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Saturday, May 20, 2017

Weekly Trade Summary: May 14 - May 20

Last week I entered one new SPX broken wing butterfly (July 21 expiration), closed out one DOTM BWB hedge for a small profit, expired one DOTM BWB for a tiny loss (~$6), and made small adjustments to two BWB. My trade activity is shown below:

(click to enlarge)

The adjustments removed any upside loss potential on the BWB on the June 16 and June 30 expirations.  These original two trades are shown below:
  • Original Trade Entry: April 3 - BWB on the June 16 expiration (post)
(click to enlarge)
  • Original Trade Entry: April 18 - BWB on the June 30 expiration (post)
(click to enlarge)

I currently have 7 open trades, with expirations in June (3), and July (4):

(click to enlarge)

Total defined risk for these trades is at 59.4% of the account net liquidation value.

23 trades have been closed this year...14 wins and 9 losses. Return on the account for the year is at 3.57%.  Total win rate is at 61%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 7 open trades, all currently have a positive P&L.

I ran 10, 10 year backtests on my deep out of the money (DOTM) broken wing butterfly (BWB) hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I closed out the last two of these hedges last week.

Next week I may enter trades on the July 28 and July 31 expirations.


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Saturday, May 13, 2017

Weekly Trade Summary: May 07 - May 13

Last week I entered two new SPX broken wing butterflies (July 14 and July 21 expirations), and adjusted the butterfly on the June 23 expiration. The activity is shown below:

(click to enlarge)

This is the second adjustment on the June 23 butterfly, and the associated trades are shown below:
  • Original Trade Entry: April 21 - BWB on the Jun 23 expiration (post)
(click to enlarge)
  • Adjustment: April 25 - added a second BWB on the Jun 23 expiration (post)
(click to enlarge)

I currently have 8 open trades, with expirations in May (1), June (3), and July (4):

(click to enlarge)

Total defined risk for these trades is at 60.6% of the account net liquidation value. This risk is broken down into the following groups:
  • 7.7% of net liq - DOTM BWB - hedges
  • 52.9% of net liq - core BWB
21 trades have been closed this year...13 wins and 8 losses. Return on the account for the year is at 3.50%.  Total win rate is at 62%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 8 open trades, 6 are core and all of the core trades are currently up money.

I ran 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.

Next week I may adjust trade #23, entered on 04/04/2017.  I will also likely enter a trade on the July 31 expiration.


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Tuesday, May 9, 2017

Iron Condor Results Summary

Over the last several months I have shared the results from an extensive set of backtests of SPX iron condors (IC). In all, I backtested 600,912 individual SPX IC trades entered at varying days to expiration (DTE) between January 2007 and September 2016. The prior articles can be found at the links below:

In this article, I'll review two key metrics collected from all of the backtests:
  1. Win Rate
  2. Normalized P&L Per Day

Win rate is a common metric to analyze, but P&L per day is less obvious.  P&L per day gives us a very clear view of the expected return by day for a given strategy variation. We've already seen in the prior posts how the number of days in trade (DIT) increases as we enter trades at higher days to expiration (DTE). As a very rough rule of thumb, it takes about half the DTE to collect 50% of the credit (although this changes with short strike delta!). From this normalized P&L per day value we can derive the average return per trade, as well as the average return per year.

Before we get into the results, I need to describe the format of the heat-map tables below. First, each IC wing width is presented in a separate table, starting with the 25 point wing ICs.

Next, the first column lists the strategy variation, including the exit used. This column uses the strategy description nomenclature that I used in the last several months worth of articles in the links above.

Next, there are four groups of seven columns. Each group corresponds to a different short strike delta, and each of the seven columns in the group corresponds to a different DTE starting point.


Win Rate

(click to enlarge)

It's clear that the 8 delta short strike has the highest win rates from a delta perspective.  Also, 80 DTE has the highest win rate of all of the DTE tested.  The 50% profit taking level is the winner for profit taking exits. We also see that the larger wing widths have slightly higher win rates. Let's think about each of these points:
  • Both the smaller delta and higher DTE end up making a wider "tent" for the IC, which gives the market more room to run before a loss exit is triggered.
  • Taking profits at 50% versus 75% or expiration has you out of the trade sooner...reducing the chance that the market can move against your position.
  • The larger wing width, creates a larger credit, and at 75 points approximates a naked strangle. With 75 point wings, you get the margin relief (defined risk) from the long options that you don't get with a strangle. Since the longs are so far away from the short strikes, this structure has greater theta decay than ICs with 25 and 50 point wings.

