A Reversal? 10-30-15

A overnight pop up was sold off at before the US open. I heard the pop of last night was in anticipation of BOJ to feather easy its policy due to lower than expected econ data. ES/SPX went through some wild swings. It broke both side of IB and closed to the downside.

My rollovers worked out as planed but not without difficulty and anxiety. I opened my new positions in ETB than price went up so I couldn't get any credit to close my current week's positions. Luckily the afternoon sell off helped. My 2090 call was in the money during the mid of the day which made me worried about losing on it. Then my exit order was hit early afternoon. I was at lunch and didn't have a chance to lower my 85 price as I intended. The position was ended OTM. Well, that's trading. I can only plan and control my action. At least I collected $3100 premiums today which is better than last week's of negative 2.3K. I should realize some gains next week if we get a pull back next week. I still get emotional during the rollovers. However, I realized my emotions and kept reminding myself to stay calm and stick to my plan. I am getting better at it.

A Little Pull Back Helps 10-29-15

ES pulled back about 10 points overnight out of 30 point range from yesterday. It parked on top of current balance high. It could be a recheck of the b/o point or initial rejection of the retest August b/o point. It's important to see if it would stay inside of current balance. The entire ES VPOC is right at 2084.5 which was touched to the tick before closing yesterday. We may see a retest of the VPOC again, above is 2100 of CLVN and August b/o area. Below is yesterday's range, then the range low of 2050 area.

My plan is to close my RUT calls of 1190 and SPX 2090 expiring today and tomorrow. Also prepare for SPX ITM roll overs. The key is also deleveraging.

Bulls held up well today. ES couldn't even get back to the value area of yesterday. It was 10 points, small range day for ES, more like a base building than a pull back. NQ already made a new high. Would other follow the suit? RUT had a 1% pull back. I was able to close my 1190 call spreads for a 90% profit. I rolled my SPY ITM calls for this week to next week and Nov 3. I don't think there is much difference to roll ITM positions in theta for a day to expiration to the same position to next week. So I rolled a SPX 2040 to next week and collected $390. I will be so busy to tomorrow to roll about 9 positions cross my accounts. Hopefully 2090 SPX will be closed tomorrow. It's right at money now.

I will keep calm and confident to work on my rollovers tomorrow. It's all temporary loss and I will make it back.

The Worst Case Scenario For Me 10-28-15

As expected Fed didn't raise interest rate. Market initially sold off detecting slight hawkish tone in Fed's statement. Buyers stepped in when ES/SPX retraced to near yesterday's low. Bulls gradually pushed all indices to day's high. SPX/ES closed right at August's breaking down point. It looks like 2100 is the next target. My worst case scenario is the reality now. All of my calls are ITM or underwater. The next two expiration days are going to be struggle for me.

I sold couple SPY puts to fund rollovers and reduce margin. I had to buy some Nov 3 far OTM calls to fend of the naked bear calls. There are less puts than calls over all after taking profit with some puts. I must close my RUT this week's calls in ET to raise margin and prepare for Friday's rollover. This last two month has been tough. However I have learned some ways to deal with it. I must remain calm and confident to get though this tough period.

No Deck Clearing? 10-27-15

Normally couple days before FOMC markets go through large swings to explore directions, we call it clearing deck. As of today it hasn't happened. Yes, the expectation of rate change is very low. Maybe the market has no fear of it. The big guys are either sucking in more buyers or ready to take the market higher. We will see their true intentions in next couple days.

I closed couple RUT bear calls and sold a 8x put spreads for Dec 1. I don't have any room to deleverage SPX calls. I have only 6 put spreads in the next 2 weeks but IB is showing that I have to pay over $2 exposure fees. There are 17 sets of put spreads in RUT. 6 of them will expire this week.

My risk levels are still higher than expected. Leverage is at 0.47 and margin ratio is barely at 30%. I placed some orders for tomorrow to bring them down.

