My futures trading blog

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Old Sep 11, 2010, 1:38am   #1
Joined Dec 2008
My futures trading blog

I will post my daily recap of my trading and comments in this section. Feel free to ask any questions you might have.
PerErik is offline Trading arcade or proprietary trading company   Reply With Quote
Old Sep 11, 2010, 1:47am   #2
Joined Dec 2008
Friday 10th of September

PerErik started this thread The S&P futures closed marginally down on the day and it was an inside day in technical terms. Meaning we traded inside the previous day's range.
Some observations that I outlined in my daily report that is worth repeating:
(ES) Falling resistance from April highs' was broken yesterday and was coming in at 1098, which held as support today. Previous resistance line, now future support?
- (ES) the gap at 1108.25 has not been closed yet since the December contract is now front month and we also have open gap at 1054.25
- Gold futures (GC) closed below the 32 days long uptrend from July low
- VXX is approaching that 17.84 low it bottomed out at in April when we had the S&P futures high at 1212. Right before the sell off started. Are the markets too complacent now?
- Euro was not following the ES higher in the last few days, both Euro and GBPUSD relatively weak this week even though ES closed up more than 10 points on the weak. Euro down about 210 pips on the week.
- The 10 year Treasury futures closed at 123’12.5 below the 50 day moving average (123’13.0) today, first time since April. We have -3 sigma at 122’30.0

Trading wise I did the following today:
I close the RIG back spread for October at close to 100% profit after RIG spiked higher, thank you very much.
Traded to the long side for 3 points in the S&P futures (ES).
Added a VIX futures options structure, I bought the November 27.50 call and sold the October 30 call at a ratio 1x1 (meaning 1 structure involved selling 1 contract and buying 1 contract of each leg), paying a net 1.90 per structure.
My logic for doing something in the VIX is that we are approaching that low in VXX that we have when the market topped out in April at 1212 in ES.
See link for chart on VXX.
http://www.charthub.com/images/2010/...titled_1_2.png

I will most likely make further changes to the options portfolio start of next week to take some of the September options off (close them out) to reduce the risk as we probably will see increased volatility next week. Remember that we want to scale out of the options when volatility drops to levels where the option is so cheap that it makes no sense to hang on for the last few points and instead add other options that has higher premium.

Have a great weekend, take care
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Old Sep 13, 2010, 3:16am   #3
Joined Dec 2008
Re: My futures trading blog

PerErik started this thread My blog can also be found at:
http://avantagefinancial.blogspot.com/
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Old Sep 14, 2010, 2:13am   #4
Joined Dec 2008
Monday 13th of September

PerErik started this thread New week and new opportunities.
Equities higher on BASEL 3 news and good economic data from China. Turkish referendum also a positive. S&P futures gapping 10.25 points on the open and closed fairly close to the open, 1 point higher than the open. Looking like a doji on daily chart.
Big resistance up at 1122 and 1127. See MrTopstep video:
http://mrtopstep.com/2010/09/13/whatcha-gonna-do/

As for trading it was a relatively busy day. As I have plenty of short calls from 1090 and up, so I had to stay on the long side to protect the upside. Fairly active day with 16 trades in the ES for 16 points gain total and made 15 adjustments to the options portfolio.

The gap higher forced me to make quite a few changes that would have not be done in a non gapping market. Basically had to sell a bit more premium (selling short term puts and also some long term calls) to make up for the lack of long delta on the gap and also close out some of the way out of the money puts to reduce the risk if we see a big swing lower. Which I still think could happen as long as 1128 resistance holds. I always try to make sure I take off puts and calls that have very little comparative value left and especially if they are far away from the current price to allow me to sell something that is either closer to market or just take some risk off if it were to make a big move. Last thing I want to happen is to have an option that I have sold at 25 points and suddenly has a value of 5 points with a few months to go stuck in my portfolio. I prefer to then take profit to avoid this option coming into play again. Make more sense to me then to sell something with much higher Theta instead then to grind out those last 5 points.

Ok, back to the adjustments I made:
I closed the short 1090 calls and 1090 puts for Sep. I also closed the 1110 calls for Sep. I took profit on the 1100 puts for Sep (bot back at 2.80 or so) and 1030 for October (bot back around 7 points). Instead I sold 1060 puts for October, getting on avg. 10.75 points for those. Sold some more call options at 1140 and 1150 for Nov, which is basically above the 1128 key resistance area with some margin and I assume if this level breaks, the downside puts can be bot back cheap.
That is the logic for selling those levels. I also added some 1120 puts for Friday, just to make up for the lack of long delta on the gap higher on the open. Will most likely close them out in the next few sessions, was more a short theta short term play. I am at the moment still Delta minus, meaning I am short in real terms overall.
Would not be surprised to see a dip overnight and possibly that gap at 1105.75 to be closed sometime over the next few sessions, so I will most likely remain short biased for the next few sessions unless that 1122 and possibly 1128 resistance levels breaks.