It's interesting to note that the win rate for the same short strike delta increases with increasing DTE. Recall, as DTE increases the implied volatility (IV) for the same delta option increases.  For example, an 8 delta put at 38 DTE might have an IV of 14.15% while an 8 delta put at 80 DTE might have an IV of 17.44%. Using these two examples of IV we calculate the expected one standard deviation move of the underlying in percent:
  • 0.1415  x  sqrt(38/365)  =  0.045656   (+/- 4.57%)
  • 0.1744  x  sqrt(80/365)  =  0.081648   (+/- 8.16%) 
Note: IV from TOS for each of these option chains is lower at approximately 11.5% and 12.6% respectively

Based on these expected moves, it's worth considering a couple of questions.  How does actual market movement over 40 days (half of 80 DTE) compare with the expected move?  How do the actual market moves over 19 days (half of 38 DTE) compare with those over 40 days?

Finally, I have two tables showing the top 30 and bottom 30 IC variations in terms of win rate. The top variations are dominated by higher DTE, 75 point wings, 8 delta short strikes, profit taking at 50%, and no loss exit. The bottom 30 are dominated by mid-range DTEs, 25 point wings, 20 delta short strikes, extra long put (EL) structures, with loss taking at 100% and no profit taking exit (take the trade to expiration).

(click to enlarge)


P&L Per Day
Recall from the prior articles that all of the P&L per day numbers are normalized. The P&L per day values shown in the charts below are expressed as a percentage of the max risk for that test run. Each of the different wing width ICs (25 point, 50 point, 75 point) will have a different max risk, and it is important to normalize daily returns by the associated max risk number. For example, a 25 point IC will have slightly less than $25K max risk (margin), while a 75 point IC will have slightly less than $75K max risk (margin). Since the 25 point IC will have approximately 1/3 the risk/margin, the $ returns need to be normalized by these varying max risk / margin numbers for proper strategy variation comparison.

(click to enlarge)

There are a few high level trends from these tables of normalized P&L % per day values:
  • The lowest returns occur with the EL structure.  The extra long put negatively impacts the theta decay of the structure, but this negative impact decreases (as we'd expect) as wing width increases
  • The next lowest returns occur with the DN structure. Since there are fewer call credit spreads than put credit spreads in this structure, there is lower theta decay than with the ST structure
  • The ST structure has the highest normalized P&L % per day numbers
  • From a short strike delta perspective, the lowest returns per day occur at 8 delta, and the highest returns occur in the 16 to 20 delta range
  • The 75 point wing structures have the lowest returns, and the 25 point wing structures have the highest returns
  • From a DTE perspective:
    • The DN structures' returns are highest in the 38 to 45 DTE range
    • The EL structures' returns are highest in the 73 to 80 DTE range
    • The ST structures' returns are highest in the 73 to 80 DTE range, but there is also a second high return clustering in the 38 to 45 DTE range

The return distributions related to structure and DTE, suggest that in the 38 to 45 DTE range, the market has tended to trend up or stay flat.  Hence the clustering of higher daily return numbers for the DN structure in the 38 to 45 DTE range. Additionally, the data suggest that in the 73 to 80 DTE range the market has tended to stay flat or drop. The EL structure shows higher returns in longer duration trades, indicating that the extra long put has some benefit in the 73 to 80 DTE range. 

Similar to the win rate section, I have two tables showing the top 30 and bottom 30 IC variations in terms of normalized P&L per day. The top variations are dominated by the standard (ST) structure with 25 point wings, 20 delta short strikes, profit taking at 50%, and a range of loss exits. The bottom 30 are dominated by the extra long put (EL) structure with 25 point wings, 20 delta short strikes, with no profit taking exit (take the trade to expiration).

(click to enlarge)

In the next article, we'll narrow down the list of 3024 strategy variations, to a list of strategies that look trade-able.  I'll remove the variations without profit and loss exits, and look at win rate, normalized P&L per day, largest loss, and profit factors.

Also, over the next several days I'll use Twitter to share other versions of the tables above, organized around DTE groupings instead of grouping by short strike delta..