A Day of Holding 10-26-15

It was an inside day within last Friday's range. The deck clearing action before FOMC hasn't happened. Maybe market is not expecting a rate hike at all. It appears no fear of it. A federal budget deal is reportedly near complete. We may see another pop with some good earnings report. Everything is rosy again. SPX is ready to test August broken down area. NQ already past that point and heading to a new high. I may have to roll my ITM calls again at end of this week. Market can be extended in either direction for much longer than people expected. SPX has gone up 10% in four weeks since the retest of low.

I was able to close couple RUT calls with a small profit and reduced margins. But the ITM calls are still heavy on risk side of it. I had to buy couple more far OTM longs to reduce margin requirement.

I feel like I need to redefine my trading rules. I have made some changes of my setups after the August crash. It need more clarity.  

The Crush Up Continues 10-23-15

Google, Amazon and MSFT earning report pushed the market up 15 points after hour yesterday. Overnight China Central Bank lowered its rate and reserve requirement. Market had another steroid shot and popped again. My 2040/70 spreads were fully in the money by the open. I followed my plan mostly today. The only mistake I made was that I didn't close my 2040/70 expiring position right after I opened next week's replacement. SPX/ES kept pushing up after initial pull back. My target orders never get filled and will get assigned at a full loss. A mistake cost me $2100 (3000-2320x3, plus commission. I rolled IB positions earlier and collected some premiums. I don't know if I will be able to recover the losses next week. I will continue to roll and collect premiums using Tyler's strategy.

My risk parameters were irroting quickly as I am heavy in call side. Available funds were barely above $20K after I bought more long calls to reduce the margin and leverage is back to 50. I have to deleverage again if we open up on Sunday night.

It's been a frustrating week. I will review the market and my activities on weekly review tomorrow.  

Big Surprise !!! 10-22-15

Futures turned up on ECB meeting announcement keeping European rate unchanged. Yesterday's down turn got totally reversed. I underestimated the situation this morning. I was expecting the pop and drop pattern to play out. I quickly added a SPX 2060 bear call for 1 DTE thinking to get a quick scalp. The thought of not to play such short dated options came up as a rule of mine. My bad habit of close eyes and jump took over and I got filled for $1.1. Market turned out to be a trending day and when as high as 1.5% before closing. Then Amazon and Google reported earnings that made ES shoot up another 15 points.

My plan/wish from yesterday are out of windows now. I have to plan to roll over my 2040/70 calls now. I will roll the 2040 in IB up one more week to collect a little premiums which I bought long calls to make it a wide spread. The difficulty is laying in ET positions. Both are 3x spread which is hard to roll. I will have to close the positions and open another set. Good thing I didn't make another mistake adding more positions today. I reserved some margin in ET for tomorrow's roll.

A Much Needed Break 10-21-15

ES pushed through yesterday's high overnight but got rejected after European market opened. The pattern of the last three days finally broken. SPX/ES closed below current balance area. We may need one more down day to confirm it.

I had 15 trades across all accounts. Closed some positions and opened some new ones. Overall IB account is deleveraged. The margin ratio is near 54% for the first time. Leverage is at 33. It appears that margin ratio is not quite related to leverage levels. For example the margin ratio is up 7% but leverage is only reduced from 34 to 33. If margin ratio is safe at and above 50% then what would be a safe level of leverage?

Tomorrow is critical for 3 of my 2040/70 bear calls this week. They have been underwater for a long time and my near b/e exit orders are still not hit. I have until Friday noon to close them but I would rather to exit out by tomorrow.

The Same Pattern On 3rd Day 10-20-15

The pop, dump and pop pattern played out on the 3rd day today. ES/SPX pop early in the session to break overnight high and closed the gap of August 21, the beginning of the big crash. The rejection after the gap closing was pretty swift, taking ES to its overnight low. Such round trip actions for the last three days may be indicating a tug war between short term bulls and bears. Bollinger band is squeezing tight also. Also the signs point to a near term break one way or another. My hope is to break it to the down size since market has not had any meaningful pull back and I am positioned heavy on the bear call side.

