My futures trading blog

This is a discussion on My futures trading blog within the Trading Journals forums, part of the Reception category; Good evening, Will keep it short as the weekend is right around the corner. It looks like stops were triggered ...

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Old Sep 18, 2010, 12:47am   #8
Joined Dec 2008
Friday 17th of September

PerErik started this thread Good evening,
Will keep it short as the weekend is right around the corner.
It looks like stops were triggered overnight as it broke above 1127 in S&P futures (ES), making a high of 1132.75 in Globex session. However we opened much lower at 1125.75 and closed below yesterday's close, which signals weakness to me. The Euro also selling off towards the afternoon with AUDUSD move down 100 pips from the high also signals that the risk on trade overnight might be short lived for now.
For the trading I had to trade long in the ES to protect against the short calls from 1120 and up, which saw me lose 6 points in total on the day. Overnight I actually sold a bit more 1160 and 1150 calls for October and November in case this break turns out to be a false break. I also turned the short calls at 1120 into a short straddle position with selling the 1120 puts for October.
Basically sitting with calls from 1130 to 1160 now, with puts from 1100 and downwards to 1060. I always try to stay as dynamic as possible and follow the market and adjust to new developments and I will continue that very much next week as I would like to increase the distance between some of the strikes a bit, especially if we move above 1135 I will roll some of the 1140 and 1150 to higher strikes.
This week turned out more or less flat, but I am very well positioned if the market would break lower at the moment. If it breaks higher I have to make further adjustments, but expect the volatility then to drop even further, which would help my short options portfolio.

Have a great weekend, take care

Last edited by PerErik; Sep 18, 2010 at 11:00am.
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Old Sep 18, 2010, 10:53am   #9
8 Posts
Joined Apr 2010
Re: My futures trading blog

That's great, you write a good trading post. Thanks
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Old Sep 21, 2010, 1:26pm   #10
Joined Dec 2008
Monday 20th of September

PerErik started this thread S&P futures gapped 4.25 points higher at the open and made a move lower initially before total take off as buy stops were triggered on the break above the Friday high at 1126.75. Traded up to a high of 1140.25 before closing 1136.50.
I am a bit uncertain on this break higher as the volume on the break was very low, which appears to be mostly stops getting triggered and not fresh buying.
If we have no fresh buying this move will not extend.
We also have heavy resistance from 1144 up to 1163, which is a tough task ahead.
S&P futures is now in the upper part of the range seen since May.
Will be interesting to see what this week brings.
I have the feeling that we will most likely see a substantial move in either direction off the current level, just not sure which direction yet.
I would be more comfortable of a break higher if we had seen a dip first lower then this break higher, but the direct break higher with a basically a straight line move higher since 31st of August of 106 points from low to high is a bit too quick and risk a fair amount of selling coming in.
Trading wise I was a bit too conservative to the long side and made "only" 5.50 points on the day trading both long and short. As the move was 16.75 higher it was not enough to offset the move in the short calls I have from 1120 and up, so I had to make a bunch of adjustments that positions me quite well for a move in both direction from here.
I bot back 1120 calls for October when it broke 1130 on ES and instead sold 1140's to get more "theta" and remove some long delta.
I took profit on the 1060 puts as these got down to 5 point and figured it was no point keeping the risk on that they come into play on a quick down move where the volatility would increase quite a lot as well, making these 1060 puts rise in value quickly. I did the same with the 1100 short puts for 30th of September, closed them for a decent profit.
I instead sold some 1100 for October to increase the premium and did a very small 1080 short put for November, just to have as hedge the 1170's short calls that I sold a bit more of Monday.
I also turned the 1130's calls into a short straddle selling the 1130 put for October to have a bit more balanced Delta in the portfolio, was getting a touch too much short on the call side.
I want to see more volume to the upside and break above 1145 to really get excited on the long side for the moment.

Make sure to watch Monday's Mr Topstep, very interesting:

That is all for today. Best of luck, take care.
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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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