Weeklys 3

Aug 20, 2012.
To shorten the information on this page, I’ve cut it into sections. Everything prior to July 1,2012 is on Weeklys2 or Weeklys3


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Aug 27, 2012; 8:34 am; RUT =812.47 RVX = 20.89.

ONE
Traded RUT Iron Condor; Credit $1.15
790/795P spread
825/830C spread

Only filled on 2-lots. Order was for 6-lots; Canceled balance

TWO
8:38 am; SPX = 1412.61; VIX = 16.17

Traded 10 lots of SPX iron condor; Credit $1.00
1385/1390P
1430/1435C

Aug 29

2:04 pm covered 2-lot RUT put spread at 5 cents. RUT ~ 818.

Aug 30

8:30 am; RUT = 813.
Covered 2-lot of RUT calls by paying too much. 20 cents.

Bidding 5 cents for SPX call spread.

11:08. Bought 10-lots of the SPX call spread @ 5 cents

With SPX at 1399.5, the short put has a 27 delta. The market for the spread is $.70 to $1.15. More than I want to pay right now.

2:13 pm; SPX = 1402; The 1385 put has a 22 delta; market: $0.70 to $0.75

I have two thoughts

  • This thing expires at the opening tomorrow and it’s more than 1% OTM.
  • I’d like to cover and avoid overnight risk, but this price seems high to me

I still have time to decide.

3:03. SPX = 1399.78. I am not paying $1. That feels wrong. I recognize that a down gap tomorrow will be bad, but $100 does not seem right as the cost to acquire safety. It is a judgement call. The delta is ~27.

Any comments?

Aug 31

8:31
Paid 30 cents. Thrilled to be out.
Began at 15 cents and raised bid 5 cents every 10 seconds.

1. Trades initiated during the week of Aug 20, 2012

Aug 20, 8:33 am

RUT = 817

RVX = 19.11; VIX = 14.31

Not easy. I prefer to sell the 835/840 call spread, but the bid is too low.

Traded (filled on 5 lots of my 10-lot order):
Credit 1.00
795/800P
830/835C

8:38 am
Filled on all 10-lots

SPX

Considered an SPX (SPX 1415) iron condor, but the price was too low: It has moved up by a dime or so. But I’ll stick with RUT for today.
1390/1395P; 1435/C1440

Aug 21

9:11 am. RUT is almost 824 and the short call (delta now 30) is only 1% OTM.
This is one of the reasons that RUT is more difficult to trade than SPX. While RUT has rallied by almost 1% today, S&P is higher by one half as much.

For now, doing nothing. I did enter a 5-cent bid for the put spread, with little hope of being filled.

9:48 am. RUT = 827. Too close for comfort.

a) I entered a bid for the call butterfly: 830/835/840. Bid as high as 60 cents. No fill. Cancelled. This trade would only move my short calls five additional points, and that does not feel like enough.

    ADDENDUM: The objective in trying to buy the butterfly spread has nothing to do with butterfly spreads

    The trade is a roll down. I was trying to cover the 830/835 spread (yes, at a loss) and substitute a new short spread: specifically the 835/840C spread. One cannot pay too much for a 5-point roll down becasue that new short spread is likely to soon be in trouble. Thus, I cancelled.

    I like to refer to the 5-point roll down as a butterfly becasue the order that represents the 5-point roll down is a butterfly.

b) Bidding $1.60 to cover two-lots of the call spread. Willing to spend some money to cut risk becasue risk is far more important right now than worrying about coming out of this trade a winner.

9:56 am. RUT = 826
Lowered bid as market falls.
Bought one-lot at $1.55 (they would not fill me on the two-lot)
Bidding $1.50 for one.

10:05 am. RUT 826. Paid up and bought both for $1.55.
Now short only 8 lots of calls.

I added the promised links above.

Trade credit now $690, less commissions

12:54 pm. RUT = 816

The call spread is now available at 40 or 45 cents, making the adjustment a nice loser. But, better to lose by cutting risk than by taking a chance. I’m pleased that I only covered two lots.

Aug 22

I am bidding 10 cents for the 8-lot of calls and the 10-lot of puts. I am willing to pay more to exit today.

1:41 pm; RUT =813. RVX = 18.86

Bought 6 call spreads @$0.10.
Raised put bid to 15 cents and bought 4 lots.
Looking good after a very rocky start.

1:45pm

Bought remainder of put spreads at 15 cents.
Still short two call spreads

1:58pm
For $10, I do not want to fool around. Paid 15 cents to close the last of the open positions.

Net cost to exit: $310 + $.90 for the calls and $150 for the puts. Total: $550. Profit: $450

Trades for week of Aug 13, 2012

8:36 am
RUT = 800
VIX = 14.08; RVX = 19.39

Traded RUT Iron Condor: $1.05 credit for
770/775P; 815/820C
Delta of short options:
~15 to 16.

Aug 15

Another quiet start for the market.

Bidding 30 cents to exit the iron condor. I do not expect to get filled.

1:01 pm
Filled. Paid 30 cents. Nice 75-cent profit.

Trades for week of Aug 6, 2012

Sunday Aug 5. 9PM
Will probably pass Monday and look to enter Tuesday.

Aug 6

8:36 am
SPX = 1397
VIX = 15.84

Filled at $1.15 (a few minutes later, I could have received about 10 cents more)
Position one half usual size

13.65/1370P; 1415/1420C

Aug 9

Market quiet.
SPX 1401; VIX 15.34
Entered 35 cent bid to exit the whole iron condor

[Note} Bid 60 cents yesterday – 10 minutes before the market closed. Not filled.

