Weekly Review 11-28-15

It was a range bound but holding up week due to the Thanksgiving holiday. SPX held up well. RUT broke up to cross 1200 mark. Both are positioned to break the later Oct high or drop on the re-test. Too bad I have to leave next Tuesday. All of my positions are rolled to Jan 2 & 3 so I can deal with it when I come back.

It was a profitable week of $2K. I reduced some near the money calls to improve my risk profile. Most of my puts went into expiration worthless. My net liq/margin ratio is above 50%.. VAR is below $30K. I will buy more protections on Monday to reduce naked positions.

Tighten Lose End 11-27-15

It's the day after Thanksgiving, Black Friday. I closed the last SPX bear call of 2090 for 50% profit on the day of expiration. I sticked with my plan and didn't change my exit price. It wasn't the best but I avoided a lot of price fluctuation since it was near the money.

I sold an ES Jan 3 put at 1800 as part of my plan to switch from SPX to ES. I will try to switch out my SPX positions on Monday before I leave for China.

Greed and Fear Cost A Lot 11-25-15

It was a side way on top day. ES/SPS held yesterday's upper range all day long. RUT advanced another day and reached to the top of its current CHVA at 1198. I had 1195 call of this week which I thought was safe two days ago. I set an exit order at $60 for my IBP but lowered it to 30 when it was near 60 yesterday. Then RUT turned around and never looked back. It got ITM today. I had to roll it out to January 3. It was a greed at work. If I calculate the cost of my greed and fear in actions It could easily add to several thousand dollars comparing with maybe few hundred dollars I saved. I need to be more mechanic from now on.

I rolled most of my ITM calls in SPY, SPX and RUT to January 2 and 3 today since it's the last full trading day of the week. The last two days I collected about $3K premiums in rolling positions to January with more uncertainties. I have to wait for the market to pull back in order to get paid. And I will.

Holding In Side Way 11-23-15

ES/SPX traded in side way again into this Thanksgiving week. ES has been trading around 2084, the CVPOC. We may see another attempt up then short term traders may take chips off table before Thanksgiving break. I closed 2130 this week's bear call and 1130 RUT puts. No other orders were filled due to the small range and low VIX. My goal is to continue reducing my positions before my trip to China. I plan the roll the rest of ITM positions to January monthly exp so I will hand them when I came back. I plan to switch my SPX ITM to ES. According to some people it's better use of margin. I need to do some comparison tomorrow.

Risk improved to a relatively comfortable level today. Net liq/margin ratio is above 50% and leverage is at  33.

Weekly Review 11-21-15

Indices turned around starting from the bullish engulfing on Monday. SPX/ES erased all the loss of last week and back to 2090 again. It's likely setting up a traditional Christmas rally. It may not be a straight up though.

My account ended with $4K realized again for this week. It was due to all of the puts were out of money and couple of ITM calls got closed as well. However many of my calls are ITM and margin is on the call side again. I have 25 bear calls ITM which I had to roll them to next week and some to Jan 3. I am break even or slightly profitable overall this yr.

I need to have a clear plan of what systems to trade. Right now I am mixed with Karen and Tyler style plus my own twick of wide spreads. However there are no specific size of each trade and overall position size. I am still trading in shoot off hip style. I may use this trip to China to clear my head. and specify my trading size.

OPEX Day 11-20-15

Bulls have been persistence and won't give up much ground. ES had a 14 point range day barely closed a down gap.  ES/SPX 2100 is insight now. The bullish engulfing pattern worked out this time.

With the 5th up days in a roll I didn't get a chance to close any of my SPY bear calls. I rolled total 25 calls out to next week and January 3 according to my plan. I collected additional $1700 premiums while booked this week's losses. I may have to wait for the uptrend to turn down.

Risk parameters improved as positions coming off line. Net liq/margin is at 57% for the first time this month. Cash is above $150K again. Leverage is not up slightly to 36. I guess it's these bear calls without enough long calls in hedging.

I will review this week tomorrow.