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Sunday, May 7, 2017

Weekly Trade Summary: Apr 30 - May 06

Last week I entered one new SPX broken wing butterfly in the July 7 expiration. The activity is shown below:

(click to enlarge)

I currently have 6 open trades, with expirations in May (1), June (3), and July (2):

(click to enlarge)

Total defined risk for these trades is at 44.9% of the account net liquidation value. This risk is broken down into the following groups:
  • 7.8% of net liq - DOTM BWB - hedges
  • 37.1% of net liq - core BWB
21 trades have been closed this year...13 wins and 8 losses. Return on the account for the year is at 3.50%.  Total win rate is at 62%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 6 open trades, 4 are core and 2 of the core trades are currently up money.

I ran 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.

Next week I plan to adjust trade #26, entered on 4/21/2017.  I will also likely enter trades on the July 21 expiration and the July 14 expiration.


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Saturday, April 29, 2017

SPX Monthly Returns And Tail Risk

I had some time yesterday while waiting for an appointment, and re-read "A Comparison of Tail Risk Protection Strategies in the U.S. Market".  One particular sentence in the paper caught my attention:
"Remarkably, of the 24 months with greater than 5% loss in the S&P 500 between March 1990 and March 2011, 17 of them (or 71%) occurred with the S&P 500 below its 10-month moving average.7"
The footnote associated with this sentence stated:
"The ten-month or 200-day moving average is a popular technical indicator among market participants; its effectiveness in asset class timing is documented by Faber (2005)"
I ran the same study in AmiBroker and Excel using the monthly closing prices of the SPX.  I calculated the 10 month moving average of SPX closing prices, and compared this value with the closing value of the first day of the next month.  For example, on March 1 1990, the closing price was 332.74, and the 10 month average of monthly closing prices was 338.59 (May 1989 through Feb 1990).  In this situation, March 1990 started below it's 10 month moving average.

Looking at the same period of time as the Tail Risk Article (March 1990 - March 2011; 253 months), I found the following:
  • 70 of 253 months started below the 10 month moving average (28%)
  • 183 of 253 months started above the 10 month moving average (72%)
  • 25 of 253 months experienced a loss of 5% or more
    • 16 of these 25 months occurred when the month started below the 10 month moving average (64%)

There were a few other points to note regarding winning and losing months:
  • 103 of 253 months were losing months (41%)
    • 36 of these 103 losing months occurred when the month started below the 10 month moving average (35%)
  • 150 of 253 months were winning months (59%)
    • 34 of these 150 winning months occurred when the month started below the 10 month moving average (23%)
    • 29 of these 150 winning months had monthly returns of greater than 5% (19%)
      • 14 of these 29 occurred when the month started below the 10 month moving average (48%)

A few takeaways:
  • A greater percentage of the 5%+ monthly losses occurred when a month stated below the 10 month moving average
  • A month starting below the 10 month moving average is not a good indicator of whether the month will end with any loss ... the SPX has a positive bias
  • A month starting above the 10 month moving average is a good indicator of whether the month will end as a win (77%)
  • The numbers are similar when the range is expanded through March 2017


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Weekly Trade Summary: Apr 23 - Apr 29

Last week I closed one trade for a profit and adjusted the trade I entered the prior week. The activity is shown below:

(click to enlarge)

Original Trade Entry: March 9 - BWB on the May 12 expiration (see this post)
Closed: April 24 - profit

(click to enlarge)

Original Trade Entry: April 21 - BWB on the Jun 23 expiration (post)
Adjustment: April 25 - added a second BWB on the Jun 23 expiration

(click to enlarge)

I currently have 5 open trades, with expirations in May (1), June (3), and July (1):

(click to enlarge)

Total defined risk for these trades is still at 36.8% of the account net liquidation value. This risk is broken down into the following groups:
  • 7.8% of net liq - DOTM BWB - hedges
  • 29% of net liq - core BWB
21 trades have been closed this year...13 wins and 8 losses. Return on the account for the year is at 3.50%.  Total win rate is at 62%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 5 open trades, 3 are core and all 3 of the core trades are currently up money.

I have run 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.


