Bond Position Progress

At the moment  Bond Position is a problem kid. Let us  sell more premium in /ZB and hedge  it using /ES Call spread.
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Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
6/27/2016 13:04	VERTICAL	SELL	-3	TO OPEN	/ESU6 1/50 JUL 16 (Wk4)	/EW4N6	1985	CALL	48.75	6.5
		BUY	3	TO OPEN	/ESU6 1/50 JUL 16 (Wk4)	/EW4N6	1995	CALL	42.25	CREDIT
6/27/2016 13:00	SINGLE	SELL	-1	TO OPEN	/ZBU6 1/1000 AUG 16	/OZBQ6	178	CALL	1''00	1''00

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Position Statement on 6/27/16 14:04:10
using Beta Weighing on 'SPY'
Instrument	Qty	Days	Strike	Trade Price	Mark	Delta	Theta	Vega	BP Effect
/ES						-56.18	3.84	0.57	($1,456.50)
E-mini S&P 500 Index Futures,Sep-2016,ETH	0	81		0	1989	0	0	0
1/50 JUL 16 (Wk4) /EW4N6 1985 CALL	-3	25	1985	48.75	45.75	-790.36	125.94	-316.41
1/50 JUL 16 (Wk4) /EW4N6 1995 CALL	3	25	1995	42.25	39.5	734.17	-122.1	316.98
/ZB						199.27	83.54	-328.79	($10,424.13)
30-Year U.S. Treasury Bond Futures,Sep-2016,ETH	0	86		0'00	173'10	0	0	0
1/1000 AUG 16 /OZBQ6 170 PUT	1	25	170	2''42	0''58	61.25	-34.07	151.54
1/1000 AUG 16 /OZBQ6 171 CALL	-1	25	171	2''23	3''34	156.86	38.84	-166.08
1/1000 AUG 16 /OZBQ6 171 PUT	-1	25	171	3''15	1''16	-76.53	38.28	-167.67
1/1000 AUG 16 /OZBQ6 178 CALL	-1	25	178	1''00	0''61	57.69	40.49	-146.59

Str I +$150

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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6/23/16  +3 points

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
6/23/2016 12:46	FUTURE	BUY	1	TO CLOSE	/ESU6	16-Sep		FUTURE	2095.8
6/23/2016 12:03	FUTURE	SELL	-1	TO OPEN	/ESU6	16-Sep		FUTURE	2098

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3/17/16-6/8/16  +35 points 

Str II: Brexit Play Won 3 Points. (Volatility Contraction; No Downside Risk)

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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6/23/16  + 3 points 
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Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
6/23/2016 23:32	CUSTOM	BUY	1	TO CLOSE	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2095	CALL	22.5	47
		BUY	1	TO CLOSE	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2095	PUT	86	DEBIT
		SELL	-1	TO CLOSE	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2045	PUT	61.5
6/22/2016 11:15	CUSTOM	SELL	-1	TO OPEN	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2095	CALL	35.5	50.5
		SELL	-1	TO OPEN	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2095	PUT	42.25	CREDIT
		BUY	1	TO OPEN	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2045	PUT	27.25

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3/18/16-6/14/16  + 24 points of Realized Profit

Crack Spread +$280 after fees

CSC was a real  trouble. Luckily simple Crack Spread covered all losses.

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price
6/21/2016 12:58	FUT CALENDAR	SELL	-2	TO CLOSE	/RBQ6	16-Aug	FUTURE	1.5936
		BUY	2	TO CLOSE	/RBU6	16-Sep	FUTURE	1.5877
6/21/2016 12:58	FUTURE	SELL	-1	TO CLOSE	/RBQ6	16-Aug	FUTURE	1.5936
6/7/2016 11:47	FUTURE	BUY	1	TO OPEN	/RBQ6	16-Aug	FUTURE	1.5941
5/25/2016 11:03	FUT CALENDAR	BUY	1	TO OPEN	/RBQ6	16-Aug	FUTURE	1.634
		SELL	-1	TO OPEN	/RBU6	16-Sep	FUTURE	1.6127
5/25/2016 11:01	FUT CALENDAR	BUY	1	TO OPEN	/RBQ6	16-Aug	FUTURE	1.6314
		SELL	-1	TO OPEN	/RBU6	16-Sep	FUTURE	1.6098
6/21/2016 12:58	FUT CALENDAR	BUY	2	TO CLOSE	/CLQ6	16-Aug	FUTURE	49.34
		SELL	-2	TO CLOSE	/CLU6	16-Sep	FUTURE	49.9
6/21/2016 12:58	FUTURE	BUY	1	TO CLOSE	/CLQ6	16-Aug	FUTURE	49.34
6/7/2016 11:47	FUTURE	SELL	-1	TO OPEN	/CLQ6	16-Aug	FUTURE	50.58
5/25/2016 11:03	FUT CALENDAR	SELL	-1	TO OPEN	/CLQ6	16-Aug	FUTURE	49.47
		BUY	1	TO OPEN	/CLU6	16-Sep	FUTURE	49.82
5/25/2016 11:01	FUT CALENDAR	SELL	-1	TO OPEN	/CLQ6	16-Aug	FUTURE	49.34
		BUY	1	TO OPEN	/CLU6	16-Sep	FUTURE	49.66

Short Bonds

Well. That's how it happens. One sells a naked option with High Probability and instead of small profit this person gets assigned.