I had only one trade to close a bull put spread in ET. With such range bound actions theta continued to work in my favor. IB account's risk parameters improved somewhat. Margin ratio is up to 47 and leverage is down to 33. I am prepared to roll my SPX 2040 bear call spread by this Thursday unless we get a meaningful pull back in the next two days.

A Possible Pull Back 10-19015

It was the Black Monday almost to the day 18 years ago. DOW dropped 22.6% in one day. Be ware that Oct has a tendency of wild moves for the market. My main task is still reduce size and leverage.

Futures went down in less than 0.5% overnight. ES and RUT traded inside of last Friday's range. I will wait to see if indices break their overnight low or high and Friday's ranges to determine the direction of the market. We could see a range bound day in this bull flag pattern. I plan to exit some of my threatened bear calls expiring this week while theta decays.

Had 10 trades today. Closed on both call and puts in SPX and RUT. I made my initial margin below $100K and leverage at 34. The margin is still at call side as market continued to hold up. The margin ratio is at 45% and I have 5% more to work on. I need to get use to smaller size now.

Weekly Review 10-16-15

Market continued to melt up after a brief pull back. ES/SPX closed above Sept FOMC high. RUT is behind the rest of the indices but may test Sept high soon. The snap back is pretty strong and late shorts have been squeezed.

My week ended with profit of $2.9K, a 0.18% return on portfolio. It was about $1k less than last week with couple of losses on call side. My margin is still on the call side most of time. The deleveraging plan has not progress well. My goal is to keep leverage below 3 and margin cushion around 50%. I plan to achieve the goal by end of next week.

The straddle paper trade is in progress and no result yet. My earlier entries were not rule based and didn't have tracking data. I made a tracking sheet this week and will work on the straddle strategy seriously.

Up and Away 10-16-15

Indices stayed up overnight as European market stayed positive. Yesterday's pattern played out again. Market squeezed short and pushed to new high of the day before closing. I was able to close couple bear calls early in the morning since my margin went into negative pre market. I was puzzled by the figures as I had over $40K available funds last night. However my current margin rate of 25% is not enough. I need increase it to 50% to be safe. I am still call side heavy while the market keeps malting up. I may have SPX 2040 and SPY 204 go into money next week. I need to figure out a better way to roll.

I made a tracking sheet and entered couple more straddles in paper trade. It may be a better way to use my margin. I will monitor how it works.

Reversal Again 10-15-15

Market started as if it was going to be an inside day or even continued moving down like the last two days. After an attempt of selling before lunch indices reversed to the upside breaking into next balance area above. ES  and SPX closed above Sept FOMC high of 2010s. RUT still has some distance to Sept's high despite a 2.3% pop today. Trades believe there won't be a rate increase this month.

Some of my puts were closed during the push up. I got some call orders filled unexpected due to the same reason. I had to close this week's 2030 calls at $200 loss due to the strong push to near the money. The premium jump from 15c to $2.45. I had to buy it back since this monthly options won't close until Friday morning. Another lesson learned on Gamma risk. Luckily I closed the similar positions in all of my other account yesterday with profits. For whatever the reason I left this one on yesterday. I thought I was safe this morning and left it alone until early afternoon. I started to get concerned when the price was hanging around 50c. I thought the market makers would give up before closing. I tried to roll it to next week about 15 min before closing but couldn't get filled until cash closing. I switched to buy back. It was a lose could have prevented. However I had a plan of 2 steps and I follow it. I didn't panic which is a noticeable improvement. I have deal with several similar positions next week. It may be tougher to deal with since market reversed to the upside. I will hold until late part of the week to roll if my target prices don't get filled.

Managing Positions 10-14-15

US indices stayed below yesterday's range overnight. ES is attempting to push back to prior balance range of 1997-2015.  It could explore below 1995 to 1960 and make the two small balance area into one before goes next balance area. My plan is still deleveraging my positions. I will continue to evaluate these straddles in paper trading.

