Semana 39 / Week 39 ( 12/31/2015 expiration date )

Semana muy tranquila y ganadora, gracias señora navidad porque es la mejor fecha para operar esta estrategia !
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Quiet and winning week, Thank you Mrs. Christmas because This is the best time of the year to trade this strategy !

Trade Setup

Index Chart

RVX Chart, Volatility sleeping deeply

Track record after 39 weeks, 

Semana 38 / Week 38 ( 12/24/2015 expiration date )

Por fin una semana tranquila, con una volatilidad muy estable. Próximo vencimiento abriremos miercoles 23 en lugar del jueves al haber menos días hábiles.
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We had a quiet week with a very stable volatility at last ! . We will open next strangle on Wednesday 23 instead of Thursday as we have less business days.

Trade set up

Index Chart

RVX Chart

Track record since March ( 2015)

Semana 37 / Week 37 ( 12/18/2015 expiration date )

Semana muy complicada, en la que por primera vez en 37 trades no hemos respetado las reglas. Nuestro stop loss para la put estaba en 11.60$, nivel que tocó el viernes el a media sesión, tras la brusca baja del mercado. 11,60$ es el doble de la prima ingresada por el combo (5,80$). Sin embargo a ese nivel de prima correspondía un S&P en 2000 puntos zona clara de rebote, sin considerar el elevado nivel de sobreventa del mercado. Hemos salido bien parados, aunque con un riesgo excesivo ( la put vendida llegó a superar los 16$ lo que suponía 12$ de pérdidas por cada uno de los 5 contratos, es decir 6.000$ ). Este sistema tiene unas reglas definidas, pero tampoco es un sistema automático estricto, y esta vez si hemos sido totalmente discrecionales.

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Very complicated week , and for the first time in 37 trades have not respected the rules. Our stoploss for the sold put was set at  $ 11.60, a level touched on Friday mid session,  after a low sharp bearish market. Stop loss at 11.60$ is the double of the cashed premium  , when we built the combo ($ 5.80). But I noticed that level of 11.60$ corresponds with a cleear rebound area for the S&P 500 index around 2000 points; without considering the high level of oversold market. We had success with this idea, although we assumed excessive risk (the put reached a value of 16$, which meant a loss of 12$ for each one of the five contracts,  $ 6,000 at all). This system has defined rules, but It is not strictly automatic, and this time, exceptionally, we have decided to be totally discretionary.

Struggling with our put strike !! Notice initial stop loss breakout and reversal

Index chart

Rvx chart

Trade Setup

Track record

Semana 36 / Week 36 ( 12/04/2015 expiration date )

Gracias Sr. Draghi , gracias Sra.Yellen  por no decir nada en su comparencia del Jueves 3 de Diciembre, en 3 horas la weekly voló con un incremento brusco de la volatilidad > 10%. 

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Tank you Mr. Draghi, thanks Mrs.Yellen for saying nothing in your hearing on Thursday 3 December , in 3 hours our weekly  spoilt with a sharp increase in volatility> 10%. Let's say "daily" instead of "weekly".

Trade set up

Index Chart

RVX Chart

Track Record and money management

Semana 35 / Week 35 ( 12/04/2015 expiration date )

Semana muy extraña y complicada. Abrimos la posición el martes 24 en lugar del jueves 26, ya que el jueves teniamos el día de acción de gracias en USA , y el viernes 27 el mercado solo abría 3 horas.

Históricamente era una semana alcista casi con toda probabilidad, y así fue.

Esta situación nos ayuda a entender la asimetría del mercado en la que tanto insisto. Observemos como teniamos la posición al cierre del viernes. La cuna estaba casi dentro del dinero, y la call con una delta cercana a 0,50, sin embargo el mercado no nos echó, básicamente por dos razones:

1) La prima ingresada el martes 24 fue elevada ( 5,40$) , por lo que nuestro stop loss se fijó en 10,80$.

2) La brusca subida del mercado ocasionó una brusca caida de la volatilidad y esto nos ayudó a protegernos del mercado. Observese el óvalo dibujado en el gráfico del RVX al cierre del viernes.

