Tag: momentum

Jun 30 – Trade Plan

The SPX options are now open and we’ve got a nice little bounce on a rumour that China pension plans are looking at buying equities.  A bit of volatility is seeping out of the option pricing and I am seeing a big bounce in the paper balance of my account.  The market is closed on Friday so we should see some accelerated time decay through the next 3 trading days.  I plan on entering this long weekend close to delta 0 with a more elongated risk profile.  I want to be able to handle a 30 point swing in any direction with modest effects and I’ll likely close the entire trade on Thurs/Fri of next week if there is no significant bounce.

Yesterday, the SPY closed at 205.5 and has erased all gains this year. Our protector equities are up 4.5% and our hedge portion is down 1.5% putting the overall portfolio up about 3% for the year while the SPY is just below 0%.  I like that, I mean, considering the market movements and environment.  Relative to the non-directional options strategies it isn’t a whole lot but during better runs, it’ll do just fine.  The trade lost about 1.2% yesterday.

The July MICs are sitting at about 0-1% P/L but that’s with all that volatility packed in the pricing of the options. Not bad considering yesterday was a 2% down day for SPX and 2.5% down day for RUT. I’d guess that a slow consolidation day would put the trade up to 2-3% as volatility decreases and the time to expiry gets shorter. The potential in the trade has gone up and if the market goes our way, I am looking to close it at around 5-6% P/L for the month which wouldn’t be bad considering the whipsaw movements which required adjusting (on the upside) and now on the downside.  Anything can happen and more sharp and sudden movements down could affect the trade and its profitability. All we can do is manage risk and exploit theta.

The bearish butterflies for Jul and Aug are all up obviously.  Nice trade compliments.

I used Friday and yesterday as opportunities to enter some of the AUG MIC.  I’ve got about 15 units on. I can’t really put on too many more until we start getting rid of the July ones.  I’ll be considering this as we go forward.  I sold 1890/1870s and 2175/2200s  (almost 290 points between the shorts) yesterday for a good price! Gotta love that. Huge width in what I could see. On another down day, I’ll probably enter another 5 units for Aug.

Mar 11 – Trade Report

So yesterday was an interesting day.

SPY is both negative on the year AND it was a big 1.65% down day. During these types of days I like to analyze the resilience of our trading strategies, especially, the a protector portfolios.

So let’s recap:  SPY opened the year at 206.38 and it closed the day yesterday at 204.98. It’s down 0.68% for the year.

The equities (alpha portion) is actually up about 0.4% on the year and the hedge is down about the same. We’re essentially break even on the Alpha protector portfolio and the market is down nearly a percent. Better than expected. Had we used straight RSP we’d be down about 1% (0.68% + 0.4%). Note that over the course of the year, the hedge would pay for itself and we’d consider ourselves up 0.4% on the year. Factor in dividends etc and it’s even more. We can expect the trade to do well in bear and neutral markets . Having only been in the trade for a little over 2 months and being break even while the market is down is fantastic. The trade under-performs for its first few months typically as the hedge is far from paid for.

The momentum portion which we had running for a bit ended break-even.

The SPY/TLT pair trade for March is currently down 17% vs SOs 41%.  We’ve got about 7% of the position left (201/196 and literally a few 205/200s and 206/201s) with a few TLTs. Maybe we can get it down to about 15% loss. Monitoring. The Feb trade was up 10%.  So we’re down overall on the SPY/TLT trade.

The MICs have all done v. well. Glad to have refreshed and realigned my outlook on the MIC. Looking forward to managing this and the protector as my main strategies going forward.

So in conclusion for this very volatile year the results after a huge down day that took the markets negative for the year:

Protector: 0%

SPY/TLT: -7%

Momentum: 0%

MIC: TBA

Feb 22 – Update

My portfolio has hit a yearly all time high.  Not bad considering our SPY/TLT is down about 19%.  I am going to wait for a bit of a down day next week to roll up our spy pair for more credit.  Any movement up in TLT will get the trade towards the profit zone (captain obvious). This is a smaller portion of our portfolio and we expect these sorts of swings.

The momentum portion is still positive but just barely

The alpha protector is doing very well.

TLT roared to 128 on Friday and closed back down to 126.65 after news of a Greece deal. This also pushed up SPY about a half percent in a minute. At 128, I think our pair trade was only down 10%.

I think I personally will start to increase the MIC (modified iron condor) portion to a significant amount of my portfolio (20%). My portfolio will mostly consist of MIC (20%), Alpha Protector (40%) and very small leveraged portions of momentum rotation (10%), earnings based volatility trades (10%) and a small portion of spy/tlt pair trades (10%) and some bond rotation (10%). I’ve also got a  position in the optimal fund at Covenant capital but I don’t include that in the above percentages. I gotta say, I am kind of excited about the optimal fund, I like the way they approach risk and volatility. The idea is to use a lower amount of capital with a higher volatility trade style to achieve the same results. I am looking forward to seeing how this performs in 3-5 years.

I will post all my MIC trade entries and adjustments on this forum under the heading “MIC – Month”.  So anyone who is interested can follow along.