120917 Weeklys Trade


A useful idea may be to track 5 short-term trades simultaneously:
5-week expirations

The problem is that this would be quite time consuming. But, please tell me what you think. Is this worthwhile. I will NOT begin this week.

Sep 17

Unless I find the setup to be extremely attractive, my plan is to pass today and open position tomorrow.

The reward for being in the trade one day longer has been minimal. Translation: When the market is unchanged, the profit for holding Monday is too small. Let’s see what opening Tuesday does for us.

8:32 am.

The trade I would choose is:
RUT 835/840P; 875/880C.
Midpoint 1.18
Anticipated fill price $1.10 or $1.15

8:34 am
Midpoint has already declined to $1.12

If I were not filled, I would cancel.
The morning’s decline is not holding. It’s not that I want to predict direction, but the 875C carries an 18 delta. In light of recent market activity (too bullish), this is not the right option to sell, unless the puts are also closer to the money.

For some reason, the 885 calls are not listed for trading, and the 880/885C spread would be my preferred spread to sell.

Sep 18

I missed the RUT spread. Too cheap to sell, IMHO.

Looking at SPX

a) Tried 1435/1440P; 1475/1480C. No good.

b) 8:40 am Moved farther OTM: 1430/1435P; 1480/1485

The bid price 2.20 credit, making the mid $1.10. I cannot get filled at 75 cents.
This SPX, OTM Weeklys is one miserable market for trading.
Anyone trading SPX this week?

Something is wrong. I show the market to be -2.25 to +.45.
To me the real market is something like -2.25 to -.10
And I cannot get filled at -.70. That is far below midpoint.

8:50 Made a trade

RUT = 856.61; RVX = 18.65; 10-lots

Premium 60 cents
RUT 835/840P (delta 14)
RUT 875/880C (delta 8)

It is not easy to make these trades delta neutral when the delta difference between the strikes is as high as 7 points.

Sep 19

Risk Analysis: The short deltas are 10 and 6; the futures are almost unchanged. Looking good. Willing to pay 15 or 20 cents to exit (whole iron condor) today.

When I look at the track record, I am reminded (once again) how much damage one bad trade can inflict on a trader’s results. Risk management remains the name of the game, in my opinion.

2:36 pm; RUT = 856.12; RVX = 17.86

The put spread (delta 9) is offered at 15 cents
The call spread (delta 2) shows no offer, but the 785 calls are offered at 10 cents.

I can pay 25 cents to exit. That is just too rich for me.

Sep 20

Bidding 5 cents for call and put spread

8:31. Bought call spread.
Puts carry an 11 delta. OK for now.

11:55 am
RUT = 847.79; short delta is only 9, but with market drifting lower, I want to exit today and not risk a gap opening.

Raised put bid to 10 cents.

1:53 PM filled at 10 cents.
Paid 15 cents to exit.
Profit $450 before commissions.

7 Responses to “120917 Weeklys Trade”

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