Curiosamente esta semana tocamos el call strike y el mercado no nos echa, sin embargo hace 2 semanas nos quedamos a 15 puntos del put strike y el mercado si nos echó. La clave es la volatilidad (vega)  y no tanto como de cerca estemos del strike ( delta ) , aunque esta última sea importante.

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Very strange and difficult week. We opened the position on Tuesday 24 instead of Thursday 26, because on Thursday we had the Thanksgiving holiday in the US, and on Friday 27 the market was only open three hours. Historically this week was bullish , and so It happenned ...

This situation helps us understand the asymmetry of the market in which I always insist. Take a look at the position at Friday's close. The position was almost "in the money", and the call leg reached a delta close to 0.50, but the market didn't chase us out, basically for two reasons:

1) The premium cashed on Tuesday 24 was very reasonable (5.40$), so our stoploss was set at  10.80$.

2) The sharp rise in the market caused a sharp drop in volatility and this helped to protect us from the market. Note the oval drawn on the graph RVX Friday´s close.

This week our position touched the call strike call the market didn´t expel us curiously, however two weeks ago we were 15 points above our put strike and we were chased out. The key is the volatility (vega) and not how far we are positioned from both strikes levels (delta), although this last greek is important.

Provisional situation at Friday´s close ( real account in Interactive Brokers )

Weekly Setup and final performance

Index Chart

RVX chart ( note the oval on Friday´s close and the big drop in volatility )

Track record after 35 weeks

Semana 34 / Week 34 ( 11/27/2015 expiration date )

Semana muy tranquila, aunque poca prima ingresada. Cerramos el martes a primera hora por la cercanía al dia de acción de gracias y el Black Friday
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Quiet week, although a low income. We close the position on Tuesday early, considering we were next to Thanks Giving Day and the Black Friday.

Strategy set up

 

Charts: Index and Volatility ( RVX )

 

 

Track Record since Week 1

Semana 33 / Week 33 ( 11/20/2015 expiration date )

La perdida de la media de 200 en el s&p 500 en el cierre del jueves, destrozó nuestra weekly de la semana en el Russell 2000. Mal estreno para el 6º contrato. Es importante observar en el gráfico, como no es la aproximación a nuestro put strike vendido lo que origina el cierre de la posición; sino el incremento brusco de la volatilidad en mas de un 10% en la sesión del viernes. Próxima semana volvemos a 5 contratos. Mercado muy débil.

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The loss of SMA (200) in the s&p 500 at Thursday's close, destroyed our weekly in the Russell 2000 index. Not a good premiere for our 6th contract. It is important to notice in the chart , that It´s not the approach to our sold put strike which causes the closing of the position; but the sharp increase in volatility in more than 10% on Friday's session. Unfortunately next week we go back to 5 contracts. We are facing a very weak market. 

Trade set up

Russell 2000 index chart

Rvx ( Russell volatility) chart

Track record, next week we reduced the number of contracts to 5

Semana 32 / Week 32 ( 11/13/2015 expiration date )

Nueva semana tranquila y por tanto ganadora. Volvimos a cerrar la posición el Lunes a última hora, en lugar del Martes a media sesión, al tener consumida el 70% de la prima ingresada el Jueves anterior, evitando un día de exposición a mercado.

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New quiet and therefore winning week. We  closed the position, once again , on Monday late instead of Tuesday mid session , having consumed 70% of the premium, cashed last Thursday, avoiding one day of exposure to the market.


Trade set up

Rut Chart

Rvx Index

Track record and Money management template

Semana 31 / Week 31 ( 11/06/2015 expiration date )

Semana muy buena, y con los deberes bien hechos. Aprovechamos la pauta del primer dia del mes , para anticiparnos y cerrar el Lunes 2 en lugar del Martes 3 al tener mas del 70% de la prima consumida. Como el primer dia del mes suele ser alcista, cerramos la call a la apertura del mercado, y la put a media tarde, generando una interesante plusvalía, que nos hace por fín salir del drawdown que se inició el pasado mes de Julio, y nos aproxima a la inclusión de un contrato adicional a los 5 con los que venimos habitualmente operando. Esta semana semana seremos muy cautos en la apertura de la posición , hemos abierto el rango 1140-1220 con un valor del indice en 1181 este jueves a media sesión con deltas < 0,10 tanto para la call como para la put, ante un incremento de la volatilidad que podría dar el dato del paro estadounidense; dada la sensisbilidad que tiene el mercado a una posible subida de tipos de interés antes de final de año.

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Very good week, with our homework well done.We took advantage of the predictable market behavior for first day of the month , to anticipate and close on Monday 2 instead of Tuesday 3; keeping safe in our pocket more than 70% of the initial premium. As the first day of the month is usually bullish, We closed the call option at the market opening, and the put option a few hours later at the midafternoon, creating an interesting profit that finally makes us leave the drawdown  that began last July , so that we are approaching to the inclusion of an additional contract to the existing five, which are usually traded. This week we will be very cautious opening the position, in fact we have opened the  1140 to 1220 range; with the index value at 1181 at Thursday midsession; with deltas <0.10 for both call and put; before facing a possible volatility raise, that  the US unemployment data could give; considering  the sensitivity the market has given to a interest rate raise before the end of year end.

Trade Set up

Russell 2000 index situation

Rvx index situation

Track record and money management template

Semana 30 / Week 30 ( 10/30/2015 expiration date)

Semana ganadora con el precio estrangulado entre dos niveles Fibos muy importantes, y los strikes colocados a una distancia prudente. Sin embargo no salió todo lo bien que se podía esperar, ya que al cierre del Lunes ganabamos 1250$, y el incremento de volatilidad por la caida del índice en la sesión del Martes redujo ese beneficio en un 35%

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Winner week with the price strangled between two important Fibo levels , so that strikes were placed at a safe distance. But It did not go as well as we could expect, since we were gaining 1250$ at the end of Monday session, and a volatility increase after the index big drop during  Tuesday session reduced Monday profit at 35%.

Index chart, pay attention to both Fibo strategic levels

Rvx index, This week volatility didn't help us

Brief stats after 30 weeks

Equity Line after 30 weeks, not so bad but It could be much better

Semana 29 / Week 29 ( 10/23/2015 expiration date )

Semana díficil, tras la brusca subida de mas de 25 puntos en la última parte de la sesión del jueves, que nos ha mantenido muy cerca del stop loss toda la semana, pero que se frenó gracias  a un nivel Fibo importante.. Finalmente cerramos con una pequeña ganancia, que hubiera sido mucho mayor en caso de haber esperado al miercoles, pero la disciplina es lo primero. Nuestra equity line sigue en claro lateral.

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Difficult week , after a sharp rise of more than 25 points in the last part of the session on Thursday, which has kept us very close to our stop loss for the rest of the week, although the trnd slowed down thanks to an Important Fibo level . Finally we closed with a small profit, that would have been much higher if we would have waited until the next day (Wednesday), but discipline comes first. Our equity line still remains flat.

Index and Volatility charts

Money management template

Semana 28 / Week 28 (10/15/2015 expiration date )

Semana tranquila, cerramos posición justo antes de la fuerte caida en las últimas horas antes del cierre del martes; que hubiera deteriorado la posición. Rango amplio que contenia posibles zonas de congestión, en el 61,8% del retroceso Fibonacci y el 50% de todo el impulso iniciado hace justo un año. Seguimos vendiendo los strikes mas alejados de una desviación típica, con deltas mas bajas que de costumbre , para asegurar la operación.

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Quiet and easy week, We closed position just before the sharp drop in the last session hours before the closing bell on Tuesday; that would have deteriorated the position. Range containing possible areas of congestion, at 61.8% Fibonacci retracement and 50% of all the momentum started just a year ago. We keep selling more strikes away from a standard deviation, with deltas lower than usual, to ensure the trade..

Chart and RVX index

Money management template after 28 weeks