Semana 72 / Week 72 ( Dec, 22 expiration date )

Semana muy complicada que conseguimos salvar gracias a la holgura que siempre le damos al stop loss. Siempre fijamos el stop loss en el doble de la prima ingresada, y el combo aunque llegó a valer 10,80$ en ningun momento alcanzó los 12 $ que teniamos de stop loss . No obstante, nuestra posición se metió "en el dinero"; esto ocurre cuando alguno de los strikes vendidos en nuestro combo ( en este caso la call vendida en 1.555) son tocados por el valor del subyacente. En ese punto el valor intrinseco de la citada call pasa a ser 0 , aunque siempre queda algo de valor temporal.

Lo cierto es que estamos en un momento dificil para la venta sistemática de opciones. Podemos ver en el siguiente gráfico una representación en gráfico renko ( mi favorito, porque marca muy bien soportes y resistencias ) de la evolución del RVX ( volatilidad del Russell 2000 ). Cada caja representa una variación de un punto en la volatilidad, es por tanto un gráfico atemporal. Aunque esta estructura lateral alcista favorece nuestra estrategia, al no moverse el precio, cada vez es mas dificil ingresar prima, al margen de la constante amenaza de un movimiento brusco del mercado, que iria contra nuestros intereses, al ser vendedores de volatilidad.

Esta semana no he operado, aunque hubiera sido muy favorable, dado que el mercado no se ha movido. Aprovecho para felicitar la navidad a todo el que la sienta de corazón.

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Very complicated week that we managed to save thanks to a big margin we always give the stop loss. We always set the stop loss at twice the premium cashed, and the combo, although it came to be worth $ 10.80, at no time reached the $ 12 ( our stop loss). However, our position got "in the money"; This occurs when one of the strikes sold in our combo (in this case the call sold at 1.555) is touched by the value of the underlying. At that point the intrinsic value of the mentioned call becomes 0, although there is always some temporary value. The truth is that we are involved into a difficult time for a systematic sale of options. We can see in the following graph a representation in renko chart (my favorite, because it marks very well supports and resistances) of the evolution of the RVX (volatility of the Russell 2000 Index). Each box represents a variation of one point in the volatility, it is therefore a timeless graphic. Although this bullish lateral structure favors our strategy, as the price does not move, it is increasingly difficult to cash a reasonable premium, apart from the constant threat of a sudden movement of the market, which would go against our interests, being volatility sellers. This week I have not traded, although it would have been a very favorable week, considering the market has not moved. I take this opportunity to congratulate next Christmas to everyone who feels it from the heart.

RVX evolution chart in renko style ( box=1 point)

Weekly performance and main Stats

Index chart and sold strikes. Entry and exit points

Track record since 2016 September...suffering a drawdown

Semana 71 / Week 71 ( Dec, 8 expiration date )

Tuvo que llegar ese dia que nunca que queremos , y lamentablemente llego, visto y no visto, una vela demoledora que en 30 minutos hizo bajar el Russell mas de un 3% , y subir la volatilidad casi un 5%. Lo teniamos todos a favor, rango de 65 puntos y una prima excelente superior  a 8 dólares.

Ya sabemos que el principal enemigo de la venta de opciones es un movimiento brusco del mercado , y peor si es hacia abajo pues hara subir la volatilidad bruscamente cuando nosotros vamos corto de Vega. En momentos dificiles como este, con el sistema en maximo drawdown , nos entran unas ganas terribles de subir contratos para compensar, tras dos semanas malas seguidas. Pues bien siguiendo nuestra hoja de ruta vamos a hacer justo lo contrario y bajar a 3 contratos para el próximo trade.

Seamos pacientes , disciplinados y sobre todo luchadores.

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That day we never want, had to arrive and unfortunately It came up, seen and not seen...., a demolishing candle that just in less than 30 minutes made the Russell drop more than 3%, and raised the volatility almost a 5%. We had it all in favor, a range of 65 points and an excellent premium above 8 dollars.

We already know that the main enemy of selling options is a sudden movement of the market, and worse if it is downwards because it will raise the volatility sharply considering out position is short of Vega. In difficult times like this, with the system in maximum drawdown, a deep desire to raise contracts growths inside us to compensate losses, after two bad weeks in a row. Well.... following our roadmap, we will do just the opposite and go down to 3 contracts for the next trade. Let's be patient, disciplined and above all fighters.

Weekly set up and final permormance

Russell chart with entry and exit points

Track record and money management rules