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Saturday, April 22, 2017

Weekly Trade Summary: Apr 16 - Apr 22

Last week I expired one core trade and one deep out of the money hedge, and opened two new butterflies (June 23 and June 30 expirations).  The new trades are shown below:

(click to enlarge)

The entries and adjustments for the trades that expired last week are listed below

Trade Entry: Jan 3 - deep out of the money (DOTM) BWB on the Apr 21 exp (post)
Adjustment: Feb 13 - moved 4 of the 10 2180 puts to the 2170 strike for a $0.80 credit (post)
Expired: Apr 22 - small loss

(click to enlarge)
(click to enlarge)

Trade Entry: Feb 8 - BWB on the Apr 21 exp (post)
Expired: Apr 22 - small loss

(click to enlarge)

I currently have 6 open trades, with expirations in May (2), June (3), and July (1):

(click to enlarge

Total defined risk for these trades is currently at 36.8% of the account net liquidation value. This risk is broken down into the following groups:
  • 7.8% of net liq - DOTM BWB - hedges
  • 29% of net liq - core BWB
20 trades have been closed this year...12 wins and 8 losses. Return on the account for the year is at 2.84%.  Total win rate is at 60%.  The win rate on the core trades is at 67% and again down at the low end of the expected range. Of the 6 open trades, 4 are core and 3 of the core are currently up money.

I have run 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.


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Saturday, April 15, 2017

Weekly Trade Summary: Apr 9 - Apr 15

Last week I closed two core trades, and did not open any new trades.  My plan was to open one or two new core trades last week, but meetings and travel impacted my trading pretty hard.

(click to enlarge)

Original Trade Entry: February 23 - BWB on the May 5 expiration (see this post)

(click to enlarge)

Original Trade Entry: February 17 - BWB on the April 28 expiration (see this post)

(click to enlarge)

I currently have 6 open trades, with expirations in April (2), May (2), June (1), and July (1):

(click to enlarge)

Total defined risk for these trades is currently at 36.8% of the account net liquidation value. This risk is broken down into the following groups:
  • 17.1% of net liq - DOTM BWB - hedges
  • 19.7% of net liq - core BWB (all are at the target size of 5 contracts)
18 trades have been closed this year...12 wins and 6 losses. Return on the account for the year is at 3.19%.  Total win rate is at 67%.  The win rate on the core trades is at 71% and within the expected range. Of the 6 open trades, 3 are core and 2 of the core are currently up money.


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Wednesday, April 12, 2017

80 DTE Iron Condor Results Summary

This article reviews the backtest results for iron condors (IC) entered at 80 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits.  In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed an average of 165 SPX IC trades between the January 2007 expiration and the September 2016 expiration.  A total of 432 ten year backtests.  I used weekly options for this testing, so there were more than 12 trades per year.  In total, there were 71,388 total trades entered for the 80 DTE testing.

You can find the prior SPX IC posts in this series at the links below:

Normalized P&L per Day

The P&L per day values shown in the charts below are expressed as a percentage of the max risk for that test run.  Each of the different wing width ICs (25 point, 50 point, 75 point) will have a different max risk, and it is important to normalize daily returns by the associated max risk number.  For example, a 25 point IC will have slightly less than $25K max risk (margin), while a 75 point IC will have slightly less than $75K max risk (margin).  Since the 25 point IC will have approximately 1/3 the risk/margin, the $ returns need to be normalized by these varying max risk / margin numbers for proper strategy variation comparison.

The results:
  1. We continue to see more variability in P&L per day readings in the 25 point wing ICs, than in the larger wing width ICs
  2. Similar to the prior test runs, as the delta of the short strikes increases, the variability in the P&L per day readings increases
  3. The largest reading was 0.19%, which is the largest value we've seen in this series of IC tests.  There was one strategy variation with a 0.19% value:
    1. ST (NA:50), 25 point wings, 20 delta
  4. The next best readings came in at 0.18% and were associated with two test runs: 
    1. ST (NA:50), 25 point wings, 8 delta
    2. ST (200:50), 25 point wings, 20 delta
  5. 88 strategy variations had P&L per day readings of 0.12% or greater:
    1. Of these 88, 61 used the profit taking level of 50%
    2. Of these 88, 55 used the standard balanced (ST) IC structure
    3. Of these 88, 38 did not use a loss taking level (loss taking % = NA)
    4. Of these 88, 34 used wing widths of 50 points
    5. Of these 88, 32 used a short strike delta of 20 (30 used a delta of 16)
(click to enlarge)


Normalized P&L per Trade

The normalized P&L per trade charts display returns expressed as a percentage of the max risk for a given test run.  As trade duration increases with increasing DTE, overall P&L per trade increases. Due to this fact, the max value of the y-axis on the 80 DTE P&L per trade charts was increased from 6% to 12% (similar to the 73 DTE P&L per trade charts).  At 80 DTE, all delta variations had some values exceeding the 6% level.

