Option expiration day

Covered all ES Nov 1000 Put at $6.25.

another position

bought 1/-2 calendar es nov/oct 1000/1000 Put at $6.25

new position using ES at 9/15/2009

bought 1/-2 calendar es nov/oct 1000/980 Put at $8.25.

Option settlement

Settlement price is above 975, so the loss is $280.

Gap risk

Covered the call side of the straddle at $18.50 to eliminate a potential gap-up risk.

Total debit to this position = $1530 - 1850 = $280.

It means a loss of $280 if the settlement price is above 975.

straddle

SOLD -1 STRADDLE SPX 100 (Weeklys) JUL5 09 975 CALL/PUT @15.30 CBOE

July 22, 2009

As I got no feedback from my blog readers, i am going to stop posting my trades in this blog.

I will continue to post the adjustment of the current position until they are all expired or closed out.

July 20, 2009

I sold 5 contracts of SPX Aug 765 put at 0.9. Total credit = $450

Total debit for the existing portfolio = $920-450 = $470.

Option expiration

The previous positions with total credit of $5375 have been expired worthless today. It means I have made $5375 from that portfolio.

I just sold 3 contracts of SPX Aug 825 put at a credit of $3.5. A total of $1050 is credited to the current portfolio.

Total debit for the existing portfolio = $1970 - 1050 = $920.

New position for July 2009

BOT +2 1/-2 CUSTOM SPX 100 AUG 09/JUL 09 850/850 PUT/PUT @9.85 CBOE

I opened the above strategy just before the close today. Total debit = $1970 for this new position.

weekly expiration

SOLD -3 SPX 100 JUL 09 875 PUT @8.60 CBOE

I just sold all remaining Jul 875 put for a total credit of $2580.

Total credit for the portfolio = $2795+2580 = $5375

Unwinding position

SOLD -4 SPX 100 JUL 09 875 PUT @7.00 CBOE

Just sold 4 Jul 875 put for a total credit of $2800.

Total debit for the portfolio = $5 - $2800 = -$2795

That means, total credit for the portfolio = $2795.

Continue hedging

Yesterday at 4:06 pm, a limit order to sell one contract of SPX Jul 875 put was executed.

Total debit for the portfolio = $755 - 750 = $5.

I will continue to sell more puts next week.

Add more hedge

SOLD -2 SPX 100 (Weeklys) JUL1 09 875 PUT @1.60 CBOE

I just sold additional 2 puts to further reduce the negative bias.

Total debit = $1075-320 = $755

continue hedging

SOLD -8 SPX 100 (Weeklys) JUL1 09 875 PUT @1.60 CBOE

As i mentioned yesterday, i sold 8 contracts of Jul1 875 put to reduce the negative bias.

Total debit for the whole portfolio = $2355 - $1280 = $1075.

hedging the delta

Now my combined position is delta negative, i sold 2 contracts of Jul 825 put at 3.2 with a total credit of $640.

The combined position is still delta negative. I plan to sell some more puts tomorrow morning.

Total debit for the whole portfolio = $5970 - 640 - 2975 = $2355

Closing worthless option

BOT +8 SPX 100 (Weeklys) JUN4 09 875 PUT @.05 CBOE

I just closed this option for a total debit of $40. Even though it will become worthless, i like to close it so that margin will be available tomorrow morning so further adjustment can be made in the morning.

Total debit = $5930 + 40 = $5970

Quarterly Option

BOT +4 1/-3 CUSTOM SPX 100 JUL 09/JUN5 09 875/875 PUT/PUT @5.30 CBOE

On the strength, i added the ratioed calendar this morning.

Total debit = 3810 + 2120 = 5930

New SPX weekly position

BOT +3 1/-2 CUSTOM SPX 100 JUL 09/JUN4 09 875/875 PUT/PUT @9.70 CBOE

I don't think we can get lower before end of Q2. Total debit for this new position = $2910.

[edit] At 3:30 pm, i added one more at a cost of $9.00. Total debit = 2910 + 900 = $3810.

Expiration day

I just sold 3 contracts of Jul 860 Put at $9.00 for a total credit of 2700.

The total credit for this position = $2975.

The previous backratio spread has expired worthless so the previous position has given me a profit of $2240.

