07/06 Daily Summary

This morning I rolled one of the short puts further out, I have a feeling it wasn’t enough as we didn’t hold higher values Today. I plan on continuing to manage the down-side risk and likely to shut down the trade in the next few days.

07/02 Daily Summary

No major change Today except for the fact the vols dropped a lot in anticipation for the long weekend. I would not want to be selling any position at this point given we don’t really know what Tuesday will bring, but usually it is a larger than usual day... I am glad I’ve cut my vega exposure Yesterday this way I didn’t get too bad.. Ideal scenario would have gone all the way to negative vega, but I didn’t want to add capital to the position provided I was already at max loss and around the 2nd cut and roll level.

07/01 Daily Summary

Early this morning I went ahead and cut out some of my short put spreads and balanced the delta by selling one of the 2 long AUG puts I had. I felt this would relief some of the over-exposure I had to positive vega and as it turns out it was a good move, without making these tweaks I’d be down over 15%, while I’m now down 12% on the position. Going into Tomorrow I’m little inclined to touch the trade and will probably leave it alone to ride over the long weekend.

06/30 Daily Summary

Around 7:20 AM I’ve decided to roll the short put spreads down, locking some of the overnight profits and allowing me to sell one of my AUG puts, this brought some theta back into the trade and reduced my down-side risk at the same time. This was actually a good move as it saved a few bucks once the market continued going down. Right now, the position is at the max loss level and my game plan is to go into risk management, meaning I’ll start peeling off spreads to minimize my exposure and shut down the trade at a lower loss. We have moved almost 200 points in about 8 days, I’ve adjusted the trade 6 times and every time we kept pushing lower without a break to recover the P/L, once again I’m glad this is a paper position and that my money for this month is safe and sound at the bank..

06/29 Daily Summary

Sure am glad the position is a paper trade. I’m getting a taste of managing some action! Today I did the cut and roll by end of day, while this seems to be ok for now, I wonder if it would be better if I did it Tomorrow in the morning. If it wasn’t for the contingent orders the trade would have hit the skids by now.. My plan is to hang in there and see what happens Tomorrow with the trade, if we make a new low I have orders to hedge and if we sky rocket back up I have orders to drop the long AUG put I’ve bought on the way down. I have a feeling Today’s drop was over-done, we’ll see..

06/28 Daily Summary

This morning I’ve continued to cut and roll the remaining short 1875 Puts, the trade is a bit better than Friday and if we stick around this level for a few days it will start to show profits. All and all, it is still running to make the 10% prior to expiration week, which is my goal.
Better news as Brazil 3 x 0 Chile.. One step closer in the World Cup!

Updated Daily Summary Chart

First and foremost, I’d like to thank the fellows from Dan Sheridan’s Florida Trading Group for their weekly meetings. I can’t attend the meetings but have made a point to download the audio and listen to their discussions every week. A few weeks back they presented what I thought was a great idea: A monitoring spreadsheet to monitor daily movement in relationship to volatility, sounds familiar? :)

Well, the difference is that they were tracking the underlying movement from High to Low, instead of just from close to close. I also liked the fact they were capturing historical data to get a sense for trending. The questions their study answers: how often have we moved over 1 standard deviation (from high to low) during the past 30 days? Is this trending up or down?

With that, I’ve made a bit of adjustments on my own daily tracking spreadsheet. While I do not track the implied volatility as the FTG folks do (I track a 20-day historical volatility), the data I have allows me to take the same sort of measuring and plot this in a trend chart. So there we have it, the updated Daily Summary sheet now will tell us how many times (in percent) has the underlying moved over 1 standard deviation for the past 30 days. For trending, all I had to do is to capture this value for every day and display the results for the past 120 days and displays it in a line chart.

This can potentially serve as a great way to measure when the storms are coming.