That is it for now, time to watch the Nadal - Djokovic US Open Final, good night.
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Old Sep 15, 2010, 12:30pm   #5
Joined Dec 2008
Tuesday 14th of September

PerErik started this thread The S&P futures broke the August high by 0.50 points yesterday (if you look at a contiunous ES chart the Aug top was 1122), but it could not follow through and backed off to close in the lower half of the daily range and also below Monday's close.
This price action is see as weak and would not be suprised to see a move lower Wednesday and at least to close the 1105.75 gap from Friday last week. We also have a gap down at 1054.25 from 31st of August worth keeping in mind.
As far as the trading goes I had to make furter adjustments Tuesday.
First of all I had to go long to hedge the short calls and this went well, but when it reversed I was stuck long, so the earlier gains in the morning got reduced and made 3 points total trading long in the futures.
For the options I made the following changes:
I sold an additional small put postion of the 1060 puts for October and also sold more 1130 calls for October. I don't think both of these levels will come into play short term as I think we either break higher above 1130 to move towards 1160 and 1060 is then way out of reach. Or we fail here around the 1122 to 1127 level and move lower. I sold more 1130 than 1060 so I have more calls. I also closed the short 1090 calls and instead sold some 1160 calls for November expiration, getting around 18.50 for those.
On the September options I reduced some risk by buying back the 1110 and 1115 puts when we tested the daily highs and instead sold some 1130 Sep as I need an hedge for some of the short calls in the money at 1120. I also bought back the 1110 Sep calls to reduce some of the long exposure.
I now have basically now have short calls for October at 1100, 1120 and 1130.
Short puts for October at 1040, 1060 and 1080. November I have 1140, 1150 and 1160 calls. I also have 1120 and 1130 puts for expiration Friday as a hedge that I will most likely make futher changes to Wednesday as they are just meant as short term hegdes if 1123 breaks, which I don't see that likely today.
Think we need to see a correction lower before a move higher.
I also have the VIX position where I sold the October 30 calls and bot the Nov 27.50 calls at a ratio of 1X1.
My bias is to have mostly short calls and trade long against these calls, a few reasons why I like that approach is that you are less exposed to quick down moves and volatility expansion.
Remember to watch Tuesday's Top Notch:

http://mrtopstep.com/2010/09/14/top-notch-key-levels/

That is all for today, Good luck and take care.
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Old Sep 16, 2010, 6:34pm   #6
Joined Dec 2008
Wednesday 15th of September

PerErik started this thread The S&P futures failed to break Tuesday's high of 1122.50, but still managed to close in the upper end of the daily range. Could we be looking at a similar top that we had in August, when it topped out around the same level over a few days and dropped sharply lower within the next few days.
We now have 2 days left of the expiration week and we normally have one wide down day during the expiration week, so with failure at 1122 again Wednesday, it might be Thursday the down day comes in?

S&P futures have topped out in this 1122's level both in June and August previously.
http://chart.ly/wimh2uk
So we either top out again or break higher within the next few days I reckon.
Expect a strong move in either direction basically.
We still have the gap down at 1105.75 from Friday to be filled and the 31st of August that is some way off at the moment.
Trading wise I made net +3 points on the S&P futures, was not long enough towards the top end of the range and was looking for the gap down at 1105.75 to be filled early on, which had me a bit late to get long when it found support at 1109. Still expect the 1125 level to hold on the upside and a test lower towards at least 1105.75 before it breaks higher.

I sold some more 1110 September puts in the start of the session and them out when prices test 1120 towards the end of the session and moved the short October 1090 calls to a 1130 (got 19 points for the 1130) calls to get the strike above the 1125 key resistance. I also closed out the 1040 October puts from last week (made about 10 points on it) and sold 1090 October puts instead to collect more premium, then I now have nothing below 1060, so plenty of room to sell put below or towards the 1037 key support in case it breaks lower. The short puts at 1130 that I have a hedges with expiration on Friday was reduced and only have a tine position left in those puts.
That is all for today, good luck and take care
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Old Sep 17, 2010, 4:41pm   #7
Joined Dec 2008
Thursday 16th of September

PerErik started this thread Thursday we saw the S&P futures make a higher low compared to Wednesday and it broker above the key resistance at 1122.90 in late trading to close at the top of the daily range.
However we normally get one wide down day during the options expirations week and we had not any wide down days so far this week and with one day to go, I have to keep the chances open that it will be a wide down day on Friday and that the break higher will not sustain. All tricky in the key area as I suspect we will see a rather strong move off these area (1125) in either direction. The move overnight higher above 1130 looks like stops got triggered and of course wouldn't be perfect to take out these buy stops and drop the market lower?
Was still looking for a possible fill of that gap at 1105.75 today, but couldn't take out the 1109 low from previous day, so didn't really get close to doing that.
Trading wise I made about 4 points on the day on futures trading long. The break above 1122 forced me to go long to protect some of the short calls above 1120 and upwards in case it would break higher.
I also sold a 1100 put for 30 September exipration as a bit of hedge against the short calls, getting 9.50 for those. I did take profit on the short 1120 and 1130 puts for expiration tomorrow (Friday), so have no open options for expiration Friday left now

That is all for today, good luck , take care.
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Old Sep 18, 2010, 1:47am   #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 12:00pm.
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Old Sep 18, 2010, 11:53am   #9
 
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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, 2:26pm   #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:
http://mrtopstep.com/2010/09/20/market-wizards/

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