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This is a discussion on My futures trading blog within the Trading Journals forums, part of the Reception category; FOMC held rates unchanged and signaled possible more QE, which sent the S&P futures higher, but it stopped just shy ...

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Old Sep 22, 2010, 11:11pm   #11
Joined Dec 2008
Tuesday 21st of September

PerErik started this thread FOMC held rates unchanged and signaled possible more QE, which sent the S&P futures higher, but it stopped just shy of that gap at 1144.75 13th of May and the high was 1144 yesterday, so that gap is still not filled. As I mentioned a few times over the last days, there are some serious resistance levels from 1144.75 up to 1163 and as long as we remain below 1144.75.
I favor a move back and fill the 1105.75 gap from 10th of September, before we go higher.
As for the trading it was an active day trading just above 30 trades in the ES and making 9 points trading to the long side. I was not enough long though to make up for the rise in value on the short calls I have above 1130 and up to 1170, but I made up a bunch of that loss when I closed the longs at 1142 and 1143 as I wanted to see if 1145 would hold and it did. So as the market went lower off this 1144 high the lack of long to the upside was at least somewhat made back on the way down.
As for the options I did the following adjustments.
Right after I had closed the ES longs I actually sold some 1140 puts for expiration Friday as a hedge and also sold some 1140 calls for Friday when it broke below 1137, just for hedge as I was scaling in long and it looked like a false break, so it made sense to sell some more premium in that key area. I got 6.50 points for those 1140 calls for Friday.
I sold some 1090 puts actually prior to FOMC as I wanted to balance the delta a bit more. I bought back some of the 1130 short calls just after the FOMC and sold 1130 put instead and sold higher strikes at 1150 for October (receiving around on average 16 points) and 1170 calls (for 18.50 points up to 19.50 points).
I now have basically a short straddle at 1130, with calls above 1140 up to 1170 for expiration October and November. I have short puts down at 1100 and 1090 for October and small position in short 1080 puts for November.
The strategy over the next sessions will now be to hedge and be active on the long side above 1130 or so. If it breaks above 1145 I have to again make a bunch of adjustments as I would be a bit too short calls if that level breaks.
To the downside I will not make any big options adjustments for the moment unless 1105 breaks.
I basically have the downside under 1080 free to sell puts if we come down below 1105 and the vols would rise if we go lower it does not make sense to sell much downside just yet, unless 1145 breaks of course then I have to put on a bit more downside. Also keep in mind that my puts are expiring in October, so lots of Theta in them the last 3 weeks.

That is all for now, havea a nice evening
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Old Sep 28, 2010, 1:41am   #12
Joined Dec 2008
Wednesday 22nd of September

PerErik started this thread After the S&P futures stopped short of filling that gap at 1144.75 Tuesday I was expecting a move lower and my next target is for a fill of that gap down at 1105.75.
The volume today was quite light and although the close was in the lower end of the range it seems the selling pressure was limited since it was no real volume expansion on the move lower. It was not really close to testing that previous break out level at 1122. The daily low was at 1126.
Trading wise I traded long during the day to hedge the short calls, but sold out a bit too much when 1130 broke and not quick enough to get back long.
Lost 7.2 points in the futures on the day, but since the short calls fell in value the portfolio rose 0.98% on the day.
In the options portfolio I bot back some of the short 1130 and 1140 calls early on in the Globex session and also sold 1120 puts to hedge a bit of the short delta.
When it was apparent that 1144.75 resistance level would not break I sold some of the 1130 calls again.
All in all a fairly quiet day, take care everybody.
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Old Sep 28, 2010, 1:43am   #13
Joined Dec 2008
Thursday 23rd of September

PerErik started this thread Finally broke below the 1122 as I expected but no real follow through and my target at 1105.75 (gap from 10th of September) was never really in reach. The daily low was at 1117.25 on increasing volume, so that signaled increased selling pressure. The volume was above the 50 day average, trading 2.190m contracts on the day.
Tomorrow will confirm if this was indeed selling pressure or buying into the dip.
Trading wise I still had to hedge some of the short delta being long the ES futures, so I lost 6.9 points in the futures and being a bit too much long I lost -0.41% on the day overall.
I did only 2 changes to the options portfolio, I bot back some of the 1130 calls when it rebounded over 1120 as I wanted to reduce the short delta exposure a bit and I also sold some 1100 puts for September for around 15.50 points to get a bit more balance in the options portfolio.
That is all for today, see you later, take care.
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Old Sep 28, 2010, 1:44am   #14
Joined Dec 2008
Friday 24th of September

