Mechanical Trading: March 2016

Monday, March 28, 2016

WTI May 2016 Iron Condor (/CLK6)

Collecting $500 of premium per contract. Risk is to downside below 35.

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
3/28/2016 11:44	IRON CONDOR	SELL	-3	TO OPEN	/LOK6	40.5	CALL	0.99	0.51
		BUY	3	TO OPEN	/LOK6	41	CALL	0.81	CREDIT
		SELL	-3	TO OPEN	/LOK6	35	PUT	0.39
		BUY	3	TO OPEN	/LOK6	30	PUT	0.06

Saturday, March 19, 2016

Current Position

Beta Weighing on 'SPY'
Instrument	Qty	Days	Strike	Break	Mark	Delta	Theta	Vega
/CL						320.92	103.36	-136.22
Light Sweet Crude Oil Futures,May-2016,ETH	3	32		41.65	41.13	755.88	0	0
1/1000 MAY 16 /LOK6 40.5 CALL	-3	27	40.5	1.36	2.34	-434.97	103.36	-136.22

Instrument	Qty	Days	Strike	Break	Mark	Delta	Theta	Vega
/ES				31	30	-208.71	19.89	-95.48
E-mini S&P 500 Index Futures,Jun-2016,ETH	0	90		0	2038.75	0	0	0
1/50 APR 16 /ESJ6 2030 PUT	1	27	2030	23.25	24	-220.6	-23.54	113.31
1/50 APR 16 /ESJ6 2040 CALL	-1	27	2040	27.75	26.5	-252.56	23.72	-114.59
1/50 APR 16 /ESJ6 2040 PUT	-1	27	2040	27.25	28.25	248.63	23.26	-114.58
1/50 APR 16 /ESJ6 2150 CALL	1	27	2150	0.4	0.7	15.82	-3.56	20.38

Friday, March 18, 2016

Test of Strategy 2: Selling Premium in /ES (Short Delta)

Rules:
1. Sell 0.5-1SD weekly new top ATM straddle;
2. Buy 1-2 strike PUT for downside protection;
3. Take 30% of max profit.
---------------------------------------------------------------------------------------------------------------

3/18/2016 11:34	IRON CONDOR	SELL	-1	TO OPEN	/ESJ6	2040	CALL	27.75	31.35
		BUY	1	TO OPEN	/ESJ6	2150	CALL	0.4	CREDIT
		SELL	-1	TO OPEN	/ESJ6	2040	PUT	27.25
		BUY	1	TO OPEN	/ESJ6	2030	PUT	23.25

Thursday, March 17, 2016

Test of Strategy1: Scalping /ES

Rules:
1. Sell new top (about +0.5SD );
2. Take profit at 0.25SD;
3.Stop loss +1SD;
4. Play Time 2 trading days;
5. If time is due change into the option play or make it flat.
-------------------------------------------------------------------------------------------------------------

3/17/16-3/18/18 +7 points ($350)

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type
3/18/2016 16:13	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	FUTURE	2037.75	2037.75	LMT
3/18/2016 15:14	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	FUTURE	2041	2041	LMT
3/18/2016 13:36	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	FUTURE	2033.5	2033.5	LMT
3/18/2016 9:31	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	FUTURE	2036.75	2036.75	LMT
3/17/2016 15:51	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	FUTURE	2033.5	2033.5	LMT
3/17/2016 14:10	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	FUTURE	2034.5	2034.5	LMT

Taking $1600 profit /CL @41

+$200 from the option play

3/17/2016	8:00:00	exercise: future-settle -1 of /CLJ6 1/1000 APR 16 /LOJ6 39 CALL
3/17/2016	8:00:00	exercise: future-settle -1 of /CLJ6 1/1000 APR 16 /LOJ6 41 PUT

+$1400

Exec Time	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
3/17/2016 9:57	1	TO CLOSE	/CLK6 1/1000 MAY 16	/LOK6	40.5	CALL	2.08
3/17/2016 9:55	-1	TO CLOSE	/CLK6	16-May		FUTURE	40.68
3/14/2016 12:45	2	TO OPEN	/CLK6	16-May		FUTURE	38.51
3/14/2016 12:44	-1	TO OPEN	/CLK6 1/1000 MAY 16	/LOK6	40.5	CALL	1.36

Monday, March 14, 2016

2 Days to the End of the current Option Cycle

Today I have
1. closed for a scratch CL positions around @37.5 ;
2. rolled long CL positions into the next option cycle;
3. created new long CL position against current options @41.

	Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
1	3/14/2016 12:55	CUSTOM	BUY	1	TO CLOSE	/LOJ6	34.5	CALL	2.54	3.17
			SELL	-1	TO CLOSE	/LOJ6	37.5	CALL	0.39	DEBIT
			BUY	1	TO CLOSE	/LOJ6	37.5	PUT	1.02

2	3/14/2016 12:29	SINGLE	SELL	-3	TO OPEN	/LOK6	40.5	CALL	1.36	1.36
	3/14/2016 12:26	SINGLE	BUY	3	TO CLOSE	/LOJ6	40	CALL	0.04	0.04
	3/14/2016 12:27	FUT CALENDAR	SELL	-3	TO CLOSE	/CLJ6		FUTURE	36.8	-1.74
			BUY	3	TO OPEN	/CLK6		FUTURE	38.54	DEBIT

3	3/14/2016 12:45	FUTURE	BUY	1	TO OPEN	/CLK6		FUTURE	38.51	38.51
	3/14/2016 12:44	SINGLE	SELL	-1	TO OPEN	/LOK6	40.5	CALL	1.36	1.36

Wednesday, March 2, 2016

Taking $500 Profit on CL@32.5 and Final Little Something For This Option Cycle

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
3/2/2016 10:56	IRON CONDOR	BUY	1	TO CLOSE	/LOK6	32.5	CALL	4.84	2.4
		SELL	-1	TO CLOSE	/LOK6	34.5	CALL	3.52	DEBIT
		BUY	1	TO CLOSE	/LOK6	32.5	PUT	1.23
		SELL	-1	TO CLOSE	/LOK6	24.5	PUT	0.15
3/2/2016 10:55	SINGLE	SELL	-3	TO OPEN	/LOJ6	40	CALL	0.12	0.12

Mechanical Trading