06/22 Daily Summary

I apologize for not posting Yesterday, I was traveling from Salvador/Brazil to Sunnyvale/California and after such a long journey I had no energy left to post on the blog. I was barely able to create contingent orders for Today. To be trully honest, I'm glad they were not needed Today, because I had little faith in my mental state Yesterday to make sure the contingent orders were good :)

By the end of day Today I felt that it was time to cut a few deltas from both my positions, I used different approaches on the RUT and MNX trades, you can see on the details:

Position's Details:
09/22 RUT Iron Butterfly
09/22 MNX Iron Butterfly

09/22 RUT Iron Butterfly

I did a vertical roll to adjust my position Today. I noticed that we were leaning short deltas and didn't want to add a long CALL, as it would simply smash my theta. So I moved the short 610 Call to the 620 strike level. While this might have been a bit preemptive based on Dan's rules, I felt it was ok to do so.

Notice on the 5-Day Vipes chart that we might be slowing down on the upward pressure, notice that for the past 2 days bars. That being said, there has been very little "down days", as we seem to find buyers every time we move lower, so I have to keep on playing the non-directional approach.

09/22 MNX Iron Butterfly

At Today's closing I felt the need to control the deltas, they were getting out of hand, so I added a long NOV contract. Cut delta from -56 to -33, keeping it around the 1:1 ratio. I didn't want to go overboard here.

I notice on the 5-Day VIPES graph that we still have upward pressure. This seems to be slowing down on the RUT profile, however, notice we only had "up" days for almost 2 weeks now.

09/18 Daily Summary

I hope everyone enjoys the weekend, I sure will! No major change on both positions Today, that's always good news! I have also posted my backtesting for the RUT Iron Butterfly.

Position's Details:
09/18 RUT Iron Butterfly
09/18 MNX Iron Butterfly
09/18 Backtesting RUT Iron Butterfly

09/18 RUT Iron Butterfly

No major change on RUT Today, P&L improved slightly, contingent orders already in place for Monday.

09/18 MNX Iron Butterfly

No major change again Today. I have set the contingent orders for Monday. Starting next week I expect theta to increase to about $30 per day

09/18 Backtesting RUT Iron Butterfly

I spent the past 2 weeks backtesting the RUT Iron Butterfly, I used TOS thinkback for the backtesting, therefore the adjustments can only be made as end-of-day trades, meaning the use of contingent orders can't be considered.

My goal in backtesting is to get a feel for the trade, the number of adjustments and the way it survives the most different and wild market conditions. I noticed that this strategy requires adjusting regardless of the environment, as you can see on the charts bellow, you adjust even when the price is totally within 1 st. deviation on the volatility cone. On the Bright side you can make money even if the market goes way out of the cone.

Like Dan Harvey puts it, this is a market-following strategy, and the name of the game is to keep theta comming regardless of where the market is going.