Mechanical Trading: May 2016

Friday, May 27, 2016

Str II

Rules:
1. Sell new top (0.5-1SD) top ATM 30-45 DTE straddle;
2. Buy 1-2 strike OTM PUT for downside protection;
3. Take 30% of max profit.
4. Roll if unprofitable.
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Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
5/27/2016 15:34	CUSTOM	SELL	-1	TO OPEN	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2100	CALL	34.5	50
		SELL	-1	TO OPEN	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2100	PUT	48.5	CREDIT
		BUY	1	TO OPEN	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2055	PUT	33

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3/18/16-4/29/16 + 21 points of Realized Profit

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Wednesday, May 25, 2016

High Probability Low Income II: $830 of Extrinsic Value

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
5/25/2016 14:25	SINGLE	SELL	-1	TO OPEN	/ESU6 1/50 JUL 16 (Wk3)	/EW3N6	2160	CALL	5.5	5.5	LMT
5/25/2016 14:17	SINGLE	SELL	-1	TO OPEN	/CLU6 1/1000 SEP 16	/LOU6	33	PUT	0.11	0.11	LMT
5/25/2016 14:15	SINGLE	SELL	-1	TO OPEN	/ZBU6 1/1000 JUL 16	/OZBN6	170	CALL	0''07	0''07	LMT
5/25/2016 14:13	SINGLE	SELL	-1	TO OPEN	/GCQ6 1/100 JUL 16	/OGN6	1140	PUT	1.4	1.4	LMT
5/25/2016 14:12	SINGLE	SELL	-1	TO OPEN	/NGQ6 1/10000 AUG 16	/ONQ6	1.7	PUT	0.011	0.011	LMT
5/25/2016 14:11	SINGLE	SELL	-1	TO OPEN	/ESM6 1/50 JUN 16	/ESM6	2150	CALL	2.1	2.1	LMT

Bought Aug-Sept Crack Spread Calendar

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type	CSC
5/25/2016 11:03	FUT CALENDAR	SELL	-2	TO OPEN	/CLQ6	16-Aug	FUTURE	49.47	-0.35	LMT	1.2446
		BUY	2	TO OPEN	/CLU6	16-Sep	FUTURE	49.82	DEBIT
5/25/2016 11:03	FUT CALENDAR	BUY	2	TO OPEN	/RBQ6	16-Aug	FUTURE	1.634	0.0213	LMT
		SELL	-2	TO OPEN	/RBU6	16-Sep	FUTURE	1.6127	DEBIT

Monday, May 23, 2016

Shorting Aug,16 Crack Spread +$130 of Realized Profit After Fees

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Crack Spread
											-20.229
5/23/2016 15:59	FUTURE	BUY	1	TO CLOSE	/RBQ6	16-Aug		FUTURE	1.6395	1.6395
5/23/2016 15:59	FUTURE	SELL	-1	TO CLOSE	/CLQ6	16-Aug		FUTURE	48.63	48.63
											-20.3746
5/23/2016 11:57	FUTURE	SELL	-1	TO OPEN	/RBQ6	16-Aug		FUTURE	1.6313	1.6313
5/23/2016 11:57	FUTURE	BUY	1	TO OPEN	/CLQ6	16-Aug		FUTURE	48.14	48.14

High Probability Low Income Trades +$200 of Realized Profit (Tastytrade Style Managment ) After Fees

Today I've closed High Probability Low Income Trades and took 25% of Max Profit. That's the tastytrade management style. There is a difference. I didn't separate the trades and managed these things altogether.
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Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
5/23/2016 11:48	SINGLE	BUY	1	TO CLOSE	/CLQ6 1/1000 AUG 16	/LOQ6	35	PUT	0.13
5/23/2016 11:45	SINGLE	BUY	1	TO CLOSE	/GCQ6 1/100 JUL 16	/OGN6	1145	PUT	1.1
5/23/2016 11:44	SINGLE	BUY	1	TO CLOSE	/NGN6 1/10000 JUL 16	/ONN6	1.75	PUT	0.006
5/23/2016 11:43	SINGLE	BUY	2	TO CLOSE	/ESM6 1/50 JUN 16	/ESM6	2115	CALL	2.75
5/20/2016 12:05	SINGLE	SELL	-2	TO OPEN	/ESM6 1/50 JUN 16	/ESM6	2115	CALL	4.35
5/18/2016 10:15	SINGLE	SELL	-1	TO OPEN	/GCQ6 1/100 JUL 16	/OGN6	1145	PUT	1.2
5/18/2016 10:13	SINGLE	SELL	-1	TO OPEN	/CLQ6 1/1000 AUG 16	/LOQ6	35	PUT	0.14
5/18/2016 10:11	SINGLE	SELL	-1	TO OPEN	/NGN6 1/10000 JUL 16	/ONN6	1.75	PUT	0.012

