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Old Sep 29, 2010, 10:03pm   #16
Joined Dec 2008
Tuesday 28th of September

PerErik started this thread Good day,
We now have 2 sessions left of the quarter and it will be interesting to see if we have an end of the quarter sell off?
Tuesday price action was a bit like expected following the down day Monday, it drove lower off the open and hit 1127.50 low. We then saw some massive volume, at least relative to recent days, coming in at that low level. The 5min bar traded more than 114k contracts, which is the most we have seen on any 5min bar over the last 2 weeks. The significance of these high volume bars is important because most reversals start with a high volume bar. The higher volume the stronger the reaction off that level often tend to be. One thing to note is also the seasonal and relative factor.
114k contracts is maybe not much in November or some other time of the year when we see higher daily volumes, but it was certainly noteworthy for current conditions. I pay more attention in terms of relative value than the actual number of contracts. Is that bar standing out to recent things we have seen? If the answer Of course I also look at other time frames to judge the volume in an interest area.
Another thing to note is that the low last Wednesday was 1126.50, so that was fairly close to Tuesday's low as well.
On the options trading I did the following changes:
I bot back the 1090 and 1100 puts (at 7 and 6 points) and sold a small 1120 puts position (at 11 points) instead to get more premium and decrease the risk to the downside if we see a larger move.
I also bot back the 1140 short call for 19's and instead sold a 1140 put for expiration Friday.
On the futures side the net result was -7.2 points on the day and the total result of the day for the portfolio was -0,16%.
On the open position side I still have net short delta with more calls than puts.
That is all for now, have a great day.
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Old Oct 1, 2010, 11:08pm   #17
Joined Dec 2008
Thursday 30th of September

PerErik started this thread This is Wed 29 Sep, not Thursday as the post says

We had an inside day Wednesday on the S&P futures, meaning trading range was inside the previous day range's. The total range today was only 9 points, smallest range since 13th of September where we had 8.25 points range.
We now have 1 day left of the quarter and would not be suprised to see a major move tomorrow.
I would like to mention a few key levels in the S&P Emini futures (ES).
To the upside we have 1156 that was the high on the flash crash day and 1163 (13/5 high), so solid resistance above us here.
Looking at the hour chart we have yesterday's low as a key level since we had major volume coming in there.
The next support level is then 1122 (break out level) and 1105.75 (open gap from 11th of September).
Trading wise I had a weak day, as I was looking for a larger move and was looking for a break lower and sold weakness, but it basically bounced every time and turned into stop outs. A bit surprised to see such a tight range day going into the quarter end.
Net result was -9.8 points on the futures and -1,63% on the day for the total portfolio.
I did not make any changes to the options portfolio.
New day tomorrow, have a great evening

Last edited by PerErik; Oct 1, 2010 at 11:10pm. Reason: Wronge date posted, this is Wednesday 29th of Sep
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Old Oct 1, 2010, 11:12pm   #18
Joined Dec 2008
The correct Thursday 30th of September

PerErik started this thread The S&P emini futures broke above the key 1150 resistance level right at the start of the floor trading session and failed at 1153.50 where we saw a lot of volume coming in. It traded more than 122k contracts on the 5min break out bar and also did 573 contracts the first hour. All that volume was selling of course and late longs got sucked into the market and short got stopped out, then the market reversed lower and we did drop 21.25 points in 2 hours after the break and made a low at 1131.25 and then traded more or less sideways for the rest of the day.
A note that I saw when looking over the 60min chart is that the reversals this week all was made when we had more than 500k contracts traded on the ES on the hourly bar.
Link to chart image here: http://chart.ly/o56eppa
One thing I want to say on the selloff Thursday is that the price action and volume towards the close was not that bearish actually. If it was really bearish we should have seen strong selling towards the close and break below 1127 in my opinion.
We now have 2 major areas to watch, 2 levels we saw those two major reversals of this week, which are; the 1153.50 to the upside and 1127.50 to the downside. Keep those levels in mind going forward?
Trading wise I was forced to buy the break to protect the short calls I have on and I was a bit slow to close the long, so in the futures I lost 6 points.
However since I was less long then my negative delta when the market dropped the day turned out quite well in the end. Made 1.17% on the day all in.
Options wise I did the following trades:
I bot back the 1100's puts for October at 5.75 points, was quite cheap and no point risking that option coming back into play if this move higher reverses.
I really don't want to leave very low value out of the money options open as they can hit me if we see a big move. I rather buy them back and sell another strike with much higher premium closer to the market price.
I also bot back some 1140 calls for October on the break higher to reduce my negative delta and instead sold 1150 and 1160 for October when the move started to fail. I did also sell calls at 1180 for Nov, getting around 18.50 to 19 for those.
When we trade back below 1135 I also added some 1080 puts for November for 18 points, so balance the negative delta a bit.
I still think we have a good chance at going lower before we break above 1160, but we need to close below 1127 next few sessions to go lower. Simply put one can say that above 1127 the bias is bullish.
today's Mr Topstep: http://mrtopstep.com/2010/09/30/ffffade-away-day/
That is all for today, have a great day, take care
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Old Oct 4, 2010, 11:24pm   #19
Joined Dec 2008
Friday 1st of October

