Index Options Paper-folio Back in Action
PORTFOLIO GREEKS
(SPX beta-weighted)
Delta: -33
Gamma: -4
Theta: 149
Vega: 137
Buying power: ""UPDATE""
"Paper-folio" Value: ""UPDATE""
Why I'm jumping around from Paper-folio to Directional Futures
Decided to start up the paper-folio index options book again, which, incidentally was the original purpose of this blog. If you scroll all the way down the botom of this page, you can see the first post and understand the who, what, when, why of this blog. I digressed into TA of futures contracts partly because I wanted to actually make money trading again rather than just trade the paperfolio. Because of my work restrictions I can no longer trade index options like I would like to, but I can trade certain types of mutual funds. With the proliferation recently of mutual funds creating funds that directly track individual sectors, I decided to jump back into trading oil, gold and stock index futures directionally via these mutual funds that I am not restricted from trading. Just trying to earn an honest buck... even if I gotta deal with the difficulties and inefficiencies of only being able to trade mutual funds-which only price at the close, which forces me to be REALLY right on the timing of my shortterm in-and-outs... its turned out pretty well so far (eventhough the couple trades I have highlighted on this blog have not necessarily turned out as well as the others). My hit rate thus far has been as follows:
Total trades: 24
Total Winners: 19
Total Losers: 5
Avg Winner: +5%
Avg Loser: -6%
Current Directional Trades
I am in 5 directional trades right now-one of which being the short Treasuries trade I analyzed over the past few posts. (UPDATE on this: I shorted more on Friday close. I actually doubled my position size since I was so small in it when I initiated the position-I really like to scale into positions small, particularly when I am playing a counter-trend or mean-reversion trade. My game plan right now is to stop out of 60% of the position on any CLOSE above 108'16 in the 10yr note, and close out the rest on any close above 110. Eventhough I "doubled up," even if I get stopped out of the whole position the total loss will only cost me about 1% of my portfolio-once-again, the benefits of trading "small" and not letting emotions get in the way of things, and letting trades play themselves out.)
Back to Paper-folio Direction-neutral Trading
But, now I am getting the itch again to trade the directional-neutral thing again (even if I cannot immediately make money from it.) I basically just want to keep these skill fresh, and I also feel like it will give me a better all-encompassing feel for understanding the stock index futures market a bit more intimately-such that my directional trading of the S&P500 and Nasdaq via mutual funds will improve in the process.
So, I just started from fresh, a whole new options book in the SPY and IWM (Russell 2000) at the close on Friday, resulting in the following greeks shown at the top of this post.
Positions Opened
Pretty basic stuff here. I put on some iron condors for OCT in both the SPY and IWM. Then I put on a bunch of calendars/diagonals across OCT/NOV and OCT/DECqu (DECqu=December Quarterly option). I used the DECqu because the standard DEC options have not come out yet. The liquidity of the quarterlies have been pretty darn good, so I am not worried too much about it-plus as DEC approaches these quarterlies will begin getting more natural action as people roll their OCT and NOV options to DEC expiration.
(SPX beta-weighted)
Delta: -33
Gamma: -4
Theta: 149
Vega: 137
Buying power: ""UPDATE""
"Paper-folio" Value: ""UPDATE""
Why I'm jumping around from Paper-folio to Directional Futures
Decided to start up the paper-folio index options book again, which, incidentally was the original purpose of this blog. If you scroll all the way down the botom of this page, you can see the first post and understand the who, what, when, why of this blog. I digressed into TA of futures contracts partly because I wanted to actually make money trading again rather than just trade the paperfolio. Because of my work restrictions I can no longer trade index options like I would like to, but I can trade certain types of mutual funds. With the proliferation recently of mutual funds creating funds that directly track individual sectors, I decided to jump back into trading oil, gold and stock index futures directionally via these mutual funds that I am not restricted from trading. Just trying to earn an honest buck... even if I gotta deal with the difficulties and inefficiencies of only being able to trade mutual funds-which only price at the close, which forces me to be REALLY right on the timing of my shortterm in-and-outs... its turned out pretty well so far (eventhough the couple trades I have highlighted on this blog have not necessarily turned out as well as the others). My hit rate thus far has been as follows:
Total trades: 24
Total Winners: 19
Total Losers: 5
Avg Winner: +5%
Avg Loser: -6%
Current Directional Trades
I am in 5 directional trades right now-one of which being the short Treasuries trade I analyzed over the past few posts. (UPDATE on this: I shorted more on Friday close. I actually doubled my position size since I was so small in it when I initiated the position-I really like to scale into positions small, particularly when I am playing a counter-trend or mean-reversion trade. My game plan right now is to stop out of 60% of the position on any CLOSE above 108'16 in the 10yr note, and close out the rest on any close above 110. Eventhough I "doubled up," even if I get stopped out of the whole position the total loss will only cost me about 1% of my portfolio-once-again, the benefits of trading "small" and not letting emotions get in the way of things, and letting trades play themselves out.)
Back to Paper-folio Direction-neutral Trading
But, now I am getting the itch again to trade the directional-neutral thing again (even if I cannot immediately make money from it.) I basically just want to keep these skill fresh, and I also feel like it will give me a better all-encompassing feel for understanding the stock index futures market a bit more intimately-such that my directional trading of the S&P500 and Nasdaq via mutual funds will improve in the process.
So, I just started from fresh, a whole new options book in the SPY and IWM (Russell 2000) at the close on Friday, resulting in the following greeks shown at the top of this post.
Positions Opened
Pretty basic stuff here. I put on some iron condors for OCT in both the SPY and IWM. Then I put on a bunch of calendars/diagonals across OCT/NOV and OCT/DECqu (DECqu=December Quarterly option). I used the DECqu because the standard DEC options have not come out yet. The liquidity of the quarterlies have been pretty darn good, so I am not worried too much about it-plus as DEC approaches these quarterlies will begin getting more natural action as people roll their OCT and NOV options to DEC expiration.
posted by Justin @ 9:35 AM
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