Market played the pump and dump similar to yesterday. I was lucky to sell a bear call in SPX and a call spread in RUT before the dump. All of my calls for this week were closed in the other accounts. They were near ITM (2030s) for awhile but came down fast for the last couple of days. I didn't want to risk of a surprise pop although I could have canceled my orders today. I will continue to exit out my bear call spreads using this pull back.

My paper trades of straddles are not moving alone. I didn't follow the rules on the first batch of entries. I was being cute. I expected the market would go down again so I entered the first batch 10 points below the ATM price. Then market kept going up for 6% last week and left my positions upside down. I need to follow the rules and keep records of my paper trade.

Need a Pull Back 10-13-15

US indices futures retraced to two days' low range overnight with European market in negative territory. The next balance area is between 1990 to 1950. It's likely that we may see an retrace in ES if we break below 1996. I plan to use this pull back to add some puts in my other accounts to form ICs. I will continue to deleverage my main account. Also I want to continue to test the straddle strategy back tested by Frank to see if I want to implement it.

It was a wild day as the indices broke both overnight high and lows, also both last two days' highs and lows. SPX and RUT closed with a bearish engulfing. It appears the bounce back is over for now. I made most of my puts side of ICs in other accounts. I may be too early as it was the day one of reversal. I will be more conservative moving forward. My leverage is down to 3.5 and margin ratio is at 71%. It needs to be below 50%.  The calls and puts are balanced after today's reversal. Now I have to watch the puts side.

 

A day of waiting 10-12-15

It's Columbus' day. The market is very slow but holding up. It looks like that Last high of Sept Fed high will be taken out. Then a sell off could follow with short term bulls getting their target. I will just play alone with the market.

I took off couple positions to reduce my margin. It wasn't enough on VAR and ES. Leverage is down to 3.8. I still have more work to do in deleveraging. I made another mistake while trying to roll up a SPX Oct 4 put for more premiums. I made a wide put spread of 1860/1630 instead of close the 1750 position. Now I have to the old position soon. I placed some GTC orders to close my underwater calls in hope to break even. I will deal with them when near expiration if not closed by then.

Weekly Review 10-9-15

It was a week of revenge by bulls. Indices ramped up by at least 5%. I have been heavy on bear call side using Tyler's concept of "market won't crash up". Well, it was a melt up. Most of my bear calls are underwater. Some of them are near ITM by the end of the week. I will apply patient to my roll over decision and wait until 1-2 days before expiration to roll my positions. I have been rolling up my puts to collect more premiums.

This is my first week showing $3.9K profit since the last week of August. I have been monitoring my risk parameters closely. My goal is to bring my margin below 50% of my net liq value as Karen suggested. It's dangerously at 75% right now. I created a Risk Monitor sheet to watch my risk levels on a daily base. I am still debating and studying weather to use spreads, naked or a combination. DTR Trading blog has done some valuable studying which I am still reading.

My plan is to reduce my margin/net liq ratio to 50% next week. I will learn to use TOS to construct a risk profile of a 20% crash and 10% pop scenario.  

Relentless Bulls 10-9-15

Bulls are firmly in control. ES touched Sept's FOMC high overnight. It kept trying to take over during the day session. ES/SPX didn't close above it but they closed near it. It's the 7 out 8 up days since the retest of August low. RUT has some catch up to do.

I was trying to reduce my calls. I closed two RUT Oct 5 to reduce my margin. My SPX bear calls are much more close to ITM. I will deal with them next week using Tyler's concept. My leverage is still above 4 and initial margin remains high. If I remember it correctly Karen keeps her initial margin below 50% of her net liq value. I will review her interview again to make sure of it.

Jobless and Fed Minutes 10-8-15

Jobless claim is reported at 263K vs 274K estimated at 8:30 am. Futures didn't react much one way or another. Overnight, ES traded within the range of yesterday. It appears that market is waiting for Fed Minutes. It normally is not a big market mover. But I remember that the sell off in late August was started after the Fed minute release. Expect a choppy morning and a possible break out one way or another after the Minutes release.