PerErik started this thread Welcome to the 4th Quarter, normally the best 6 months period for stock market is from November through April. Regarding October, historically has been the 7th best month for the Dow, stocks rising 57 % of the time since the index was founded 113 years ago.
The S&P futures had an inside day today, trading inside the previous day's range and the today's range was 12 points (1134.50 low to 1146.50 high)
Trading wise I mainly concentrated on trading the expiring weekly contracts on ES, selling calls puts on the 1140 level for expiration today and hedging in the futures and we went up and down the range. I made about 2 points in the futures and good amount in the options and ending the day 0,86% higher on the day.
The only change I did outside of the expiring options for today was to sell some 1140 calls for 8 Oct. and some 1130 puts for 8 Oct. that I trade out of the start of next week. Received 19 points for selling that spread.
I also bot 79 put in Crude oil (CL) for expiration October, paying 0,90 to 0,91 for the trade.
Would like to remind that the key levels in ES are 1153.50 and 1127.25, basically the week's high and lows, important levels for next week as those are the levels to break to make a more directional move. Still have that gap down at 1105.75 also that I have noted down as possible downside target.

That is all for now, take care.

Last edited by PerErik; Oct 4, 2010 at 11:25pm. Reason: typo on the week's low
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Old Oct 9, 2010, 12:53am   #20
Joined Dec 2008
Monday 4th of October

PerErik started this thread The S&P futures trading down 7.5 points, but found support down at last weeks low 1127 level and closed well off the low, which indicates some buying, otherwise it would have flushed through the close.
Another thing to note is that the volume was lower than 2 previous bars and it was unlikely to break that 1127 low on reduced volume. Remember that the key volume areas we have are 1127 and 1153.50. The low looks like a successful test, see link:
http://chart.ly/y43ytwm
To the trading,
lost 13 points on the futures trading as I was hedging the long calls I had to have some long exposure on the drop. Still ended the day up 1.24% on the day as the short calls declined more in value that the what I lost on the futures.
In the options portfolio I made some minor changes, bot back some of the short 1150 calls for October and also sold 1135 call for expiration Friday to get a bit more premium in.

That is all for today, good luck
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Old Oct 9, 2010, 12:54am   #21
Joined Dec 2008
Tuesday 5th of October

PerErik started this thread S&P futures basically traded up for the whole day, only down bar on 1 hour chart was the last hour. ES gapped up 8.75 points on the open and never looked back and the successful test down at 1127 yesterday proved correct today. ES closing up 20 points on the day and now trading at the top of the recent range and have trend channel resistance at 1154.
Trading wise I was not enough long today in the futures to hedge the short calls and the portfolio fell by 2.3% on the day. Made 5.34 points on the futures side and made a series of changes to the options portfolio.
Bot back some of the 1120 puts for October exp, not worth risking a downside break and the options coming back into play, so closed some at 3.75 points.
Also bot back some Nov 1150 calls and sold 1170 and 1180. Bought back 1140 calls and sold some 1150 puts for 15 October expiration to hedge some of the negative delta I have.
To be honest I had been looking for a bit more decisive action around this 1153 level, but seem to hanging around this 1120 to 1153 range for a few weeks now.