Base Building 11-19-15

It was a small range day. ES/SPX had less than 10 point range. ES held up around VPOC of 2080.  The break down point of early Nov was tested. ES/SPX are at a critical point of directions. MACD has lower weekly and higher daily. It's hard to tell which way it's going. Giving the seasonality we may see a pull back then leading to an attempt of new high.

My plan was carried out successfully. I closed 3 near the money calls and rolled all of my in the money calls of SPX to next week. It wasn't perfect nor free of anxiety. I was focusing more on the main objective instead of trying to catch a top or bottom. The last positions was closed after cash closing and few minutes before the settlement. It was hard to deal with MM as they tend to hold the prices to the last minute. I will work on SPY calls tomorrow.

Risk figures improved as positions came off. Net liq/margin is at 45% for the first time in Nov. Leverage is 33.

Is the Market Welcoming Rate Hike Now? 11-18-15

To my surprise it was a drive up day. We didn't see any meaningful swing or pull back even before Fed Minutes release. The reaction immediately after Fed release was wait then pop. It appears no fear of rate hike anymore. SPX and RUT logged 1.6% and 1.58% respectively. ES is back to composite VPOC of 2080 now. There may be more upside of the holiday rally.

Today's move made more of my calls ITM. My plan was to take off positions on both side. I was only able to take one RUT call out and couple of puts expiring tomorrow. I added more longs of next week to reduce margin and prepare for rollover. It was a day of frustration and indecision. I didn't have an exit plan for different scenarios. I thought it was a choppy or down day since market was at an inflecting point. When market didn't play out my scenarios I didn't have a plan to adapt to it. Now couple of promising call positions are ITM. I have to roll out more calls tomorrow and take less profit. I overloaded SPY calls and they are all in the money now. I will have to roll them out on Friday and reduce my number of calls.
I have to be decisive exiting my positions tomorrow. Set my target and don't worry about what's the best prices I can get.

Risk numbers improved except leverage went up 0.5 point to 3.5 again. I should have enough fund to roll out my ITM positions with $57K available funds.

Awaiting for FOMC Minutes 11-17-15

Indices took a breath from yesterday's surge. ES took out both high and low of overnight range. It was in an exploring mode to discover directions or clear deck for tomorrow's FOMC Minutes at 2pm. ES/SPX closed in mid of current range which can go either way. On the other hand, RUT gave back all of its gain from yesterday. It closed at lower range of B band and CHVA with a HS pattern.

There were five trades today. Only one of my orders,  RUT 1190 call were filled before closing. The other four orders were long calls in SPY and RUT to cover naked calls since my margin was shifted to the call side this morning.

Risk conditions improved. Available funds are at $47K. leverage stayed at 31. Percentage wise the margin is still at 25% of my net liq. It's far off my target of 50%. I hope to get much better numbers with expiration of this Friday.

I will try to take out more positions on both side tomorrow. We may see a bigger swing after the release of FOMC Minutes. I will set 25-50 profit targets for these near money positions.

Another Bullish Engulfing Day 11-16-15

Like many, I was expecting a down day after the terrorist attacks in France last Friday night. Futures gaped down 0.5% on Sunday night. The selling of ES was rejected at 2000 last night. ES/SPX opened in the lower range of last Friday. My account was low in available fund and under margin pressure with some naked puts across all traded assets. My plan was to reduce margin with all means since it worried me the whole weekend. I was over exposed with only $5K available before open. I started to sell calls and buy long puts in the morning. After a rollover of Nov 4 1980 put to Jan 3 1820 the numbers improved.

I over traded today with 21 trades. Other than 4 of the 21 were closing positions the others were new positions and heavily on selling calls. I took on too much vega risk after SPX broken Friday's top. Now I am under pressure on the call side as some of positions are near the money. I placed orders to close them at small profit. I need to pay attention to puts too. Today's rally may be a relief rally of the over sold conditions from last week. I have noticed the engulfing pattern had not worked well in the past. The daily head and shoulder pattern is still in place. I will try to close positions in both calls and puts to reduce Vega risk.  

