Joey's MP Journal

This is a discussion on Joey's MP Journal within the Trading Journals forums, part of the Reception category; Originally Posted by MrGecko Where are you looking to make your money on the option trades? delta, Vol, theta etc?? ...

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Old Apr 27, 2009, 11:53am   #286
Joined Mar 2005
Joey25 started this thread
Quote:
Originally Posted by MrGecko View Post
Where are you looking to make your money on the option trades? delta, Vol, theta etc??

And in this sentence, are you thinking about being delta hedged by default, and scaling in and out of your hedge by trading the underlying from the PA? For insance, you are short 2 ES futures for a hedge, but you see that price is likely to rally, so you take your hedge off and re-enter at a better level?
I'm trying to capture theta, but attempting to optimize the tradeoff between risk minimization and hedging costs.

I'm proposing to add or subtract futures at the margin in accordance with price action.
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Old Apr 27, 2009, 12:06pm   #287
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FTSE Setup

Joey25 started this thread The Context

(i) Test-and-acceptance of Friday's Upper Distribution

(ii) 'H' Time Bracket (11:30am to 12:00) has formed an Inside Bar with a body completely above today's Open.

There isn't a stop, since this will form part of my hedging strategy.

However, if I were to plan this as a daytrade I would use:

"Stand Alone" Setup

(May FTSE levels)

Buy Stop @ 4119
Stop @ 4080
Tgt 2/3 @ 4178
1/3 "runner"
Attached Thumbnails
ftse.setup.jpg  

Last edited by Joey25; Apr 27, 2009 at 12:18pm. Reason: (the entry is a stop order)
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Old Apr 27, 2009, 4:39pm   #288
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Joey25 started this thread With regard to the setup in the previous post:

Bought May Ftse @ 4119
Daily Close = 4150

P/L at close = +31 pts.

The order (breakout of the 4112 level) occurred in the 'N' period bracket, which also corresponds to the first half hour of RTH trading in ES.
Attached Thumbnails
ftse.27th.april.jpg   ticket.jpg  
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Old Apr 27, 2009, 5:11pm   #289
 
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Quote:
Originally Posted by Joey25 View Post
P/L at close = +31 pts.
Joey, I know it sounds like a naive newbie question, but I've never traded UK, only ever US.
what is 31 ftse points worth in real money ?

garry
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Old Apr 27, 2009, 5:14pm   #290
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Quote:
Originally Posted by rathcoole_exile View Post
Joey, I know it sounds like a naive newbie question, but I've never traded UK, only ever US.
what is 31 ftse points worth in real money ?

garry
£310 per lot.
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Old Apr 27, 2009, 6:02pm   #291
Joined Mar 2005
May FTSE Profile (27th April)

Joey25 started this thread Today's activity was very balanced until some late buying, with the Closing Range managing to develop without a pullback to the previous Intraday High.

There is a single at 4130, which is also in line with Friday's High, suggesting that this could be a good level to fade from above or below, depending on Tomorrow's Open.
Attached Thumbnails
ftse.monday.png  
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Old Apr 28, 2009, 9:38am   #292
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FTSE Update

Joey25 started this thread Today I have attached a protective stop @ 4045 to yesterday's order.

This morning the market entered the Lower Distribution from Friday, and has so far established an Intraday Low at the Point of Control (4039 to 4044).

My thinking with this protective stop is that I get out at a level where a breakout beyond this Mean is likely, whilst still giving myself the chance of a good position should price continue to develop above the level.
Attached Thumbnails
ftse.friday24th.png   ftse.tuesday.open.jpg  
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Old Apr 28, 2009, 11:49am   #293
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Joey25 started this thread I have just been stopped out on the above postion @ 4045:

Bought @ 4119
Sold @ 4045
P/L = -74 pts.

These are booked as hedging costs against the underlying options position.
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Old Apr 28, 2009, 12:02pm   #294
 
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Quote:
Originally Posted by Joey25 View Post
I have just been stopped out on the above postion @ 4045:

Bought @ 4119
Sold @ 4045
P/L = -74 pts.

These are booked as hedging costs against the underlying options position.
Joey.
reality check here.
is this really what they are ?
did you pre-plan for this eventuality and the hedging write-off was part of your plan ?
Or is that just what you want to tell yourself now ?

mate, i'm not trying to be offensive or anything.
Just being the little voice of reason on your shoulder. If you're happy these are genuine hedging losses, i'm happy for you too. Just making sure you see the woods for the trees....


devil's_advocate
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Last edited by rathcoole_exile; Apr 28, 2009 at 12:14pm.
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Old Apr 28, 2009, 12:05pm   #295
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Sorry if I missed it, but what is your option position and how much did you get it for? You are using options on the ES, right?
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Old Apr 28, 2009, 1:02pm   #296
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Joey25 started this thread
Quote:
Originally Posted by rathcoole_exile View Post
Joey.
reality check here.
is this really what they are ?
did you pre-plan for this eventuality and the hedging write-off was part of your plan ?
Or is that just what you want to tell yourself now ?

mate, i'm not trying to be offensive or anything.
Just being the little voice of reason on your shoulder. If you're happy these are genuine hedging losses, i'm happy for you too. Just making sure you see the woods for the trees....


devil's_advocate
Absolutely. The p/l is basically:

FTSE Option Premium - FTSE Hedging costs

I know what on average these turn out to be as a % of the option income.

The problem is, by definition, anything I close out and post in this journal is going to have negative p/l (otherwise it is providing benefit at the portfolio level).

All I'm aiming to do here is to reduce the hedging cost by making the trades conditional on a price action breakout , rather than just doing it mechanically

Last edited by Joey25; Apr 28, 2009 at 1:22pm. Reason: The options and the futures are both in FTSE
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Old Apr 28, 2009, 1:11pm   #297
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Quote:
Originally Posted by MrGecko View Post
Sorry if I missed it, but what is your option position and how much did you get it for? You are using options on the ES, right?
The options position is currently a portfolio of FTSE May expiry options.

Today's mark-to-market has improved significantly, even including today's loss, because I went into the day with a negative delta (from my profit point of view).

Last edited by Joey25; Apr 28, 2009 at 1:21pm. Reason: Added that they are FTSE options!
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Old Apr 28, 2009, 1:13pm   #298
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Quote:
Originally Posted by Joey25 View Post
All I'm aiming to do here is to reduce the hedging cost by making the trades conditional on a price action breakout , rather than just doing it mechanically
I thought this is what you were getting at
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Old Apr 28, 2009, 1:54pm   #299
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Joey25 started this thread
Quote:
Originally Posted by MrGecko View Post
I thought this is what you were getting at
Yes, it's similar to what you said in post #286, except it's more along the lines of:

IF

(a) the hedging algorithm says "trade"

AND

(b) price breaks out

then hedge.

In other words the breakout is a necessary but not sufficient condition.

It then follows that any futures positions closed before expiry will be losers.

So basically, unless I divulge the full strategy, I'm going to be posting page after page of losers
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Old Apr 28, 2009, 7:16pm   #300
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Today's P/L

Joey25 started this thread It's difficult to explain the overall FTSE futures /options strategy in points, so being blunt:

Today's P/L (including the closed out future) was +£540

Without knowing the context of the overall options portfolio, the closing out of an individual position unfortunatley doesn't make sense.

However, if today's future had been closed out as an individual trade, it would have been stopped out at 4080, rather than 4045 (see post #287)

I've decided that at this stage I don't want to share the options strategy and hedging algorithm on a public forum, so I'm unlikely to continue with this Journal for the forseeable future.

Thanks for everyone who has contributed - it has been much appreciated.

Joey
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