JUL 09 Trades

This is a summary of all my JUL/09 positions, it was a good month for me, the only trade that didn't profit was the 50-day condor, all the others were profitable, a month to celebrate!

Here is each position in details:
JUL RUT 50-Day Iron Condor (day-by-day review)
JUL SPY Double Diagonal (day-by-day review)

JUL RUT 30-Day Iron Condor (day-by-day review)

JUL MNX Iron Butterfly (day-by-day review)

07/06 Daily Summary

Today I struggled with the down-side adjustments, specially on the RUT position. They were hit and the market reverted back up, but I stayed negative on the RUT because of the high price paid for the adjustment.

Both trades would be positive by over 6% if I had made no adjustments Today. This leads me to the conclusion that I'm keeping my adjustments too tight. This requires some fine-tunning on my part, specially after the long weekend, it hurts giving up that much theta..

Position Details:
07/02 SPX Iron Butterfly
07/03 RUT Iron Butterfly

07/06 SPX Iron Butterfly

Only one down-side adjustment was hit on the SPX, when it went back up the trade finished the day in profits. I'm still having a hard time with the "variable" P&L curve, but will get a handle on it.

SPX is sitting in a nice spot, so I have set the adjustment points are further away and a bit more granular.

Position's history day-by-day:
07/02 SPX Iron Butterfly
07/01 SPX Iron Butterfly
06/30 SPX Iron Butterfly
06/29 SPX Iron Butterfly
06/25 SPX Iron Butterfly
06/24 SPX Iron Butterfly
06/23 SPX Iron Butterfly
06/22 SPX Iron Butterfly

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07/03 RUT Iron Butterfly

RUT hit 2 of my adjustment points to the down-side, only to revert right back up. I paid a lot for the AUG Puts, as they were executed early in the day, and this hurt the position by quite a bit. At the end I wanted to sell one of the 470 PUTs to replace it by a 450 and ended up selling the AUG 480 PUT as a vertical credit spread with the 450.

I have to improve the way I'm dealing with this trade, maybe I'm adjusting too soon and too much, this is specially bad on days like Today, when the market bounces back up.

Position's history day-by-day:
07/02 RUT Iron Butterfly
07/01 RUT Iron Butterfly
06/30 RUT Iron Butterfly
06/29 RUT Iron Butterfly
06/25 RUT Iron Butterfly
06/24 RUT Iron Butterfly
06/23 RUT Iron Butterfly

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07/02 Daily Summary

Nothing like having your trades take care of themselves when the market goes wild. The contingent orders did their job and fired up soon after we opened. I found some time mid-morning to add a new set of contingent orders and published a mid-day update in the blog.

One thing to notice: More and more I rely on the previous' day P&L curve to base my decisions during the intra-day price action. Today for example, I had my P&L all over the map, from being down $500 to being up $150 in a matter of minutes!! Well, it is still dancing around and will settle down at the end of the day, however, without some sort of guidance it becomes hard to make any type of decision, so the having the previous' day profiles here at the blog is helping a lot. I see a lot more discrepancy in the SPX than in the RUT trade.

Position Details:
07/02 SPX Iron Butterfly
07/02 RUT Iron Butterfly

07/02 SPX Iron Butterfly

I added a calendar to reduce my vega risk and increase the theta. At first I thought about selling CALL vertical spreads, but then realized my vega would be pretty big, so went for the calendars.

I have to say, managing this SPX is harder by the fact that the P&L estimates stays a moving target. At the closing it was running between up $100 to down $200.. I guess the dice was rolled once again and it shows I'm down $200 Today. This is quite different from what I see on my RUT or MNX positions, they were maneagleable and the P&L oscilations were not this wide.

Position's history day-by-day:
07/01 SPX Iron Butterfly

06/30 SPX Iron Butterfly
06/29 SPX Iron Butterfly
06/25 SPX Iron Butterfly
06/24 SPX Iron Butterfly
06/23 SPX Iron Butterfly
06/22 SPX Iron Butterfly

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07/02 RUT Iron Butterfly

At the final hour, my goal was to increase theta and cut some of my vega risk. Should we keep going down, I don't want to get hurt too badly by increasing volatility. The answer was adding a small calendar I purchased 2x JUL/AUG 490 CALL calendars. I almot bought the 490 PUTS, but I already had short 490 and was afraid of getting confused when it is time to exit the position.

Looking at the graph, I like where we can be on Monday. I'll have orders to cut deltas if we start moving wildly, but expect to be profitable on Monday, likely at 10% if we end Monday without any major movement.

Position's history day-by-day:

07/01 RUT Iron Butterfly

06/30 RUT Iron Butterfly

06/29 RUT Iron Butterfly

06/25 RUT Iron Butterfly

06/24 RUT Iron Butterfly

06/23 RUT Iron Butterfly

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