PerErik started this thread S&P futures (ES) tested lower in Globex session, but Thursday low at 1117.25 held overnight and it basically traded to the upside for the rest of the day, closing right at the top of the daily range at 1143.50. The break above Thursday's high at 1132.25 it took off like a rocket.
We still have that 1144.75 gap open, it was not filled today either, the high was 1144.50. Maybe I am being a bit picky now as it missed by 0.25 points only, but again it still a key level around that 1145 to 1150 level that we need to see a daily close above to extend higher.
Trading wise I made 11.92 points trading long in the ES, still not long enough as I have bunch of short calls above 1130 up to 1170, so portfolio wise the value dropped 1.74% on the day.
I still feel more comfortable being a bit too short here as chart wise it looks tough to break much higher at the moment. Another thing is that all but one of the short puts positions expire in October and therefore I prefer to avoid a large sell off before they expire and if it drops I would benefit since I am a bit too short.
The risk is of course a quick break out higher, but below 1145 to 1150 that looks unlikely.
Another point about Friday's candle is that it could be possible "no demand" bar as the candle is fairly narrow on volume lower than previous few days. However we need to see some confirmation before I would really act on that signal.
Options wise I made the following changes:
When it broke 1133 I had to make some changes, as it looked like downside was well supported for now.
I took profit on some of the short 1090 puts, as the value on that position dropped to 7 points and I don't want too many options to far out of the money to the down side as any quick move to the downside would increase the value of these out of the money puts rapidly.
Instead I sold the 1130 puts that are close to the money and have much more premium in them, for 14.50 points. I also bot back a bit of the 1100 puts for the same reasons as the 1090.
I bot back the 1130 calls and sold small position of 1140 puts (getting 10.50 points) for 1st of October expiration and sold calls at 1150 for October. Lastly I did sell 1170 calls for November for 21 points, leaving me with break even of 1191 on those.
I see the 1170 level as being far enough above the 1145 to 1150 resistance zone that if 1170 would come into play the options down below 1140 is most likely either expired already or have very little theta left. Also that break even of 1191 is only about 16.50 points below the yearly high that makes it prefect to roll positions above that 1207.50 level in case we hit 1191.
So now I basically have calls from 1140 and up to 1170 at 10 points interval and puts from 1140 and down to 1090.
Next week will be key to determine if this week’s move higher is for real or not.
Remember we have end of quarter on Thursday.
That was all for now, have a nice weekend.
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Old Sep 29, 2010, 2:50am   #15
Joined Dec 2008
Monday 27th of September

PerErik started this thread The S&P futures (ES) triggered stops in the Asian hours sending it up to a high of 1149.75.
However it was not able to get above that 1150 level that I have outlined a few times last weeks.
The open was at 1145 so that means the gap from 13th of May is actually filled now.
It traded lower on light volume and closed at 1137.75 on the lows for the day pretty much. The lack of volume signals to me that it was limited selling pressure on the day and we have to see expansion in the volume to the downside to really get a sell of lower.
Trading wise it was a slow day and I had to get long ES on the break higher in Asia, but sold a bit back when it broke back below 1144. I also closed the VIX options structure I had (long Nov 27.50 call and short Oct 30 call, 1x1 ratio) for a 12% gain.
I lost 6.5 points on the ES futures trading today, which is ok as I had to stay a bit long to hedge the short delta I have on the options portfolio since I have overweight of short calls at the moment.
However since the value of the portfolio rise when the S&P drops since I am short delta the portfolio in total rose by 0.25% on the day.
I made no adjustments to the options today.
Make sure to see the comments from Mr. TopStep regarding the walk away trade in this video:

I agree with Mr. Topstep as basically as long as 1150 holds I expect a drive lower.
Remember that US nonfarm payrolls not out until next Friday.

That is all for now, have a great day
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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:
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:
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:
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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