Reducing risk

SOLD -1 2/-3 CUSTOM SPX 100 JUL 09/JUN 09 900/900 PUT/PUT @38.85 CBOE

The ratioed calendar has made over 100% of the cost. I just covered half of the ratioed calendar at a credit of $38.85 for a total credit of $3885. Right now, I am still holding holding half of the position.

Total debit = $3610 - $3885 = -$275 = $275 credit.

This is the best trade so far this year.

Weekly update

The new position entered 2 days ago has been up around 20%. The position is marked at around $22.

So far this year, i didn't have any losing position, but a losing trade will come. Losing is part of the game. If one cannot accept a loss, he/she will be a loser in a long run.

New SPX position

BOT +2 2/-3 CUSTOM SPX 100 JUL 09/JUN 09 900/900 PUT/PUT @18.05 CBOE

Total debit for this position = $3610.

This position is not a hedge to the existing position. This position will act as another portfolio that will require hedging from time to time.

Backratio spread

SOLD -4 1/2 BACKRATIO SPX 100 JUN 09 870/830 PUT @-.15 CBOE.

I just sold the backratio spread at a debit of 0.15. Total debit is $60.

Total credit for the existing SPX position = $2,240.

same day option trading

SOLD -2 1/-2 CUSTOM SPX 100 JUL 09/MAY4 09 875/875 PUT/PUT @24.20 CBOE

I just covered the trade i made this morning at a credit of $24.20 each contract for a quick profit of $200. Total credit = 4840.

Total debit for the SPX existing position = -$2300.

That means, total credit for the existing position = $2,300.

Using weekly for new position

BOT +2 1/-2 CUSTOM SPX 100 JUL 09/MAY4 09 875/875 PUT/PUT @23.20 CBOE

I just made the above trade with a total debit of $4640.

Total debit for the SPX existing position = -2100 + 4640 = $2,540

May option expired

All May options expired worthless today.

I still have one contract of SPX 870 Put. Instead of closing it out, i sold 2 contracts of SPX June 830 put at a credit of $12.1 each. Total credit = $2420.

Total debit to the existing SPX position = 320 - 2420 = -2100.

In other words, total credit to the existing position = $2100.

Unwinding the postion

SOLD -1 CALENDAR SPX 100 JUN 09/MAY 09 870 PUT @24.25 CBOE

I continued to unwind the position. Total credit = $2425

Total debit for existing SPX position = $2745-2425 = $320

Option expiration week

I continued to unwind the position today.

I SOLD -1 1/-2 CUSTOM SPX 100 JUN 09/MAY 09 870/870 PUT/PUT @17.40. Total credit = $1740.

Total debit for the existing SPX position = $4485 - $1740 = $2745

unwinding the position

I SOLD 1 CALENDAR SPX 100 JUN 09/MAY 09 870 PUT @18.55. Total credit = $1855.

Total debit for existing SPX position = $6340 - $1855 = $4485

Hedging

I continue to hedge against delta and vega.

I sold 2 contracts of SPX May 850 put at $1.20. Total credit = $240

Total debit for the existing SPX position = $6580-$240 = $6340

Reducing Vega risk

I sold 1 contract of SPX June 870 put at $24.00. Total credit = $2400

Total debit for the existing SPX position = $8980 - $2400 = $6580.

SPX adjustment

I just sold 2 contracts of SPX May 850 put at $2.50. Total credit = $500

Total debit for the existing SPX position = $8980

SPX adjustment II

I just covered 2 contracts of SPX May 850 put at $2.20. Total debit = $440

Total debit for the existing SPX position = $9040 + $440 = $9480

The market was strong. Basically all news are good news to bulls! The sentiment is very bullish.

SPX adjustment

I just sold 2 contracts of SPX May 850 put at $3.3. Total credit = $660

Total debit for the existing SPX position = $9700 - 660 = $9040

SPX wants to move higher, but Nasdaq is lagging. Institutions are playing the stress test result. I really don't feel comfortable buying at this level because of the potential trap. The short-term upside potential is small while the downside risk is too large.

SPX adjustment again

I just covered 2 contracts of SPX May 750 put at $0.50. Total debit = $100

Total debit for the existing SPX position = $9,600 + $100 = $9,700.

SPX adjustment

I just covered 2 contracts of SPX May 700 put at $0.20. Debit = $40

Total debit to the existing SPX position = $9,560 + $40 = $9.600.