My plan is to continue deleverage. Looking to close both calls and puts. I closed some puts before lunch. My orders for exiting calls didn't get filled during my visit to CT scan and doctor's office in the afternoon. Market broke out to the upside after FOMC Minutes released. SPX/ES closed near the high of last FOMC announcement. Most of my calls are underwater now. I will need to deleverage from the call side tomorrow and add some puts to pay for the calls. It feels the market is extended but it can stay that way for a long time.

Relentless Bulls Again 10-7-15

Bulls are still in control. Indices gaped up this morning again. Gaps were closed after briefly in negative territory bulls took over again. SPX and RUT closed above yesterday's highs. It appears that the big money is positioning for tomorrow's jobless claim and Fed minutes. It could go either way after the two events tomorrow. We have had 5 out of 6 up days since the double bottom test.

I didn't get much deleverage done today. Closed one more RUT bear call and rolled up a SPX bear call from Oct 3 to Oct 5. My initial margin is still too high relative to my net liq. Leverage is at 0.38 which should be below 0.3. I need to place some exit orders in the morning since I have a doctor's appointment and CT scan in the afternoon. It will take the entire afternoon out.

I continue to study straddles as a possible trading tool. DTR Trading has published some studies I find very helpful. The paper trades I placed late last week have not yield any profit since the market has been up most of time.

Holding In A New Balance Area? 10-6-15

Market took a breath today. SPX/ES traded in the higher part of yesterday's range. All majors closed down slightly. Market appears in a waiting mode for earnings and FOMC minute this Thursday.

I didn't add any new positions on either side. I only rolled up some puts to collect more premiums. Get to watch out risk. The last sell off was started after August FOMC minutes. My risk perimeters are not low enough. VAR is still over 6oK and initial margin is still 3/4 of my net liq. I should keep it at 1/2 or lower. This will be my work tomorrow.

A Follow Through Monday 10-5-15

It was a gap up day following last Friday's reversal. SPX/ES are back into the balance area of FOMC and closed the gap. The short squeeze was pretty hard and indices are at some important levels. ES touched Fib 78.6% on daily from FOMC high and crossed 50% RT from the broken down on weekly. RUT is right at Fib 50% RT on daily from FOMC and 50% on weekly from the broken down week. We may see some selling pressure at these levels near term. I think there is a good chance that the bottom is in technically speaking. The immediate risk for me is a melt up. I sold more calls last week. Some of them are underwater now. I will continue to monitor my risk perimeters and try to collect more cash while rolling away from current positions.

I tried to roll up some puts to get more premiums but only one for this week got filled. Sold couple more bear call spreads for RUT since it's the weaker one and was up 2.4% today. I am too heavy one call side now. I will try to reduce some tomorrow.    

Monthly Review 4-10-15

The worst month of draw down so far is closed with a -$47.6K. I had the highest number of contracts (300) for this month since I was implementing the two sets of trades per week in August. It hit me the hardest.

Some lessons I have learned:

1. Keep the size small. Watching the levels of Net Liq value and available funds. I need to figure out what is the safe level for each naked put/call and spreads at 5X, 6X, etc.

2. Pay close attentions to the areas which I don't quite understand. For instance, I wasn't quit sure the meaning of 1.5 leverage before the down turn of late August. I had suspected it was too high. I didn't dig into it to get it clear, nor took actions to reduce it.

3. Spell out my suspicious or subconscious. There were several issues related to potential risk I was worried subconsciously before the crash, such as the VAR and ES numbers in Risk Navigator. I noticed it was indicating that my portfolio had over $100K risk exposure and even larger ES (Expected Shortfall). I didn't understand how IB calculated the figures and it seamed unrealistic. I thought I was safe since most of my positions were in CS which has limited risk. It's true that CS saved me from a total wipe out. It also shown the shortcoming of the setup. It's very difficult to roll over or defend when vol suddenly pops.