Risk figures improved today. Available funds is at $44K and leverage is 32. I need to double the available margin to 50% to reach my goal. So my accounts can withstand an unexpected event which could happen any time. I can't rely on luck for too long.

Weekly Review 11-14-15

It was the worst down week since the August mini crash. SPX and RUT lost 3.5 and 4.3% respectively. They may have further to go after Friday's LOD close and French terrorists attack after hour. This could be a 5-10% correction while the rate hike nearing.

It was a good week for me as most of my bear calls were unwinded and turned into profits. I closed most of bear calls with profit and closed out of the money puts in SPX, SPY and RUT. My short term scalps turned into problem again and I had to roll out most of them. Get to remember the rules and lessons. Despite the reduced sizes the risk factors remain high. It shifted to the put side with some naked positions. I tried to buy long puts to make them vertical spreads but wasn't successful as VIX kept raising. I bought one SPX 1790 put of next week in about $200 away for $60 instead of $20.

My plan is to reduce the put side risk. I should buy more long puts and close short puts even with loss to insure the portfolio stays in safe zone. I can sell more calls to cover the losses of puts. I will explore the margin impact if I switch my positions to ES which requires less margin. We could face some level of panic gap down due to the French terrorist event. I must be prepared but not panic.

A Dark Friday of the 13th

Indices continued to slide. SPX/ES couldn't lift itself up after a mid morning try. RUT went positive for awhile which I thought it was leading the pack up on this weekly options expiration day.

It had been a better experience in closing and rolling my expiring positions than last week. Most of my calls were closed with huge profit and recovered from last three weeks' rolls. I pretty much followed my plan. I notice my anxieties and took breaks to calm myself down. I calculate my profit targets and executed my order instead of wanting the best outcome which I won't have any control over.

My risk is on the puts side now. VIX is above 20 now. I have several naked puts left which I tried to buy cheap long puts to reduce my exposure. These far OTM puts are getting expensive as VIX is way up there. I had to pay $60 to buy a 1790 put while SPX is closing around 2020. That's a $230 distance. I sold some SPX and RUT calls but they didn't make a dent on margin.

The Bear Flag Played Out 11-12-15

Siemens and Macy's earning reports added the fuel to the gap down this morning. The bear flag pattern played out with Fed's speakers hinting of rate hike in December. Indices were slowly dripping and fall off cliffs before closing. RUT, SPX shredded 2% and 1.4% respectively. VIX is above 18 and indices closed at low of the day. We may see another leg down tomorrow. There may be wild swings on the expiration Friday.

I had to roll my rut 1160 to next two weeks. I was forced to get less premium as my expectation of later afternoon relief didn't happen. Even the out of money position of 1150 didn't fall and I had to pay $50 higher to get out after cash closing. MM was playing tough ball. A lesson leaned not to nickle and dime with near the money positions on expiration day. I have more positions in SPX and SPY needed to be closed or roll tomorrow. I should start early with ITM ones, perhaps with spreads in ES after 1pm.

Risk figures improved as the positions closed. The pressure switched to put side which is more dangerous. I will try to revise it to the call side tomorrow. Despite of increased net liq and available fund the VAR is still too high ($96K). The number of positions is too high, especially on the put side. I must deleverage further by reducing puts and adding calls tomorrow.

A Bear Flag? 11-11-15

SPX/RUT attempted to move back their previous balance area but got knocked down in the afternoon session. It looks like a bear flag pattern for both of them. There may be another down leg if the pattern plays out. Also the up swing today played out to Fib levels and pointing to downward too. However both indices are still in their CHVA so they may not break on either side tomorrow. There are several Fed speakers tomorrow which may influence market actions.

My RUT bear calls for this week were closed. Also sold couple puts in SPX, SPY and RUT. The margin is on the put side now. It looks like I may be able to reduce 1-2 SPX calls if they ended OTM this week. I will close my near the money RUT puts tomorrow just in case it ended too close to the money.

Risk factors improved somewhat. Leverage is at 41. Margin rate is still too low at 23%. Net liq increased about $5K. With positions expiring this week the levels may be better as long as I don't add too many positions back. I need to bring my available funds up to 50% of my net liq.