That is all for today, take care
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Old Oct 9, 2010, 12:55am   #22
Joined Dec 2008
Wednesday 6th of September

PerErik started this thread Fairly tight range today in the S&P E-mini futures and we had an inside day, trading inside the previous day's range. Total range was 7.75 points.
Very little trading today and was even for the day trading wise. However as the time decay played nicely in my favor the portfolio was up 1.16% on the day.
No changes made to the options today. Nothing more to report really, everybody is looking forward to Friday's Non Farm Payrolls report at the moment and following the weak ADP number today it seems given that the number will be weak, just depends how much is priced in.
Looks like everything is highly correlated at the moment, with Gold rising as long as rates stay low (10 year US Treasury note) and Euro following Gold.

Have a nice day, take care
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Old Oct 9, 2010, 1:31am   #23
Joined Dec 2008
Thursday 7th of October

PerErik started this thread S&P futures spiked higher on the weekly jobless claims data and tested that 1163 key resistance level (high from 12 of May), which is the highest level after the flash crash on 6th of May. However it failed at the level and traded all the way down to 1147 in the next 3 hours, but it was no real drive in the volume on the move lower and it move back higher towards the close and closing pretty much unchanged at 1156.50. Good rally back off that 1147 and we are all looking to tomorrows payrolls.
The key resistance levels for tomorrow are 1163.50 and 1168, to the downside we have 1147 (today's low) and 1127 the key high volume area.
Trading wise the portfolio was down 0.77% on the day and the major problem was that I lost 13.50 points in the futures as I was too much long hedged on the dropped lower.
On the options portfolio I bot back the rest of the 1120 Oct 15th puts from 4.30 to 4.50 points. Also bot back some 1130 October 15th puts around 4.30 for that one as well. Bot back a tiny 1155 call for October for 10.50 points and did sell a 1150 October 15th call when we dropped lower as I was a bit too long.

That is all for now, have a nice day
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Old Oct 9, 2010, 1:32am   #24
Joined Dec 2008
Friday 8th of October

PerErik started this thread Good evening, will keep it very short as I am closing down for the weekend and will write a the more detailed trade report Monday.
As far as the trading today the Non Farm Payrolls was a bit of a non event.
I had expected more movement. That yesterday's low 1147 level held to the downside (day session) today and we tested that high end of the last week range at 1164 towards the close. Could not break 1164 and closed 1060.50, up 4 points on the day.
Average volume trading 1.963m in the E-mini today. The 1 hour chart looks potentially toppish.
I would like to note one thing, saw fair amount of voluming coming in on the cash close trading 89k in ES contracts on the 5 min bar, closing on the low, showing clear selling action. That is weakness and might impact Monday's overnight (Globex) session and I expect the S&P to open lower Monday in the day session then 1161.
That was the highest volume 5min bar the whole week.
See chart image: http://chart.ly/ialtcho

That is just my prediction, but what do I know?

Some key levels for next week, see this chart: http://chart.ly/xrbykdf

today's Mr Top Step: http://mrtopstep.com/category/video/

Have a great weekend everybody, take care
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Old Oct 13, 2010, 1:29pm   #25
 
2 Posts
Joined Oct 2010
Re: My futures trading blog

This blog is public and held in place will continue, but technical analysis is limited to members EminiPlayer.net. If you found my analysis and insights would be useful for your business, a good head on over and sign www.EminiPlayer.net through the Subscribe link to get immediate access.

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Old Oct 14, 2010, 2:34am   #26
Joined Dec 2008
Friday 8th of October

PerErik started this thread Overall I made 1.16% on the day.
Made 11.5 points on the S&P Emini futures(ES).
On the options portfolio I bot back 1150 Oct calls for 17 points and also 1150 calls was bot for 36 points to decrease the short delta. I sold some Nov. 1180 calls for around 18 points. Also did a short straddle spread type of position selling 1160 October put and selling the Nov 1160 calls, getting 40 points for that position.

That was all for today, take care
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Old Oct 14, 2010, 2:36am   #27
Joined Dec 2008
Tuesday 12th of October

PerErik started this thread This is for Monday 11th of October
Very slow day as we had Columbus Holiday in the US that reduced the trading activity a great deal and S&P Emini futures only traded 1.050m contracts on the day compared to the 50 day average of 1.1913m contracts.
The daily range was 7.50 points and it was an inside day, trading inside the previous day's range.
ES did not open below the 1161 level as I thought would happen following the selling action on the cash close Friday and the open was 1162.50.
The overall portfolio increased by 1.52% on the day as the short options portfolio saw theta fly out of the window (time value).
I made 6 points in the ES futures and no adjustments in the options positions.