SPX

SPX is a lot stronger than Nasdaq. The bull tried very hard today to push it to the positive territory. Once it is positive for the year, those trend following funds will enter the market and hopefully will drive the market higher. This is the intention of the push today. Will they succeed? I don't know. I trade what i see.

I sold 2 contracts of SPX May 800 put at $0.85. Total credit = $170.

Total debit to the current SPX position = $9730 - $170 = $9560.

SPX Adjustment

I just sold 2 contracts of SPX May 700 put at 0.60. Credit to the account = $120.

Current position looks very well today.

Total debit for the SPX position = $9,850 - $120 = $9,730

New SPX Calendar

I just bought 5 contracts of CALENDAR SPX 100 JUN 09/MAY 09 870 PUT @19.70 just before the market closed.

Total debit = $9850.

Covered SPX position

I just sold SPX option position at a credit of $17.90, with a total credit of 1790.

Total profit for this position = $1790-$1500 = $290

New SPX position for Monday 4/27/2009

I just bought +1 1/-2 CUSTOM SPX 100 MAY 09/MAY1 09 850/825 PUT/PUT at a debit of $15.00.

Total debit = $1,500.

closed SPX options

I just sold 1 contract of SPX May 750 put at $3.1.

Net profit for SPX trades = $310 - $190 = $120.

SPX adjustment

I sold 1 contract of SPX May 750 put at $6.5. Total cedit = $650.

Total debit of the SPX position = 840-650 = $190.

I love the weekly.

Using the SPX weekly options

I bought 2 contracts of SPX 100 MAY 09/APR4 09 750/800 PUT at a debit of $4.6 this morning, and sold 4 contracts of SPX APR4 750 PUT this afternoon at a credit of $0.2.

This is a short-term trade to bet on the downside.

Total debit for today = $840.

Where are we heading

We are still in a bear market. I saw distribution last week, and so my question is "where are we heading to".

We are going down hard. I think s&p 500 will hit 800 this week, and will be heading to 770. If we have a strong support at 770 and back to 800 next week. We will see 920 in May, and we will have a positive year.

What if support at 770 is broken? S&P will go to 653.

For now, it is not so meaningful to predict the future too far away. We will look at the price action when s&p gets close to 820, 800 and 770.

Option expiration April 2009

All April options expired today, and i have one May put option left. I left just one contract of this put option as a lottery ticket.

The monthly profit is the net credit of the portfolio, and the remaining long option.

Apri P&L = $1,270 + 1 contract of Rut May 380 put.

Closing all call position

The market is very strong. Investors are buying on every dip. To eliminate the risk associated with big upward movement, I just closed the last Apr/May 460/480 call for a credit of $5.1.

Total credit for the current portfolio = $1270

Right now, I don't have any upside risk, but i should have a black swan risk that is very unlikely to happen.

April 13, 2009 action

The upcoming earnings will have a big impact on the movement. To reduce the impact, I closed one contract of May 380 put at $4.3, and closed 4 contracts of Apr/May 460/480 call at $6.4

Total credit today = $2990

Total credit for the portfolio = $2990 - 2160 = $830

[edit] I sold another Apr 470 call and 2 Apr 480 call at a debit of $0.7

Debit for the trade = $70

Total credit for the portfolio = $760

I am trying to close all RUT options by the end of the day.

Gamma risk

The big movement hurt the portfolio a lot today. When it is close to expiration, the gamma risk increases exponentially.

I closed April 380 put at $0.25 today.

Total debit today = $25

April 8, 2009

The portfolio looks very good today. The current delta is close to zero.

The market is expected to go up with low volume tomorrow.

Taking advantage of pullback

With an increase of volatility today, I sold 1 contract of ES April 700 put at $1.4 and 1 contract of ES Apr 695 put at $1.1 with my future account.

The market is still bullish in my opinion. A pullback will neutralize the overbought conditon, and the market can go higher.

Total credit today (excluding commission) = $125
Total debit for the portfolio = $2,135

reducing gamma

The market is regaining the momentum for now. To reduce gamma risk, i just bought a bull spread Apr 470/480 at a cost of $2.8.

Total debit for this trade = $280

Total debit for the portfolio = $2260

position adjustment

Since we are closer to the expiration, we have to start managing gamma risk. Yesterday the momentum was very strong and so i made an adjustment to sell 1 contrat of RUT Apr 380 put for $2.10. Friday price action will determine how i should adjust my position next week.