A Day of Going Nowhere 11-10-15

It was a range day of the lower part of yesterday. ES/SPX pulled back to 50% RT from last Friday's high. It's either a 50-62% retrace before the next leg or end of Fed day reaction from last Wednesday. SPX and RUT are back into the last CHVA. It could set up a back to go higher. We will see in the next couple of days.

I closed couple of puts for this week as planned. The action didn't reduce much of my leverage and switched margin to the call side again. My risk measures are still high. Leverage is at 47 and available fund is below 30% of net liq. I may consider to switch to ES for any of January contracts. It require less margin and can be traded around clock. I have to find the differences of SPAN and Portfolio margin. Some people in the chat room said SPAN is actually better.

The 1st 1% Down Day of the Month 11-9-15

It was a follow through of Friday's job report. Market sold off after open and accelerated until early afternoon. SPX and RUT were down more than 1.6% mid day. Daily MACD is about to cross to the down side. I started to sell wide put spreads early in the session. I pick some fairly close strikes like 2050, 2020 of SPX for this week and next week. I think I was driven by frustration and revenge for the last 5 weeks' up swing. I didn't even wait for the first 30 minutes to see the market direction.  I plan to exit out of these positions tomorrow or the day after. Get to recognize these emotions and stop acting upon it.

Collected 0.16% ($2360) premiums today. Risk parameters improved some. I reduced 1 call by roll 2 to 1. Margin is still on the call side. It may change soon if the market continue to move downwards. I have to avoid to open any positions for Dec since I am going to travel to China. I may sell some next week for January.

Weekly Review 11-7-15

Indices ended the fifth up week in a roll. With couple down days at the end of this week I finally got some relief for my ITM bear calls. Bulls are still in control this week. They bought on the dips despite the daily lower lows and lower highs for the last two days. RUT caught up and just retested the August b/d point. It could lead the pack up or falling back at this critical point.

The week had a small, $1.2K profit with continued rolling ITM bear calls and collected $36K, 0.25% cash. I rolled all of my ITM bear calls out to next week till end of month. I am only using Tyle's system for my underwater rescues for now.  I was able to reduces 3 of my calls (30% of IB portfolio) to deleverage in the last day of the week as it was barely out of the money.

My main task for next week is to deleveraging. Need to figure out my max call/put ratio on risk tolerant bases. My leverage level is twice (62) as much as my safety level and margin ratio is more than 3 times higher than what should be. I must be conservative on adding puts except to reduce margin on call side.

A Blow Up Job Report 11-6-15

The Oct job report was 271K vs 181K estimated, a big surprise to the upside. Futures sold off as the good news is bad news. It was orderly move during the RTH. ES moved with in current CHVA. Buyers stepped in during the afternoon session and recovered all the losses. VIX fall back to low 14s now. RUT actually moved up while other indices are struggling. It's leading the pack now. As I suspected bulls wanted to explore higher or new highs before the December Fed meeting.

I rolled all of my ITM calls until the end of the day. Rolling the vertical spreads were much harder with less premiums. I had to widen my spread to 8x and 3 weeks away in ET to bring in a small premium of $50. I was able to close my 2100 calls with a small profit and reduced 3 calls. The rollover brought in $2500 premiums net base on Tyler's approach. I need to understand and follow his practices closely.

My risk profile is still too high. Positions are heavy in the call side during this 5 week surge. I need to set a fixed number and ratio for my puts/calls. The leverage is at 62, twice of my allowed level. Available margin is at $24k, 16% to my NLV after this week's cushion expired. I must work to bring this levels down early next week.

Awaiting for the Job Report 11-5-15

It was a wider ranged choppy season. Market explored up and down and ended slightly to the downside. SPX closed right at 2100 and on the upper side of its current CHVA. However there is a possible HS on daily forming. It's all depending on the job report and how trades interpret it. My guess is there is still enough time for SPX to make a new high before Fed's December meeting and possible rate hike. Santa's rally may come early and end early this year.