4. Take actions when suspecting dangers ahead or roll back to a safer positions when not clear with risk perimeters. If I had done part of that my S-5 account won't had been liquidated. I had the feeling of I had more positions on (8/10) for a while. I meant to ask S-5 to clear the margin requirement of each contract. But I never did. I wanted to reduce my size down to 5 out of 10, I waited too. I was hoping to implement it by letting them expire. Then I didn't get that chance. Now is 50% available funds a safe number to have? It's very hard to figure out a model when vol goes from 15 to 50 in a matter of 2 days.  

I have to work harder to the risk control measures with Greeks and volatility changes. Until I figure out a reliable safe ratio I won't be safe.    

Weekly Review - A Turn Around? 10-4-15

The week started with a gap down on Sunday night attempting retest the August low of indices. RUT actually went through the the late August low to 1075 on Tuesday and bounced back. It looks like a successful retest if we can hold the new low on another test. SPX/ES retested the closing of 8-25 and also bounced. NFP on Friday caused a large swing from down to up. Indices closed at high of the day overall.
The bullish engulfing pattern has not played out often to the upside according to my memory. So I will take a wait and see approach.

This week ended with a realized loss of $5.2K again. It should be near the end of my losses from the black Monday. My recover continues slow and steady. I am less than $2K in the hole now. I have been playing small in size and learning more of risk control measures. I kept leverage below 4 and available funds above $50K for the week. My margin is on the bear call side most of the time based on the assumption of market doesn't crash up but crash down. I continued to adapt new methods to improve my risk control and returns. I am still learning. I also started paper trading straddles. I want to learn how to handle losers before put this strategy with real money.  

What Does Low NFP Mean For Market? 10-2-15

The NFP is 142K vs 203K expected. How would the market interpret it? Lower number means likely no interest rate change. On the other hand it's an indication of weak economy. So far, futures market is down 1.5% before open. The lows of last two days are broken. We may test the weekly low of 1865 area with a gap at 1876. We may trade back to the lower balance area if we closed below 1880ish.

My plan is to collect some profit on the bear call side and may be add small size puts for IC or Strangle. I must keep enough dry powder before end of today for the weekend.

I am paper trading Straddles to see how it works in current market conditions.

Wow, what a swing day! Indices fall below last 2 days range after the poor NFP numbers. The next logic is to close last Tuesday's gap around 1875 for ES. Instead buyers stepped in to defend the top range of that Tuesday's high and started to push up. I kept looking for the "logic" places for bears to step in. It never happened in a meaningful way. All indices formed a bullish engulfing today. Bad news is good news again now. It's likely we will see a follow through on Monday.

I moved up couple of my short puts to collect more premiums and widen the spreads. Now I have incorporated Tyler's collecting more premiums into my practices. The key is be safe first. I sold more bear call spreads across my accounts. I didn't expect the market could turn up so much. It appears I was too early. However, I maintained my POTM rules and stayed above Sept FOMC highs. I will deal with my risk if this is a true turnaround.

The Day Before NFP 10-1-15

Indices futures went up to close Monday's down gap overnight. Overall, expected today to be choppy before NFP tomorrow. Trades were up and down to clear decks. US indices closed slightly higher. SPX/ES is back to prior range of 1910-80. They are positioned to go either way after tomorrow's NFP.  The down trend is still intact but we may have a short term up swing. Daily MACD is turning positive. SPX has formed higher highs and higher lows since this Tuesday test of 1870. RUT is weaker than SPX. If market closed up firmly tomorrow and hold well on Monday we may have seen a successful retest of August lows.

I closed most of my shaky puts for next week which were entered before the Black Monday in August. I tried to roll down some long puts in my 2x, 3x spreads to widen them to 5-6x and collected some additional premiums. It was inspired by Tyler's concept of continuously collecting premiums. I closed couple of bear calls to increase my margin and reduce leverage. The available funds are slightly up to $56K from 52K and leverage is down to 3.3. One thing I am not clear is VAR and ES. I will call IB or check if any updated video on this subject on its website.