That is all for today, have a great evening

Last edited by PerErik; Oct 14, 2010 at 2:38am. Reason: wrong date
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Old Oct 14, 2010, 2:37am   #28
Joined Dec 2008
Tuesday 12th of October

PerErik started this thread The ES dipped on the open and actually tested the Friday day session low at 1151.50 and when that level held on decent volume it rebounded higher and basically traded higher for the rest of the day, testing 1169 late in the session, but failed to break 1170 and fell back to close at 1164.50.
We have now broken above that 1163.50 key resistance level, which was the post flash crash high from 13th of May.
The next resistance levels are now 1198 and 1207, see chart link:
http://chart.ly/acxt2dt
ES has had a nice and long move to the upside since we bottomed at 1032 in August, but the hourly chart does still not show a clear top yet. I am looking for either a blow out reversal bar on extreme volume or a down bar on highly increased volume to show that sellers have taken over. I have not seen any of those yet to be honest.
Also remember that we have options expirations this week and statically it tends to be heading higher towards Friday and we did not see turn around Tuesday today.
Realized volatility is down below 16, which is getting relatively low compared to recent levels and that has been a bouncing level over the last months.
Not sure it will be so this time?
See Mr Topstep for today: http://mrtopstep.com/2010/10/12/over...morning-trade/

Overall the portfolio fell by 0.18% on the day.
I lost 6.5 points in the futures I was stopped out a few times in the Globex session on some hedges and I was way too slow to get long after the initial dip. Only adjustment made in the option portfolio was that I bot back Oct. 1150 calls for 18 points and sold Nov. 1190 calls for 14 to 15 points.

That is all for today, have a nice evening
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Old Oct 19, 2010, 1:54am   #29
Joined Dec 2008
Wednesday 13th of October

PerErik started this thread S&P futures (ES) gapping 7.50 points on the open and making a trading to 1181, which is the highest level since 4th of May. The next key resistance levels are 1198 and 1207 and to the downside we have 1151 and 1127 for now. Remember that we options expiratons this Friday and normally we have one down during the options expirations week.
Trading wise I made 35 points in the ES futures today, but since I had fair amount of short calls the overall performance for the day was -0,67%.
On the options side I closed some of the short October 1130, 1140 and 1150 puts as the value of these options was so low that no point keeping them on in case we would get a large down move and these would come into play, a major risk that I don't want to take. I also took profit on the 1080 outstanding puts, buying them back for 5.75 points and selling some Nov. 1130 puts for 12.25 instead to get some more premium.
I did sell some 1170 puts for expiration Friday instead to protect a bit against a run higher towards my 1190 calls. I sold sell some more 1180 calls for November 19th, getting 24 and 25's for those and combined that sell with selling some Nov. 1190 for 20 points as well.
I also took profit on the CSX 55 calls that I bot yesterday, closing them at 5.55 for a nice 45% gain, thank you very much.

That is all for now, take care.
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Old Oct 19, 2010, 1:57am   #30
Joined Dec 2008
Thursday 14th of October

PerErik started this thread S&P futures (ES) traded weaker from the open and then put in a strong rally in the last 45 min as market was looking for strong number from Google that reported after the bell. It closed 0.75 points lower at 1173.50 on the day, which was a good 11 points off the low.
Trading wise I lost 2 points in the futures, but the recovery into the close left me a bit standing and was not enough long on the rally, so the short calls increased value and the portfolio ended -1.13% on the day.
Another reason for the fall in the portfolio was the increase in volatility on the options that expire tomorrow (Friday), which is normal when you get closer to expiration.
On the options side I did the following changes:
I bot back some of the 1170 and 1180 that I sold early on the in the session, that I sold when it broke 1170. So took profit on those and sold some November
1200 calls, getting 15 to 15.50 for those.
I also put on a spread in VIX, buying he Dec 20 call and selling the Nov 25 call paying 4.55 per contract.
I also bot very small positions in 570 calls in Google for 2.09 that expires tomorrow, basically need a big move in Google on the earnings for this trade to pay off.

That is all for now, have a good night
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