No matter what directions tomorrow's report may take I have to rollover all of my ITM calls. I will try to deleverage through closing some calls. I will close or reduce the three 2100 calls and buy some FOTM long calls for next week.  My current positions made me very frustrated. I must stick to the end and let the math work. Watch out for my size and risk.

Had only one trade today. I closed the expiring 1990x3 puts after cash closed. My purpose was to reduce the exposure fee and leverage. It turned the margin to the call side again and reduce the available fund by about 9K. I will add couple more puts tomorrow to change the scale.

A Sigh of Relief 11-4-15

Indices pulled back a little today on Yellen's testify in Congress regarding possible interest rate hike. SPX was down 7.5, resting on top of CHVA. It's either basing for a new high or further down a bit before the job report on Friday.

I sold couple wide spreads in SPX and RUT puts to improve my Delta and cash also formed IC in ET, ETP account.  I still have not figured out a way to deleverage my calls except switching margin to put side by adding puts. A possible way out is if my SPX 2100 would be OTM or close to b/o on Friday.

I plan to work on ET's roll over tomorrow. I will call the support first to see my margin options first.

Frogs in Warm Water 11-3-15

The party continues after yesterday's surge. Markets normally take a breath after a surge without any major event or news. ES/SPX surged to 2010, 2018 of the last high volume area. They are less than 1% to reach a new high while NQ already there. It looks like the trades want to see a new high way before year end.

I feel like a frog in warm water of a slow cooking pot. The heat is increasing on my holdings. My NLV is lower while leverage increased to 85. I didn't collect enough premium to buy an underwater call back to deleverage. I may end up doing it in the worst timing. I sold a put in SPX and a set puts in SPY to get some relief on the call side. The available fund is at 20K, vulnerable but better than yesterday. My ET positions are fixed Reg T margin but the spreads are harder to roll. I guess I will keep rollover and collect cash until I am OTM.

A Reverse of Reversal 11-2-15

My observation of less than 50% probability of engulfing pattern turned out to be right again. I was surprised to see indices futures recovered from last night near 05% drop this morning when I woke up. European market turned things around on possible ECB stimulus action. ES and RUT had a trending day and both crossed last Friday's high. SPX and RUT gained 1.2% and 2.04% respectively.  Apparently the sell off of last Friday was a head fake or "bottom fake".

My margin was threatened before open. It was a mistake I didn't deleverage my calls during last week's rollover as I indicated in my weekend review. I had to buy long calls to reduce margin all the way up to closing since SPX was melting up. I also placed orders to sell puts to hedge and collect premium to fund my long calls. I ended up bought 12 SPX low cost calls and sold 5 puts in SPX, SPY and RUT collecting about $500 to get through today.

I may consider to reduce my SPX call size tomorrow and continue to buy long calls if the indices continue to melt up. I am near edges of my risk parameters now. Available fund is under 10K and leverage is above 7.

Weekly Review 10-30-15

US indices ended with the 5th up weeks. The gains were smaller and Friday ended with a bearish engulfing. However, the engulfing pattern has worked for me for the last several times. The uptrend is still in place with overbought condition. Hopefully we will see a temporary pull back.

My week ended with negative realized return about $20K again. I continued to use Tyler's approach to roll over my ITM positions and collect premiums. I roughly received 0.8% of cash but didn't reduce my call positions and margin pressure is still building. IB is implementing a new method to calculate margin risk which is going to squeeze my available funds further. I have to reduce my call positions next week to meet the new requirement.

Lessons learned this week:

1. Keep calm and focus on implementing the my strategies and plan. I waited until the expiration day to roll my ITM positions without getting too anxious. My roll over produces positive cash flow partially due to the pop and the dump on Friday. I need to fine tune my rollover approach. Do I close it first or open it first? That's often my dilemma. 
2. Implement Tyler's rollover strategy with all major aspects. I rolled and collected cash but I didn't reduce my ITM size. Therefore no risk and margin were reduced. With IB's new margin calculation I have to reduces my size on Monday. I must keep my risk exposure to the safe level in order to make this system work.