Friday, May 20, 2016

High Probability Low Income Trades ~$800 of Maximum Profit (Extrinsic Values) After Fees

At the moment I don't see good trading opportunities, hence these high probability-low income theta trades .
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Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
5/20/2016 12:05	SINGLE	SELL	-2	TO OPEN	/ESM6 1/50 JUN 16	/ESM6	2115	CALL	4.35	4.35
5/18/2016 10:15	SINGLE	SELL	-1	TO OPEN	/GCQ6 1/100 JUL 16	/OGN6	1145	PUT	1.2	1.2
5/18/2016 10:13	SINGLE	SELL	-1	TO OPEN	/CLQ6 1/1000 AUG 16	/LOQ6	35	PUT	0.14	0.14
5/18/2016 10:11	SINGLE	SELL	-1	TO OPEN	/NGN6 1/10000 JUL 16	/ONN6	1.75	PUT	0.012	0.012

Tuesday, May 17, 2016

Finally. The WTI Trade is Closed +$300

TAKEAWAYS
Look for out of range (>1SD) price movements .
Start a Play with a Small Bet.
The leverage should be increased by risking the profit from the wining trades.
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Well. After so many days of fighting the WTI trade is closed. The trade went through $48 to $25 swings in the price. Today the position (below) was called and that's it.

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

Monday, May 16, 2016

Startegy I, 3/17/16-5/16/16 +30 points ($1500)

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 an option play or close the position.
*- Daily SD
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5/16/16 +4 points

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price
5/16/2016 15:40	FUTURE	BUY	2	TO CLOSE	/ESM6	16-Jun	FUTURE	2064.5
5/16/2016 14:31	FUTURE	SELL	-2	TO OPEN	/ESM6	16-Jun	FUTURE	2066.75

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5/10/16-5/10/16 +2 points

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price
5/10/2016 16:30	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	FUTURE	2076.75
5/10/2016 15:47	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	FUTURE	2079

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3/17/16-4/20/16 +24 points

Sept - Aug Crack Spread Calendar +$100 after fees

Takeaways
CSC price fluctuates with a magnitude of ~10% on 5min time scale.
It looks OK on paper but in reality bid/ask differential is very large.
The cost of trading is ~$30 which is high.
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Update : Closed with profit of ~ $100 after fees.

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type	CSC
											-1.274
5/16/2016 12:20	FUT CALENDAR	BUY	1	TO CLOSE	/RBQ6	16-Aug	FUTURE	1.6166	0.022	MKT
		SELL	-1	TO CLOSE	/RBU6	16-Sep	FUTURE	1.5946	DEBIT
5/16/2016 12:20	FUT CALENDAR	SELL	-1	TO CLOSE	/CLQ6	16-Aug	FUTURE	48.73	-0.35	MKT
		BUY	1	TO CLOSE	/CLU6	16-Sep	FUTURE	49.08	DEBIT
											-1.3982
5/13/2016 14:12	FUT CALENDAR	SELL	-1	TO OPEN	/RBQ6	16-Aug	FUTURE	1.5876	0.0221	MKT
		BUY	1	TO OPEN	/RBU6	16-Sep	FUTURE	1.5655	CREDIT
5/13/2016 14:12	FUT CALENDAR	BUY	1	TO OPEN	/CLQ6	16-Aug	FUTURE	47.39	-0.47	MKT
		SELL	-1	TO OPEN	/CLU6	16-Sep	FUTURE	47.86	CREDIT

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I propose here to trade Crack Spread Calendar which is the difference between /RB and /CL calendars. CSC is a capital efficient trade. The trade below is an experiment to better understand the mechanics of such trading.
Sept-Aug CSC = 42*(/RBU6-/RBQ6)-(/CLU6-/CLQ6)
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Exec Time

