VIX Algo with Defined Risk

1. Divide capital into 12 equal parts;
2. Every month   Sell  VXX 10% ITM Call with DTE according to the probability distribution of 10% irreversible decay (see figure below) and the Kelly criterion (KC);
3. Buy ATM  Call.
* 5 trading days= 7 calendar days
--------------------------------------------------------------------------------------------------------------------
Expected return:
ROC 25%  DTE ~ 400
ROC 35%  DTE  ~200
ROC 55%  DTE  ~150

KC=0.8-0.2/0.25=0 -> 80% probability of win is the lower bound  for trading with DTE ~400.

KC=0.85-0.15/0.2=0.1  -> 12 equal parts is reasonable partition of the bet capital.
--------------------------------------------------------------------------------------------------------------------

WTI is down -> Sell Premium

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
10/31/2016 13:14	SINGLE	SELL	-1	TO OPEN	/CLF7 1/1000 JAN 17	/LOF7	37.5	PUT	0.23	0.23	LMT

+$370 Short New ATH F7 Simple Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
											11.6932
10/27/2016 9:46	FUTURE	SELL	-1	TO CLOSE	/CLF7	17-Jan		FUTURE	50.03	MKT
10/27/2016 9:46	FUTURE	BUY	1	TO CLOSE	/RBF7	17-Jan		FUTURE	1.4696	MKT

--------------------------------------------------------------------------------------------------------------------------

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
											12.0834
10/26/2016 14:39	FUTURE	SELL	-1	TO OPEN	/RBF7	17-Jan		FUTURE	1.4727	MKT
10/26/2016 14:39	FUTURE	BUY	1	TO OPEN	/CLF7	17-Jan		FUTURE	49.77	MKT

+$225 Short F7 Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
											11.4074
10/24/2016 15:37	FUTURE	BUY	1	TO CLOSE	/RBF7	17-Jan		FUTURE	1.4897	MKT
10/24/2016 15:37	FUTURE	SELL	-1	TO CLOSE	/CLF7	17-Jan		FUTURE	51.16	MKT

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
											11.6476
10/21/2016 11:07	FUTURE	SELL	-1	TO OPEN	/RBF7	17-Jan		FUTURE	1.4978	MKT
10/21/2016 11:07	FUTURE	BUY	1	TO OPEN	/CLF7	17-Jan		FUTURE	51.26	MKT

--------------------------------------------------------------------------------------------------------------------------

Short /NQZ6

1.  New trade: / -1 NQZ6 Call4960@5.00 (QN1X6)

 2. +$55  /QN3V6 sold on 10/12/2016 expires today OTM. 
--------------------------------------------------------------------------------------------------------------------------

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type
10/21/2016 11:03	SINGLE	SELL	-1	TO OPEN	/NQZ6 1/20 NOV 16 (Wk1)	/QN1X6	4960	CALL	5	LMT
10/17/2016 14:03	SINGLE	SELL	-1	TO OPEN	/NQZ6 1/20 OCT 16 (EOM)	/QNEV6	4940	CALL	3.5	LMT
10/12/2016 14:10	SINGLE	SELL	-1	TO OPEN	/NQZ6 1/20 OCT 16 (Wk3)	/QN3V6	4940	CALL	3.2	LMT

--------------------------------------------------------------------------------------------------------------------------

10/12/2016 Trading idea:

Sell /NQZ6 (Wk3) Call1940@price ;

if assigned-> play covered put or short;

if not > collect the premium and keep selling Call according to the trendline

--------------------------------------------------------------------------------

Long Gold

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/19/2016 14:35	SINGLE	SELL	-1	TO OPEN	GLD	16-Dec-16	115	PUT	0.62

And a Little Bit of Short /NQ Delta

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/17/2016 14:03	SINGLE	SELL	-1	TO OPEN	/NQZ6 1/20 OCT 16 (EOM)	/QNEV6	4940	CALL	3.5

Little bit of Long WTI Delta

 OPEX and WTI is down -> Sell premium

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/17/2016 13:07	SINGLE	SELL	-1	TO OPEN	/CLG7 1/1000 FEB 17	/LOG7	35	PUT	0.17

Cable Update

Cable may stay this low for a long time.  Selling  premium aggressively.
--------------------------------------------------------------------------------------------------------------------------

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price
10/13/2016 10:57	VERTICAL	SELL	-1	TO OPEN	FXB	18-Nov-16	120	CALL	1.45	1.1
		BUY	1	TO CLOSE	FXB	18-Nov-16	124	CALL	0.35	CREDIT

--------------------------------------------------------------------------------------------------------------------------

The trade is about -$700 as for now.

