08/12 Daily Update

Today's price action was wild, specially in the last hours, after the FMOC meeting. I ended up rolling the 160 Call on the MNX Iron Butterfly, also cut one of the 115 IBM calendars. The market then faded back inside the range in the final hour, hopefully we'll stay in this range the remaining of the week.

Position's Details:
08/12 IBM Calendar
08/12 MNX Iron Butterfly

08/12 IBM Calendar

With IBM around 120, I wanted to cut some of the delta and reduce my up-side risk. I took off 1x 115 CALL calendar. My goal is to stay in the trade, will only exit if P&L drops by 50% from here (what Dan Sheridan calls the Tighten the Noose).

Position's History:
08/11 IBM Calendar
08/10 IBM Calendar
08/07 IBM Calendar
08/06 IBM Calendar
08/05 IBM Calendar
08/04 IBM Calendar
08/03 IBM Calendar
07/31 IBM Calendar
07/30 IBM Calendar
07/29 IBM Calendar
07/28 IBM Calendar
07/27 IBM Calendar *New*

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08/12 MNX Iron Butterfly

MNX pushed to the 163 level after the FMOC meeting. It pushed me into rolling the last 160 Call I had short. Now I have an order to roll the 162.5 if we break the 163 level and reach 164. At those levels, I'll have to roll these calls in order to keep them out of the money and maintain a decent gamma risk.

Prices failed really hard in the final hour, rejecting the 163 level, I'm hopping this is a signal we'll move lower back into the range Tomorrow. Right now, we have a theta to delta ratio better than 1:1, and I hope MNX stands still for the rest of the week.

I plan on adding a new position Tomorrow, it should be fine, since my new position will use SEP contracts and I no longer have any SEP contracts on this trade.

Position's History
08/11 MNX Iron Butterfly
08/10 MNX Iron Butterfly
08/07 MNX Iron Butterfly
08/06 MNX Iron Butterfly
08/05 MNX Iron Butterfly
08/04 MNX Iron Butterfly
08/03 MNX Iron Butterfly
07/31 MNX Iron Butterfly
07/30 MNX Iron Butterfly
07/29 MNX Iron Butterfly
07/28 MNX Iron Butterfly
07/27 MNX Iron Butterfly
07/23 MNX Iron Butterfly
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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08/11 Daily Summary

Not much to say, except that the last AUG trades that remained are showing profits. I have started simplifying the MNX Iron butterfly as we enter the "end game". My plan is to be totally out of all trades by Friday, Monday at the latest.

I'm also adding a new MNX Iron Butterfly for SEP this comming Thursday (35 days to expiration).

Position's Details:
08/11 IBM Calendar
08/11 MNX Iron Butterfly

08/11 IBM Calendar

The trade is in great shape! I hope IBM (and the overall market) stays quiet Tomorrow! That's a long shot, considering the Interest Rate announcement, but then again, we never know.


Position's History:
08/10 IBM Calendar
08/07 IBM Calendar
08/06 IBM Calendar
08/05 IBM Calendar
08/04 IBM Calendar
08/03 IBM Calendar
07/31 IBM Calendar
07/30 IBM Calendar
07/29 IBM Calendar
07/28 IBM Calendar
07/27 IBM Calendar *New*

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08/11 MNX Iron Butterfly

The trade finally showed profits Today! I watched a video with Dan Harvey Yesterday and he explained that his strategy for these final weeks is to start rolling the short contracts out of the money as much as possible. This reduces the Theta, but helps a lot by keeping the Gamma under control.

I started rolling these contracts "out", By using Debit Spreads, I rolled 2x 157.5 Puts to 152.5 and 3x 160 Calls to 165. I also sold the long SEP Calls Today. In summary: This is the "end game", so it is time to keep the trade under control and at the same time to start simplifying the number of contracts. I'm attaching a view that shows what I have as far as contracts.

Position's History
08/10 MNX Iron Butterfly
08/07 MNX Iron Butterfly
08/06 MNX Iron Butterfly
08/05 MNX Iron Butterfly
08/04 MNX Iron Butterfly
08/03 MNX Iron Butterfly
07/31 MNX Iron Butterfly
07/30 MNX Iron Butterfly
07/29 MNX Iron Butterfly
07/28 MNX Iron Butterfly
07/27 MNX Iron Butterfly
07/23 MNX Iron Butterfly
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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08/10 Daily Summary

It was nice not giving back all the weekend profits for a change! I appreciated that we didn't move too much one direction or another and my two remaining positions are still standing.

Me and my partner (aka Wife) have pretty much decided to focus on the strategy that worked best for us thus far: the Iron Butterfly. I will be trading this strategy only for the next few months in an effort to improve my management and learning from it. I also am going to trade a smaller IBM calendar, as the calendar is another trading strategy I didn't get hit too badly in the past. So, for SEP my plan is to trade 2 iron Butterflies (DIA and MNX) and 1 IBM Calendar.

Speaking of Iron Butterflies, I started backtesting the MNX Iron Butterfly a while back, and now have to do the same for the DIA Iron Butterfly. I find that by backtesting I can short-circuit some of the learning feedback. It takes one full month for a trade to evolve, and we can review an entire month in one or two hours of backtesting.

Position's Details:
08/10 IBM Calendar
08/10 MNX Iron Butterfly

MNX Iron Butterfly Backtesting:
FEB09: 07/21 MNX Iron Butterfly Backtesting
MAR09: 07/20 MNX Iron Butterfly Backtesting
APR09: 07/17 MNX Iron Butterfly Backtesting
MAY and JUN09: 07/15 Backtest Challenge
JUL09: 07/16 MNX Iron Butterfly Backtesting