New Trade Graph Feature on ORAD

Written on August 20, 2008 by OptionsRopeaDope

One of the goals I have had for this blog is to become more “self aware” of my trading and the markets through transparency of my trading decisions. It has worked and my methods and understanding of major principles such as risk management and portfolio diversification have been pushed to another level. A picture is always worth a thousand words though, and I’ve lacked a way to get alot of the metrics that I track into visual, graph like form.

Any designer or report writer will tell you that displaying information graphically has a real purpose, namely allowing the reader to process a large amount of data very quickly. Done correctly, it also provides the proper context. So after monkeying around with Google Spreadsheets for a couple of weeks, I think I’ve come up with a way to track alot of my individual trade and risk metrics over time. As a preliminary example, here is a trade (a RUT Iron Condor) I opened on Monday:

 (It looks a bit sparse after a couple of days because of the lack of info… over the course of 2 or 3 weeks it will look much better). It may be a little confusing at first glance, just realize that price (of the underlying), implied volatility, and profit are all relative to a starting value. Why? Two reasons - to make sure everything can fit on the same scale, and to fit in line with the way I’m calculating the greeks, which is to have a method of tracking profit without regard to the absolute size of the position (ie, I want this to work no matter if I am trading with 1 contract, or 1000) Here is each element:

Profit: calculated as current profit (in $) divided by my max loss for the position

Price: Uses the close for each day, and the first day is set at 0. Changes afterwards are % changes of the underlying from that day.

IV: Treated the same way as price.

RRDelta: The RR Delta on that particular day. Since I calculate RR Delta as a %, this value is absolute. Don’t ever want this to get over .4 or .5 (or below -.4 or -.5).

RRVega: Treated just like RRDelta.

I think this will make my position updates a little more interesting if I keep these going. And it meets my goal of allowing me to scale up in position size, and use the same rules for trade management. And Google spreadsheets is great for tracking this, as it automagically fills in the date and colsing price every day since the start of the trade.

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Posted in Real Trades, Trading Rules, Misc No Comments »

August Results - 3%

Written on August 14, 2008 by OptionsRopeaDope

Over this week until this morning, I closed out the remainder of my trades.  The IBM double calendar is the only one closed for a profit - just over 10%.

I have to shake my head at the condors - the move last week (up 7%+ in 7 days) drove them into danger at the worst time - when it is too close to expiration to make an adjustment. Unfortunately, I took a 4% loss on both. EEM also took a bath, for a 5% loss, after being up 10%+ last week. EEM has been a bear of an ETF lately, moving straight down (down close to 20% in the last 2 months.)

I did stick to my rules for the most part - adjusting EEM when it still had a profit, for example. And a profit is a profit, I just hope this is chalked up to a poor month (some others, such as Insane Money (link on the right) did much worse) that some good management skills allowed to avoid a loss in.

I’ll be opening up a new batch of trades on Monday.

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Posted in Real Trades, Iron Condors, Calendars, EEM, IBM No Comments »

Dan Sheridan on Iron Condors (with link)

Written on August 12, 2008 by OptionsRopeaDope

I posted this a couple of weeks ago, but the video disappeared quickly. Looks like it is back now though. Go here, and choose “Dan Sheridan Archives.” It is listed with the date of 8/5/2008.

It is a very good webcast, and a mirror of a live seminar he taught earlier this year. Covers adjustments, and several sample trades in the worst of conditions. Worth the watch.

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Posted in Videos, Dan Sheridan, Iron Condors No Comments »

Adjust - EEM 130 to Double Calendar (130/40(!!))

Written on August 8, 2008 by OptionsRopeaDope

This is a strange one due to the EEM split a couple of weeks ago. As mentioned in an earlier post I closed half the original position (at 130). Yesterday, I opened another calendar when it reached break even. I had a choice between the 41 strike and the 40 strike, and chose the 40. Had to make sure I purchased 3 times as many of the 40 strike contracts as I owned of the 130’s to balance them out. With the further drop in EEM, I’m mildly down right now (4%), but it would be much, much worse without the adjustment. And my breakevens are fairly wide, about 39.50 to 43.75. I can tolerate another 3-4% drop in EEM now and still escape with a profit.

The right-most spike is at 43.33… freaky!

In other trade updates - I closed the put wing on my QQQQ condor for .01. Looking nice all around, this rally doesn’t hurt a bit.

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Posted in Real Trades, Calendars, EEM 1 Comment »

Close - RTH Condor

Written on August 6, 2008 by OptionsRopeaDope

In this for 14 days…. closed the RTH put condor for a credit of 4.3, after opening it for a debit of 3.8, for a 13% profit.

I actually closed it with an even number of contracts, leaving me with some extra puts at the 85 strike. They’ll probably expire worthless but if RTH should fall this week I may shave a nice additional profit from them, also.

There were also some lessons learned from this trade…

- open interest is important, even for popular underlyings. The trouble is with ITM options (my 100 put was very slim on open interest.)

- I opened this as a put condor (for a debit) just because I didn’t want to tie up the additional margin required by an iron condor this close in (i.e., for 1 contract, my committed capital was $380 for a put condor vs. $500 for an iron condor.) I didn’t plan on the ITM put bid-ask spreads to be as insanely wide as they were though. Mentally, Id have preferred an iron condor here.

I may repeat this trade next month if RTH stays in this range (it is threatening to break through to the upside today.)