10 am
Paid 5 cents for put spread (I am ultra conservative when making this trade)

Entered a below-market bid of 25 cents for call spread.
It looks as if this one is starting to get away. Bu am not covering yet.

Was filled at 25 cents.
Total gain 85 cents (20% on margin).

Trades for week of Jul 30

8:33am
RUT = 798

Sold (10 lots): Expiration Aug 4
770/775P spread
815/820C spread
Credit $1.25

Trading to sell 2 extra put spreads at 45 cents. Filled at 8:38am
Aug 1

10:52 am
RUT = 783
For safety, rolled down put spread by trading the 765/770/775 butterfly. Paid 45 cents for some and 40 cents for the remainder.

Why? Delta was 33 and although that’s not ‘bad’ the short option was less than 1% out of the money. Another factor is that the original premium on the 10-lots was $1.25 and I decided to pay a small premium to give the trade a higher probability of being a winner. NOTE: I did place extra cash – the cost of the trade – at risk.

1:07 pm
RUT = 780
Bought 8 of the 10 calls spreads at 5 cents.

3:05 pm
RUT 771.20

Not pleased. I decided to hold (although I did have a bid in to by another butterfly. Did not get filled).

Aug 2

8:11 a. market closed

Felt good to see futures higher, but as soon as ECB began to speak it was all over.
I have no idea what is going to happen next, but Draghi promised much and delivered nothing.

I need to exit and take my lumps here.

8:33 am
RUT = 766

Paid 2.75 for 6
Paid 2.70 for other 6-lots

Ouch. Did I exit at the bottom? It does not matter. I made my choice.

Trades for week of Jul 23

8:06 am Market look treacherous. May not play.

8:43 am MM not playing. Cannot get fills 10 and 15 cents below midpoint.
This is a day when you would think that vega is easy to sell

8:50 am
RUT = 774.90

Could not get filled on iron condor. Legged into trade

Sold 740/750P spread (6-lots) @ $0.90
Sold 795/805C spread (6-lots) @ $0.95

Jul 25

2:50 RUT = 768.
Bought 795 calls. Paid 5 cents. NOTE: By covering only my short option, I saved on commissions. I would never pay more than 5 cents to make this purchase. Please, do not take this trade as a recommendation to leg out of these very cheap options.

Was bidding 15 cents for the put spread. It never went lower than 20 cents. Am bidding 20 cents now, but it appears to be too late.

Jul 26

8:30 am RUT 777.

Got lucky. Bought put spread @ 5 cents.
Sold the (now naked long) 805 calls at 5 cents.

Profit is $180, or 22% on margin.

Trades for week of Jul 16

8:36 am
RUT = 798.

Filled @ 90 cents
RUT 770/775P; 815/820C
Short deltas roughly 14

Jul 19

Nervous about those 815 calls.

8:36 am
RUT = 808.33

Paid 5 cents for put spread.

815 calls: delta 20 and rising.

9:14 am
RUT = 802.69

Delta of 815 calls: 9

Feeling lucky. Entered 15 cent bid to cover the call spread. I am willing to pay more, but will begin with 15 cents.

9:17 am. RUT = 802.79. Bidding 20 cents.

9:18. Filled at 20 cents.

Glad to be out. Profit: 65 cents, less commissions

Trades for week of Jul 9

Not pleased with most recent results, and will cut size by 20% to 8-lots.

8:33 am
RUT = 806.

Midpoint is $1.00. Asking only 90 cents, but cannot get a fill:
RUT 780/785P; 820/825C

8:42; RUT = 805.49
Filled; 90 cents credit

July 10, 2012

2:30 PM
RUT = 793

Once again we get the late Tuesday danger signal. The 785 put carries a 31 delta and is only 1% OTM. No action planned, although I am bidding 5 cents for the 825 call (not the spread; just the call we are short).

Jul 11

8:34am
RUT = 795

I admit it. I am concerned with a down market today.
Paid 70 cents to exit put spread
Paid 10 cents to exit the 825C; and offering the 830 call @ 5 cents.

Enough profit to cover expenses.

Trades for week of Jul 2

Collected only 60 cents for this short-week trade (Half day tomorrow and closed Wed)

RUT =800
8:34am

775/780P; 820/825C; credit 60 cents

This trade utilizes lower delta (lower than my usual) options: 13 and 10.

Jul 3, 2012

9:11 am
RUT is 812.39

I am not comfortable, and I do not understand why. The short call has a 25 delta, and I’ve held positions far longer than that. Perhaps it is the general upswing in RUT and my fer that it will continue. Perhaps it is that the US markets will be closed tomorrow and could gap on Thursday.

I entered a bid for the call butterfly roll. 35 cents. Probably not enough and I plan to go to 40 cents. But not yet.

10:25 am
RUT = 816.46.
Short call delta = 38

Something different. Converted this to a kite spread.

Bought 3 RUT 815 calls @ 5.80
Cancelled butterfly bid

Weeklys adjusted position. Jul 3, 2012

Jul 5

8:58 am CT
RUT = 815

Covered put spread at 5 cents.
Call spread under control at the present time.

3PM
Not liking the prices, I decided to hold into expiration. Usually a poor choice. We have a danger zone – based on the settlement price (RLS). We also have a small zone where we can have a decent win.

The problem is that employment numbers come out in the morning, and they have a chance to move the markets.

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