The results:
  1. The variability in normalized P&L per trade again increases as the delta of the short strike increases, and decreases with increasing wing width
  2. In general, the returns per trade increase with increasing loss taking %, and this trend continues to be more pronounced as the trades move out in time / DTE
  3. The largest normalized P&L per trade was 9.4% and was associated with one strategy variation:
    1. ST (300:NA), 50 point wings, 16 delta
  4. 174 variations had P&L per trade values of 5.0% or greater...really large number!:
    1. 86 of these 174 were standard (ST) structures (45 were DN structures)
    2. 75 of these 174 did not use a loss taking exit (64 used the 300% level)
    3. 67 of these 174 did not use a profit taking level (59 used the 75% level)
    4. 66 of these 174 used a short strike delta of 20 (53 used 16 delta)
    5. 65 of these 174 used 50 point wings (58 used 75 point wings)
  5. The 80 DTE ICs have the largest average P&L per trade readings:
    1. 80 DTE: mean 4.60% / SD 1.98%
    2. 73 DTE: mean 3.92% / SD 1.73%
    3. 66 DTE: mean 2.79% / SD 1.09%
    4. 59 DTE; mean 2.75% / SD 1.20%
    5. 52 DTE: mean 2.33% / SD 0.88%
    6. 45 DTE: mean 2.23% / SD 0.87%
    7. 38 DTE: mean 1.88% / SD 0.75%
(click to enlarge)


Win Rate

The win rate trends have been consistent across the DTEs tested:
  1. In general, win rates tend to increase as wing widths increase
  2. Win rates tend to decrease as the delta of the short strikes increases
    1. At 20 delta, there is only a slight increase in win rate when taking losses greater than 200%
  3. The 50% profit taking level has the highest win rates
  4. The top win rate was 99%, and was associated with four strategies:
    1. EL (NA:50), wing width 25, 8 delta
    2. ST (NA:50), wing width 75, 8 delta
    3. EL (NA:50), wing width 75, 8 delta
    4. DN (NA:50), wing width 75, 8 delta
  5. 82 strategies had win rates of 91% or better:
    1. Of these 82 , 57 took profits at 50%
    2. Of these 82 , 49 did not use loss exits (they exited at 2 DTE; loss taking % = NA)
    3. Of these 82 , 43 had short strike deltas of 8
    4. Of these 82 , 32 had wing widths of 75 points
  6. The strategies with the top win rates also had some of the largest single losses...and this is consistent across the DTEs tested
(click to enlarge)


Largest Loss

The next charts show the normalized largest loss for each of the test runs  These largest losses are expressed as a percentage of the max risk found in the roughly 165 trades in each test run.

The results:
  1. Typically, the largest loss percentage increases with increasing loss taking level
  2. There were three strategy variations that had losses measurably greater than 100% of risk.  They were the 25 point wing, 20 delta shorts, DN using a loss taking level of 300%.  These variations hit a loss of 126% of risk due to bad data.
    1. This bad quote was associated with the 17-Sep-2011 expiration, and occurred on 24-Aug-2011. This was the same expiration that was hit with bad data in other DTE trades.
  3. 36 strategy variations had largest loss readings of 95% or greater:
    1. Of these 36, 27 did not use a loss taking level (loss taking % = NA)
    2. Of these 36, 18 used wing widths of 25 points
    3. Of these 36, 18 used the DN structure
  4. 34 strategy variations had largest losses that were 29% or smaller:
    1. Of these 34, 32 used a loss taking level of 100%
    2. Of these 34, 23 had short strike deltas of 8
    3. Of these 34, 18 used the extra long put (EL) structure
    4. Of these 34, 18 used a profit taking level of 50%
    5. Of these 34, 16 used wing widths of 75 points
  5. The top three smallest losses were associated with the following strategies:
    1. EL (100:50), 75 point wings, 8 delta -> 16% loss  (win rate 80%)
    2. DN (100:50), 75 point wings, 8 delta -> 17% loss  (win rate 82%)
    3. DN (100:50), 50 point wings, 8 delta -> 18% loss  (win rate 82%)
(click to enlarge)


Profit Factor

The profit factor results are listed below:
  1. Profit factors increase for variations not using a loss taking % (loss taking % = NA)
    1. This trend is most pronounced at the short strike delta of 8
  2. 216 strategy variations had profit factors of 2.0 or greater...this is a big increase again from the number of variations meeting this criteria lower DTE.
    1. 100 of these 216 took profits at 50%
    2. 85 of these 216 did not use a loss taking exit (loss taking % = NA)
    3. 82 of these 216 used the standard IC structure (ST) (73 used the DN structure)
    4. 78 of these 216 had short strike deltas of 8 (61 used 12 delta)
  3. The top tree performers were:
    1. DN (NA:50), 75 point wings, 12 delta -> profit factor of 3.1 (win rate 95%)
    2. DN (NA:50), 50 point wings, 8 delta -> profit factor of 3.0 (win rate 95%)
    3. EL (NA:50), 50 point wings, 8 delta -> profit factor of 3.0 (win rate 96%)
(click to enlarge)