 

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
6/16/2016 12:29	CUSTOM	SELL	-1	TO OPEN	/ZBU6 1/1000 AUG 16	/OZBQ6	171	CALL	2''23	1''15
		SELL	-1	TO OPEN	/ZBU6 1/1000 AUG 16	/OZBQ6	171	PUT	3''15	CREDIT
		BUY	1	TO OPEN	/ZBU6 1/1000 AUG 16	/OZBQ6	170	PUT	2''42
		BUY	1	TO CLOSE	/ZBU6 1/1000 JUL 16	/OZBN6	170	CALL	1''45
5/25/2016 14:15	SINGLE	SELL	-1	TO OPEN	/ZBU6 1/1000 JUL 16	/OZBN6	170	CALL	0''07	0''07

6/14 Trading Str II +$150; HPLI +$90

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
6/14/2016 11:04	STRADDLE	BUY	1	TO CLOSE	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2100	CALL	27.25	97
		BUY	1	TO CLOSE	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2100	PUT	69.75	DEBIT
6/14/2016 10:56	SINGLE	SELL	-1	TO CLOSE	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2055	PUT	50.25	50.25
6/14/2016 10:55	SINGLE	BUY	1	TO CLOSE	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2185	CALL	2.15	2.15
6/6/2016 11:24	SINGLE	SELL	-1	TO OPEN	/ESU6 1/50 JUL 16 (EOM)	/EWN6	2185	CALL	4.05	4.05
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

PTJ is on ES@2117; stop@2121 12:07 6/8/16

12:41 6/8/16 the stop was moved to ES@2118
12:52 6/8/16 the stop was moved to ES@2117.25
14:10 6/8/16 the stop was moved to ES@2116.50
14:15 6/8/16 the stop was exercised ES@2116.50
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No success/loss.

Long Aug,16 Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Crack Spread
									16.3722
6/7/2016 11:47	FUTURE	BUY	1	TO OPEN	/RBQ6	16-Aug	FUTURE	1.5941
6/7/2016 11:47	FUTURE	SELL	-1	TO OPEN	/CLQ6	16-Aug	FUTURE	50.58

High Probability Low Income Update

Open Positions

6/2/2016 11:38	SINGLE	SELL	-1	TO OPEN	/ZSN6 1/50 JUL 16	/OZSN6	1040	PUT	2.5
5/25/2016 14:15	SINGLE	SELL	-1	TO OPEN	/ZBU6 1/1000 JUL 16	/OZBN6	170	CALL	0''07

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Closed Trades +$170 after fees

5/31/2016 15:05	SINGLE	BUY	1	TO CLOSE	/GCQ6 1/100 JUL 16	/OGN6	1140	PUT	1.1
5/31/2016 14:43	SINGLE	BUY	1	TO CLOSE	/ESM6 1/50 JUN 16	/ESM6	2150	CALL	1.3
5/31/2016 14:41	SINGLE	BUY	1	TO CLOSE	/ESU6 1/50 JUL 16 (Wk3)	/EW3N6	2160	CALL	4.55
5/31/2016 14:39	SINGLE	BUY	1	TO CLOSE	/NGQ6 1/10000 AUG 16	/ONQ6	1.7	PUT	0.005
5/31/2016 14:30	SINGLE	BUY	1	TO CLOSE	/CLU6 1/1000 SEP 16	/LOU6	33	PUT	0.08
5/25/2016 14:25	SINGLE	SELL	-1	TO OPEN	/ESU6 1/50 JUL 16 (Wk3)	/EW3N6	2160	CALL	5.5
5/25/2016 14:17	SINGLE	SELL	-1	TO OPEN	/CLU6 1/1000 SEP 16	/LOU6	33	PUT	0.11
5/25/2016 14:13	SINGLE	SELL	-1	TO OPEN	/GCQ6 1/100 JUL 16	/OGN6	1140	PUT	1.4
5/25/2016 14:12	SINGLE	SELL	-1	TO OPEN	/NGQ6 1/10000 AUG 16	/ONQ6	1.7	PUT	0.011
5/25/2016 14:11	SINGLE	SELL	-1	TO OPEN	/ESM6 1/50 JUN 16	/ESM6	2150	CALL	2.1

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Past Performance 
5/18/16-5/23/16  +$200