Group "Cable" Beta Weighing on 'FXB'
Instrument	Qty	Days	Strike	Break Price	Mark	Delta	Theta	Vega	P/L Open
/M6B E-Micro GBP/USD Future,Dec-2016,ETH	4	67		1.251325	1.2209	187.22	0	0	($760.63)
FXB CURRENCYSHARES BRITISH POUND STERLING TRUST	0			0	119.1102	0	0	0	$0.00
100 18 NOV 16 120 CALL	-2	36	120	1.8	1.5	-87.64	5.16	-29.88	$60.00

Sold /NQZ6 1/20 OCT 16 (Wk3) 4940Call@3.20

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
10/12/2016 14:10	SINGLE	SELL	-1	TO OPEN	/NQZ6 1/20 OCT 16 (Wk3)	/QN3V6	4940	CALL	3.2	3.2	LMT

Cable Long Term Position

Two contracts of  FXB vs 4 of M6B gives slightly positive delta in Cable if  assigned.
Let us keep selling premium and no more M6B.
--------------------------------------------------------------------------------------------------------------------

Exec Time

Spread

Side

Qty

Pos Effect

Symbol

Exp

Strike

Type

Price

Net Price

Order Type

Break

10/11/2016 13:52

SINGLE

SELL

-1

TO OPEN

FXB

18-Nov-16

120

CALL

1.2

1.2

LMT

1.2

10/7/2016 9:53

VERTICAL

SELL

-1

TO OPEN

FXB

18-Nov-16

124

CALL

0.85

0.55

LMT

1.35

BUY

1

TO CLOSE

FXB

18-Nov-16

127

CALL

0.3

CREDIT

10/5/2016 10:09

SINGLE

SELL

-1

TO OPEN

FXB

18-Nov-16

127

CALL

0.8

0.8

LMT

10/11/2016 13:45

FUTURE

BUY

1

TO OPEN

/M6BZ6

16-Dec

FUTURE

1.212

1.212

LMT

1.251325

10/6/2016 19:40

FUTURE

BUY

1

TO OPEN

/M6BZ6

16-Dec

FUTURE

1.2407

1.240701

MKT

10/5/2016 10:09

FUTURE

BUY

1

TO OPEN

/M6BZ6

16-Dec

FUTURE

1.275

1.275

MKT

10/4/2016 9:11

FUTURE

BUY

1

TO OPEN

/M6BZ6

16-Dec

FUTURE

1.2776

1.2776

MKT

+$240 Short 2nd Debate Ramp @ NASDAQ100 All Time High

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/10/2016 16:08	SINGLE	BUY	1	TO CLOSE	/NQZ6 1/20 OCT 16 (EOM)	/QNEV6	5000	CALL	8.75
10/10/2016 15:59	FUTURE	BUY	1	TO CLOSE	/NQZ6	16-Dec		FUTURE	4889.75

----------------------------------------------------------------------------------------------------------------------

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/10/2016 10:58	FUTURE	SELL	-1	TO OPEN	/NQZ6	16-Dec		FUTURE	4900.25
10/10/2016 11:02	SINGLE	SELL	-1	TO OPEN	/NQZ6 1/20 OCT 16 (EOM)	/QNEV6	5000	CALL	10.25

/NG Channel

Cable Defense

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	break
										1.2
10/7/2016 9:53	VERTICAL	SELL	-1	TO OPEN	FXB	18-Nov-16	124	CALL	0.85
		BUY	1	TO CLOSE	FXB	18-Nov-16	127	CALL	0.3
10/5/2016 10:09	SINGLE	SELL	-1	TO OPEN	FXB	18-Nov-16	127	CALL	0.8

+$120 Short Clinton Trump Debates

Closed before NFP

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/6/2016 23:21	SINGLE	BUY	1	TO CLOSE	/ESZ6 1/50 NOV 16 (EOM)	/EWX6	2225	CALL	8.5

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
9/26/2016 21:48	SINGLE	SELL	-1	TO OPEN	/ESZ6 1/50 NOV 16 (EOM)	/EWX6	2225	CALL	11.25

Cable Crashed: Averaging The Loser

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	break
10/5/2016 10:09	SINGLE	SELL	-1	TO OPEN	FXB	18-Nov-16	127	CALL	0.8	0.8
10/6/2016 19:40	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.2407	1.2645
10/5/2016 10:09	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.275
10/4/2016 9:11	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.2776

WTI into OPEX

Cable Cost Basis Reduction

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type
10/5/2016 10:09	SINGLE	SELL	-1	TO OPEN	FXB	18-Nov-16	127	CALL	0.8	LMT
10/5/2016 10:09	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.275	MKT
10/4/2016 9:11	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.2776	MKT

+$350 F7 Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
10/5/2016 9:55	FUTURE	SELL	-1	TO CLOSE	/CLF7	17-Jan		FUTURE	50.71	MKT	11.03
10/5/2016 9:55	FUTURE	BUY	1	TO CLOSE	/RBF7	17-Jan		FUTURE	1.47	MKT
10/4/2016 10:33	FUTURE	BUY	1	TO OPEN	/CLF7	17-Jan		FUTURE	50.09	MKT	11.3896
10/4/2016 10:33	FUTURE	SELL	-1	TO OPEN	/RBF7	17-Jan		FUTURE	1.4638	MKT

Long GBP

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/4/2016 9:11	FUTURE	BUY	1	TO OPEN	/M6BZ6	16-Dec		FUTURE	1.2776

-------------------------------------------------------------------------------------

Short F7 Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Crack
										11.3896
10/4/2016 10:33	FUTURE	BUY	1	TO OPEN	/CLF7	17-Jan		FUTURE	50.09
10/4/2016 10:33	FUTURE	SELL	-1	TO OPEN	/RBF7	17-Jan		FUTURE	1.4638

+$200 SP500 Short

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
10/3/2016 15:01	SINGLE	BUY	1	TO CLOSE	/ESZ6 1/50 OCT 16 (EOM)	/EWV6	2200	CALL	4.75
9/14/2016 11:09	SINGLE	SELL	-1	TO OPEN	/ESZ6 1/50 OCT 16 (EOM)	/EWV6	2200	CALL	9