Average DIT For Winning Trades

This metric was derived by averaging all of the DIT for all of the winning trades in a test run. The trends associated with this metric are consistent with the prior DTE test runs:
  1. As short strike deltas increase, trade duration increases
  2. As profit taking level increases, trade duration increases
  3. The 50% profit taking level should have you out of your trade between 24 and 47 days for a 80 DTE IC, depending on short strike delta
  4. The smallest winning trade DIT of 24 was associated with 8 delta short strikes, 25 point wings, profit taking at 50%, loss taking at 100%, and the EL structure.  The same configuration but using either the ST or DN structures yielded a an average DIT for winning trades of 27
  5. There were 50 variations with winning trade DIT values less than 35:
    1. All 50 took profits at 50%
    2. 36 of these 50 used 8 delta short strikes
    3. 19 of these 50 used the loss taking level of 100%
(click to enlarge)



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Sunday, April 9, 2017

Weekly Trade Summary: Apr 2 - Apr 8

Last week I closed one trade and opened two trades (Core BWB, Deep OOTM BWB).  Travel last week made trading particularly tricky, especially with my flight cancellations and delays on Delta Airlines Wednesday and Thursday.

(click to enlarge)

Original Trade Entry: March 10 - BWB on the May 19 expiration (see this post)
(click to enlarge)

I currently have 8 open trades, with expirations in April (3), May (3), June (1), and July (1):
(click to enlarge)

Total defined risk for these trades is currently at 44.7% of the account net liquidation value. This risk is broken down into the following groups:
  • 17.1% of net liq - DOTM BWB - hedges
  • 27.6% of net liq - core BWB (all but two trades at the target size of 5 contracts)
16 trades have been closed this year...10 wins and 6 losses. Return on the account for the year is at 2.2%.  Total win rate is at 63%.  The win rate on the core trades is at 67% and still on the low side of the expected range. Of the 8 open trades, 5 are core and 3 of the core are currently up money.


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Sunday, April 2, 2017

Weekly Trade Summary: Mar 26 - Apr 1

On vacation last week hiking with the family in Western Colorado.  Wasn't able to enter any new trades, so this weeks metrics are the same as last week's.

I currently have 7 open trades, with expirations in April (3) and May (4):
(click to enlarge)

Total defined risk for these trades is currently at 39.9% of the account net liquidation value. This risk is broken down into the following groups:
  • 12.3% of net liq - DOTM BWB - hedges
  • 27.7% of net liq - core BWB (at 75% of target size, but increasing with new trades)
15 trades have been closed this year...9 wins and 6 losses. Return on the account for the year is at 1.5%.  Total win rate is at 60%.  Win rate on core trades is at 62% and on the low side of the expected range. Of the 7 open trades, 5 are core and 4 of the core are currently up money.


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Saturday, March 25, 2017

Weekly Trade Summary: Mar 19-Mar 25

Last week I closed a losing trade in the March 31 expiration, and tried unsuccessfully to open a new butterfly on the May 31 expiration.  Meetings and travel made entering a new trade really challenging last week.

(click to enlarge)

Original Trade Entry: Jan 24 - BWB on the March 31 expiration (see this post)
(click to enlarge)

Adjustment: Feb 13 - moved all 3 of the 2300 puts to 2285 for a $3.70 credit (see this post)
(click to enlarge)

I currently have 7 open trades, with expirations in April (3) and May (4):
(click to enlarge)

Total defined risk for these trades has decreased with the trade closed last week and is currently at 39.9% of the account net liquidation value. This risk is broken down into the following groups:

  • 12.3% of net liq - DOTM BWB - hedges
  • 27.7% of net liq - core BWB (at 75% of target size, but increasing with new trades)
15 trades have been closed this year...9 wins and 6 losses. Return on the account for the year is at 1.5%.  Total win rate is at 60%.  Win rate on core trades is at 62% and on the low side of the expected range. Of the 7 open trades, 5 are core and all core are currently up money.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter"