Semana 26 / Week 26 ( 10/02/2015 expiration date )

Semana complicada que terminamos con una pequeñisima ganancia. El mercado está nervioso y la volatilidad subió muy deprisa contra nuestros intereses; sobre todo el Lunes. El martes conseguimos salir de pérdidas, aunque hubiera sido mas beneficioso cerrar la posición a la apertura y no a media tarde. Ha sido fundamental ser muy conservador con la put vendida, pues siempre es la pata mas peligrosa, además teniendo en cuenta que cada vez nos aproximamos mas al principio de un mercado bajista.

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Difficult week we ended up with a tiny gain. The market is nervous and volatility rose very quickly against our interests; especially on Monday. On Tuesday we got out of losses, but It would have been more beneficial for the position to close at the market opening and not at mid afternoon. It has been essential to be very conservative with the  put strike, setting the level as far as possible considering the risk-reward ratio. It is always the most dangerous leg, and It looks we are getting closer to the beginning of a possible bearish market.

Weekly P&L summary

Position at close ( let's see how the dark area, which represents 68,2% probability at expiration,  has moved to the left , up to 1058 level, a very complicated chart, considering our put strike was set at 1070 )

Russell Index Chart with classic Fibos levels

RVX Chart ( notice how the RVX gained two points sharply )

Our usual Money Management template

Semana 25 / Week 25 ( 09/18/2015 expiration date )

Otra semana ganadora, con la volatilidad descendiendo, pero con una prima ingresada excelente.

Hace 3 semanas cundió el pánico, pero con disciplina y tranquilidad estamos poco a poco superando el drawdown. Abrimos la put con una delta muy conservadora de 0,14 que nos dió mas de 50 puntos de margen hacia abajo, por si el mercado seguia cayendo. Hacia arriba la subida del mercado no es tan dramática porque vega ( volatilidad ) nos ayuda, ya que esta desciende.

Esta semana no abriremos posición, mañana jueves la FED decide sobre los tipos de interés, y el viernes hay vencimiento trimestral de derivados; con lo que podría haber un incremento brusco de la volatilidad que nos perjudicaría.

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Another winning week, with volatility decreasing, but with an excellent cashed premium.

3 weeks ago the market declined sharply and investors panicked, but with discipline and calm we are slowly overcoming the drawdown. We opened the put strike with a very conservative delta at 0.14 which gave us more than 50 points of margin down, just in case the market would have continued to fall. On the other hand, a brief rising market is not so dramatic because vega (volatility) helps us, considering this decreases.

Position will not be opened this week, considering next Thursday the Fed decides on interest rates, and a new quarterly expiration derivatives is dated the following day; so that there could be a sharp increase in volatility level that wouldn't benefit us.

Veamos el gráfico del RVX de las últimas semanas/ Let's take a quick look at the RVX chart :

This week result:

Money Management template sheet containing historical performance:

Semana 24 / Week 24 ( 09/11/2015 expiration date )

La semana con vencimiento 4 de septiembre ( fecha de liquidación ) no hice entrada, sicológicamente necesitaba descansar del varapalo de la semana anterior, y además la volatilidad estaba excesivamente alta. Aunque somos vendedores de volatilidad, un mercado tan nervioso puede ser peligroso.

 

Esta semana abrimos posiciones el Miércoles en lugar del Jueves, ya que el Lunes 7 era festivo en Estados Unidos ( día del trabajo). Esto unido a que el mercado chino cerraba Jueves y Viernes, y que la prima era muy buena, con un rango de 50 puntos por abajo y 40 por arriba, ambos factores  han ayudado a mantener la cuna centrada, y disfrutar por fin de una semana muy rentable, que nos ayuda a intentar salir de nuevo del drawdown, que empezó el pasado 14 de Julio.

 

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Last week, with September 4 as expiration date, I did not enter at the market. After previous week blow I needed , psychologically ,  to disconnect  for a while, and on the other hand the volatility was too high. Although we are volatility sellers, a extreme nervous market can be dangerous for this strategy.

This week we opened the position on Wednesday instead of Thursday, as on Monday 7 US markets were closed (Labor Day). This , along with the fact that Chinese market was closed on Thursday and Friday, and the weekly cashed premium was very reasonable, with a range from 50 points down to 40 above, both factors have helped to keep the strangle very centered at the chart with no volatility peaks, and finally enjoy a very profitable week , which helps us  to come out from a period of drawdown, that began last July 14.