Spread

Side

Qty

Pos Effect

Symbol

Exp

Strike

Type

Price

Net Price

Order Type

CSC

-1.3982

5/13/2016 14:12

FUT CALENDAR

SELL

-1

TO OPEN

/RBQ6

16-Aug

FUTURE

1.5876

0.0221

MKT

BUY

TO OPEN

/RBU6

16-Sep

FUTURE

1.5655

CREDIT

5/13/2016 14:12

FUT CALENDAR

BUY

TO OPEN

/CLQ6

16-Aug

FUTURE

47.39

-0.47

MKT

SELL

-1

TO OPEN

/CLU6

16-Sep

FUTURE

47.86

CREDIT

Tuesday, May 10, 2016

Crack Spread +$260

5/9/16-5/10/16 +$110 after fees

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type	Crack Spread
											16.6876
5/10/2016 12:28	FUTURE	SELL	-1	TO CLOSE	/RBQ6	16-Aug	FUTURE	1.4828	1.4828	MKT
5/10/2016 12:28	FUTURE	BUY	1	TO CLOSE	/CLQ6	16-Aug	FUTURE	45.59	45.59	MKT
											16.5606
5/9/2016 9:32	FUTURE	BUY	1	TO OPEN	/RBQ6	16-Aug	FUTURE	1.4693	1.4693	MKT
5/9/2016 9:32	FUTURE	SELL	-1	TO OPEN	/CLQ6	16-Aug	FUTURE	45.15	45.15	MKT

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5/5/16-5/6/16 +$150 after fees

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type	Crack Spread
5/6/2016 15:58	FUTURE	SELL	-1	TO CLOSE	/RBQ6	16-Aug	FUTURE	1.5046	1.5046	MKT	17.5432
5/6/2016 15:58	FUTURE	BUY	1	TO CLOSE	/CLQ6	16-Aug	FUTURE	45.65	45.65	MKT
5/5/2016 11:47	FUTURE	BUY	1	TO OPEN	/RBQ6	16-Aug	FUTURE	1.5102	1.5102	MKT	17.3784
5/5/2016 11:47	FUTURE	SELL	-1	TO OPEN	/CLQ6	16-Aug	FUTURE	46.05	46.05	MKT

Tuesday, May 3, 2016

Yen (6J) Scalping +$280 after fees

Second trade: New top - ok; Rule #2-ok, 26 ticks +$162.5 - $7.5 fees

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type
5/3/2016 9:30	FUTURE	BUY	1	TO CLOSE	/6JM6	16-Jun	FUTURE	0.009437	0.009437	LMT
5/3/2016 0:36	FUTURE	SELL	-1	TO OPEN	/6JM6	16-Jun	FUTURE	0.00945	0.00945	LMT

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Numbers
1. Notional 12, 500, 000.00 japanese yen.
2. Implied volatility as of today is ~ 13%
3. Expected daily move 12500000*0.13/sqrt(365)=85, 056 yen=$800
which is 800/6.25=128 ticks
4. Today's actual range was 120 ticks.
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STRATEGY 1
1. Sell new top (about +0.5SD ); +60 ticks
2. Take profit at 0.25SD; 30 ticks
3.Stop loss +1SD; 128 ticks.
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1. Rule #1 was not fulfilled. The position was opened below slightly the previous top.
2. The drawdown of ~-$500 was experienced.
2. The profit of $125 was taken, which is 20 not 30 ticks.

Conclusion is that Rule #1 must not be violated.
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Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type
5/1/2016 18:13	FUTURE	BUY	1	TO CLOSE	/6JM6	16-Jun	FUTURE	0.009381	0.009381	LMT
4/29/2016 15:28	FUTURE	SELL	-1	TO OPEN	/6JM6	16-Jun	FUTURE	0.009391	0.009391	LMT

Mechanical Trading

Friday, May 27, 2016

Str II

Wednesday, May 25, 2016

High Probability Low Income II: $830 of Extrinsic Value

Bought Aug-Sept Crack Spread Calendar

Monday, May 23, 2016

Shorting Aug,16 Crack Spread +$130 of Realized Profit After Fees

High Probability Low Income Trades +$200 of Realized Profit (Tastytrade Style Managment ) After Fees

Friday, May 20, 2016

High Probability Low Income Trades ~$800 of Maximum Profit (Extrinsic Values) After Fees

Tuesday, May 17, 2016

Finally. The WTI Trade is Closed +$300

Monday, May 16, 2016

Startegy I, 3/17/16-5/16/16 +30 points ($1500)

Sept - Aug Crack Spread Calendar +$100 after fees

Tuesday, May 10, 2016

Crack Spread +$260

Tuesday, May 3, 2016

Yen (6J) Scalping +$280 after fees

$350 profit, flat platinum gold #2

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