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Posted in Real Trades, Iron Condors, RTH 1 Comment »

Position Updates - 3 Condors, 2 Calendars

Written on August 4, 2008 by OptionsRopeaDope

Not much movement since the last post until today, and it was still a small movement overall. For my first adjustment of this cycle, I closed half of my EEM contracts as the position lost all its profit and seung to a loss. I had the thought of opening another calendar but didn’t at the end of the day because I thought it best to get out of the position altogether, given the odd strike price I was using (130, pre EEM split). The remainder returned to breakeven Also, My RTH Condor shot way up, giving me a flat day, and an overall portfolio gain of 4% with around 5 days left of trading. 

QQQQ Iron Condor - 40/41 puts, 49/50 Aug Calls  

Delta/Theta = 2.13

1 Day 1 Std Dev Move (.62 points)

The position is slow to let the premium go, but it is leaking out slowly. Up 2% with more to come this week. Very safe.

NDX Iron Condor - 1650/1675 puts, 1975/2000 Aug Calls  

Delta/Theta = 1.4

1 Day 1 Std Dev Move (28 points)

Up 5%. Another 5% to go. Short deltas are 3 and 7. I wish they could all be like this one has turned out.

RTH Debit Condor - 80/85, 95/100 Put Condor  

Delta/Theta = 2.21

1 Day 1 Std Dev Move (1.53 points)

Up 11%on my account screen, but looking closer I think it isn’t accurate, as the bid-ask spread on the 95 and 100 puts are very wide. Looking at the open intrest in the 100 puts, I have alot more than I’d wish… and even though I think the chances of RTH reaching 95 are nil, it’s something else I need to look at on my trade-open templates.

EEM Calendar - 130 (43.33) Aug/Sep calls  

Delta/Theta = -1.86

1 Day 1 Std Dev Move (.73 points)

In my ast post I said “I’m hoping for a big one day profit jump”… instead I got the one day profit loss  Down 1 1/2% overall, and I may close this out tommorrow on any downward move.

IBM Double Calendar - 125 Aug/Sep Puts, 130 Aug/Sep calls  

Delta/Theta = 1.46

1 Day 1 Std Dev Move (1.62 points)

IBM behaves range wise, but only at break even on this. This has plenty of juice to squeeze, and I’ll probably be out by Friday no mattwe what.

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Posted in Real Trades, Iron Condors, Calendars, QQQQ, EEM, RTH, IBM, NDX No Comments »

Position Updates - 3 Calendars, 2 Condors

Written on July 30, 2008 by OptionsRopeaDope

Things are perfect  for these positions on many levels… the portfolio is up a combined 6% now, with 16 days to go (hopefully I’ll be out within 8 though). A stray thought… I have “max loss” levels for individual trades, including that if the trade is up say 10%, I won’t let it turn into a loser (my max loss is break even). Should I do the same with the portfolio? For example, now that it is up 5+%, should I close everything out if it goes back to breakeven? I’ll ave to think about that one.

All my positions are profitable right now.

QQQQ Iron Condor - 40/41 puts, 49/50 Aug Calls  

Delta/Theta = -.04

1 Day 1 Std Dev Move (.62 points)

Up 2%, but IV has increased a good clip over the past few days and that has hurt. At the perfect spot though, just about delta neutral with wide wings, and only a few days to get in trouble. My short deltas are 5 and 7. Gets safer by the minute.

NDX Iron Condor - 1650/1675 puts, 1975/2000 Aug Calls  

Delta/Theta = -2.25

1 Day 1 Std Dev Move (28 points)

Up 5%. Another 5% to go. Short deltas are 5 and 8. Like the QQQQs, this should blossom shortly. On a side note, I’m really happy about my super special greek formulas looking at this. My overall delta is only -2 on the entire NDX position, but that is meaningless without considering that the underlying is at 1852. My calcs give the real picture, that a normal, 1 standard deviation move will have a larger impact than expected (I’ll lose 10% of the apital between my current profit and my max loss. My actual QQQQ delta is -23, much higher, but a much lower impact. Who would guess?

RTH Debit Condor - 80/85, 95/100 Put Condor  

Delta/Theta = 8.58

1 Day 1 Std Dev Move (1.55 points)

Up 8.5% now. IV has actually increased also, so I could close this out if it drops (and it should, I think). f it falls alot, this could be a block buster RTH has moved quite a bit though, and my short deltas are very high (24, 20), so it could also lose money fast. I’m keeping an eye on it.

EEM Calendar - 130 (43.33) Aug/Sep calls  

Delta/Theta = -1.86

1 Day 1 Std Dev Move (.73 points)

Up 8%… and it flirts with 10-15% every day. This should be more I think, and I’m hoping for a big one day profit jump (as many calendar trades seem to want to do) soon if the price doesn’t move too badly. Up 5% yesterday though. That’s 3 standard devs!

IBM Double Calendar - 125 Aug/Sep Puts, 130 Aug/Sep calls  

Delta/Theta = -.1

1 Day 1 Std Dev Move (1.62 points)

Much like RTH, IV has moved the wrong way on this one, dropping when everything else is rising. Nonetheless, up 1% right now, and right in the middle (128.86) between the strikes.

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Posted in Real Trades, Iron Condors, Calendars, QQQQ, EEM, RTH, IBM, NDX No Comments »