02/11 Daily Summary

Rolling along, I was planning to add my MNX iron butterfly Today but decided against it for one main reason: Market makers already adjusted the volatility to amount for the extended weekend, this dropped option values artificially and I don’t want to get sucked in a lower value because of the long weekend. My plan is to come in on Tuesday (30 Days Till Expiration). Not what I wanted, but then again, a day with compressed volatility is not a good entry signal in my mind.

Today was an entry signal on my directional butterfly strategy, but I honestly have to revise my trading plan as I can’t be spreading myself too thin, so will focus on fewer trades and less management intensive strategies (i.e. weekly strategies and iron butterflies).

02/11 NDX Fast Butterfly

By the end of Today this position would have been closed down 8%, it goes without saying that Yesterday’s projection was off by quite a few points, trying to estimate volatility based on price action is still a challenge for me. I have to spend some time and collect data to come up with some sort of relationship, but time is a very expensive commodity for me these days.

02/11 MNX Iron Butterfly

That’s it, there is barely anything left on the position. I have an order to buy back the last remaining short calls for a fraction of their price, this will close all my risk on the trade and allow me to focus on the next month’s position.

02/11 NDX Iron Butterfly

Condorizing the position Yesterday paid dividends Today. NDX moved quite a bit and we actually made a bit of money due to time decay. I have contingent orders to dump one of the call spreads Tomorrow if we push higher and plan on aggressively condorizing or removing the trade out of the table Tomorrow.

02/11 OEX Weekly Iron Condor

Still a high probability trade despite the big up-side swing in the markets lately. Counting on the accelerated time-decay again Tomorrow.

02/10 Daily Summary

I’ve noticed that things might be settling down lately. See the highlighted area in green, while we still have a few days of over 1 st. Deviation they are not as often as the period right before it. Is the storm passing? Sure hope so, as it will allow for a sweet ride for the MAR contracts.

02/10 NDX Fast Butterfly

I am monitoring here what this position would look like. I’ve also estimated the stop points to the up-side and down-side. What I’ve done to estimate is using TOS and tweaking the price level and the volatility with a few basic assumptions:
For up-side swing: reduced volatility by -3% in the TOS analyzer
For down-side swing: increased volatility by +5% in the TOS analyzer
These are not perfect estimates, but I know they’ll get me around the ballpark of where I may need to stop/fully hedge the position. I plan on using that for next week’s trade.