushing higher, the other indexes posted slight losses. As I glance over the charts, it is showing some hesitation at the top, so we'll see how it develops in the next couple of days.

One way or another, I'm being extra conservative with adding protection against the up-side movement. I'm specially avoiding adding put spreads. Who knows, this may snap back to the lows in a few days worth of trading. One has to remember we're trading during the summer months, and there are a lot less players, so it doesn't take much to move the market one way or another.

I adjusted the MNX Iron Butterfly, closed the PUT diagonal on the SPY Double Diagonal and finished allocating the RUT 30-day Iron Condor. Now all that is left is the IBM calendar, which I may start building early next week.

I didn't backtest the MNX Iron Butterfly, decided to take a mid-week break. I sent out an improvement request for TOS's backtrading feature, I'm hopping they implement it. It will make my backtesting a LOT easier.

Position's details:
7/22 RUT 30-Day Iron Condor
07/22 MNX Iron Butterfly
07/22 SPY Double Diagonal

7/22 RUT 30-Day Iron Condor

Today I finished allocating capital to the RUT 30-Day Iron Condor. I decided to wiggle my contracts one by one, and ended up getting the same price as Yesterday, when I entered it all as one single order. One way or another, the trade is brand new, it has insurance to protect against a big move in the next few days.

Position's History:

7/21 RUT 30-Day Condor *New*

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