Credit to account today = $210

Total Debit for the portfolio = $1980

portfolio adjustment

I sold one contract of RUT Apr 480 call at 1.9.

I bought 2 contracts of RUT Apr/May 390/380 put at 6.9.

Debit today : 690x2 - 190 = 1190.

Total debit for the portfolio (excluding commission) = 2190.

New position

i just bought 5 contracts of RUT diagonal 460/480 call at a debit of $2.0.

Total debit to the account : $1000

Free Options seminars

There are two free options seminars in Boston area by OptionsEducation.org. Option strategies and volatility will be covered in these two seminars.

closed positions on rally

I closed all my RUT APR calls today. I sold Apr 480 call at $2.77, and bought back Apr 490 call at $2.5.

Overall i made some money with Russell 2000 position this month. In hindsight, I made too much adjustment to reduce my risk and that in turns reduced my reward.

Current position:
1. No Russell position.
2. shorted SPX March Quarterly 575 put

No adjustment

I was out this morning and missed the chance to get out my RUT Apr 480 call. I will wait next Monday and see how it goes.

unwinding position

I closed RUT 370 calendar call at $6.60 this morning, resulting a loss of $295 for each contract, and i also sold RUR MAR 440 at $0.30 as well.

A gap up in the morning is the best case for me to close the April call options.

Unwinding the long position

Market is usually quiet before Fed meeting. I am so surprised that the market was so strong at close. I closed some APR 480 call at $1.0 this afternoon.

1. RUT MAR 370 call : ratio -1
RUT Apr 370 call : ratio +1

2. RUT MAR 430 call : ratio -0.25
RUT MAR 460 call : ratio -0.5
RUT APR 480 call : ratio 0.75
RUT APR 490 call : ratio -0.25

Position adjustment

I sold 20% of RUT Aug 480 at $1.1 this morning. Now my two positions are:

1. RUT MAR 370 call : ratio -1
RUT Apr 370 call : ratio +1

2. RUT MAR 430 call : ratio -0.25
RUT MAR 460 call : ratio -0.5
RUT APR 480 call : ratio 1.0
RUT APR 490 call : ratio -0.25

and I am delta neutral.

Out of fuel?

I was out till 3:00 pm. When i looked at the screen after i returned, it showed a lack of buying strength. It is very reasonable for a Friday session. The buyers have already committed in the last 2 sessions, and the short sellers have covered.

This is the first week that the market has a positive return on a weekly basis after a long decline. This news should have a psychological impact on retail investors. What will they do?

I don't know and i care less. I looked at my own position and adjusted. I sold RUT Mar 430 call at $1.05.

Currently i have 2 positions separately managed:

1. RUT calendar 370 call : No adjustment was made for this position.

2. RUT MAR 430 call ratio: -0.2
RUT MAR 460 call ratio: -0.4
RUT Apr 480 call ratio: 1.0
RUT Apr 490 call ratio: -0.2

Another trend up day

Today it is another trend up day. The market is strong but with lower volume. ES was above VWAP all day since 10:00 am. It was the sign that the buying strength was coming from retail investors and short cover.

Tomorrow is an important day for reversal confirmation. If DJX goes up another 100 points, it is likely that we won't see another lower low in March.

The calendar position looked well this morning but the gain has disappeared by the end of the day. The position was a neutral position with slightly positive bias, but the market was too strong today. Adjustment has not been made yet. Lets see what happens tomorrow morning.

Daily comment

The market started with bullish run, but failed to sustain. Overall the market is sideway as expected.

SPX stayed at around 720, a level of resistance. To sustain the rally, SPX needs to stay above 715 tomorrow. I am neutral-biased for one day, but I think the market might fall again next week. Lets see what happens tomorrow and we will devise the plan.

The calendar position looks well. I should give myself a good score for "sideway" expectation.

calendar for short term

Longed RUT calendar 370 call at a debit of $9.55. I expect a sideway or smaller rally in the next 2 days.

bottom fishing with too tight stop

longed nq this afternoon at around 2:37 pm at 1046 near the bottom of the day with a very tight stop at 1044.5. Got stopped out within 10 seconds.

This was a good trade for bottom fishing, but the stop was too tight. Although the stop was put near the bottom, it was too tight considering the 1-min range was 2.5 points at the time the trade was entered.

I should set a wider stop for bottom fishing!

gross profit: -1.5 points today.

e-mini day trading

Today I started day trading e-mini again. Unlike trading options, there is no historial evidence that i can make money with trading e-mini.

For the purpose of developing multiple strategies to make money in this market, I think it is a very good idea to trade e-mini intraday while trading options for a longer term.

NQ (Nasdaq 1000 future) seemed weaker today, but i expected a reversal before close. Expecting a sharp reversal at around 3 pm, I longed NQ at 1046.5 at around 2:55 pm. A sharp reversal didn'tcome and so at 3:05 pm, i covered it back at 1047. The reversal came after 3:30 instead. Too bad that i was out and didn't catch the 3:30 reversal.

Gross profit +1 point.

trend down day

This is a classic trend down day without any leadership.

I covered part of RUT Mar 460 call at $0.1. Tomorrow is likely side-way or 50%rebounce.

Current position:
RUT Mar 460 call ratio : 0.4
RUT Apr 480 call ratio : 1.0
RUT Apr 490 call ratio : 0.2

position adjustment

sold 40% more RUT Mar 460 call at 0.45, and sold 20% of April 490 call at 0.7. Trying to achieve 2:1 short long ratio.

After the adjustment, i have:

short Mar 460 call ratio 1.4
short Apr 490 call ratio 0.2
long Apr 480 call ratio 1.0

real estate investing

With historical low mortgage rate, it might be a good time to buy a house or move up. Why would i say that when many economists are predicting further decline in home price?

The cost of owning or holding a house is determined mainly by the mortgage rate, and not by the price of the home. With the current rate at around 5% for 30 years fixed mortgage loan, the monthly payment is affordable for most people. Nobody can predict the top. Nor anyone can predict the bottom. If you can predict the future with certainty, just buy or sell the real estate derivatives offered from CME. For most investors like you and me, we don't really know the future.

Lets look at the math here. When I bought my first home in 1997, the rate was 8%. Lets compared the monthly payment for a loan of 5% and another loan of 8%.

The monthly payment for a 30 years fixed loan of $100,000 at 8% is $733.76, and the monthly payment for the corresponding 30 years fixed loan at 5% is only $536.82. A loan amount of 75,000 at 8% will give a monthly payment of $550.32. What does it mean?

Lets assume it is a 100% loan for buying a house to simplify the argument here. Suppose the house price will drop another 25% and the interest rate will increase to 8% 2 years from now, your monthly payment to buy a home now is still lower than the monthly payment if you will buy it as 25% lower price 2 years later.

Of course this is a simplified argument. Investing is dynamic, meaning adjustment should be made when environment favors proper adjustments. Real estate investing requires proper adjustments such as cash out, refinance and pyramiding. Consultation with financial experts in this area will help you building wealth with real properties.

After market close

Market is weak with bad news from C. Open gap is not filled today. S&P 500 broke down the 740 level, and Russell 2000 down below 390 level.

No adjustments have been made today, but I will adjust the position next Monday.

Intraday outlook at 11:30 am

Although the market looks ugly, i think the market will have a rebounce at close today.

general market movement

The relative strength comparison didn't look well. Nasdaq didn't have any leadership today. S&P 500 didn't close above 760 level. It means the possibility of breaking down is a lot higher than 2 days.

I haven't made any adjustment to my option position yet. The probability of losing is a lot higher now. I will make adjustment in the coming days.

Study of Russell 2000

Lets look at Russell 2000 from a longer-term perspective. There is a lot of symmetry in the chart.

1. There is a top at 519 on 1/6, and there are 3 shoulders at the left with only 2 shoulders at the right. It is questionable the one at 2/13 is S3. Assume it is not, we should have a rally back to create a S3 in the near future. S3 should be at around 433 level, that is also 50% retracement between S1 and the recent low.

2. The height from 1/6 to the low of 1/20 is almost the same as the height from S1 (1/28) to the recent bottom (around 394.58). Based on the Fibonabbi extension, the 100% down leg is almost fulfilled, and a rebounce is expected.

In conclusin, the first target should be 433, and this analysis is confirmed wrong when RUT drops below 392 for more than 2 days.

What is the "right" move

The market is irregular but is always right. Never argue with the market or you'll lose money.



Current positon:

short RUT Mar 460 Call
long RUT APR 480 Call