Tuesday, April 30, 2019

WTI naked calls & puts (paper trade)

Flat WTI strangle; profit is 50% of the initial credit.  Options pain works.

5/7/2019

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
5/7/2019 11:25 STRANGLE BUY 1 TO CLOSE /CLM19 1/1000 JUN 19 /LOM19 66 CALL 0.05 0.15 LMT
BUY 1 TO CLOSE /CLM19 1/1000 JUN 19 /LOM19 55 PUT 0.1 DEBIT
5/2/2019
In response to crude move down.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
5/2/2019 11:13 VERTICAL SELL -1 TO OPEN /CLM19 1/1000 JUN 19 /LOM19 66 CALL 0.12 0.1 LMT
BUY 1 TO CLOSE /CLM19 1/1000 JUN 19 /LOM19 70 CALL 0.02 CREDIT

4/30/2019
16 DTE, options max pain is on my side.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type
4/30/2019 12:30 STRANGLE SELL -1 TO OPEN /CLM19 1/1000 JUN 19 /LOM19 70 CALL 0.07 0.15 LMT
SELL -1 TO OPEN /CLM19 1/1000 JUN 19 /LOM19 55 PUT 0.08 CREDIT

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Thursday, April 25, 2019

+$700, flat Russell Nasdaq futures spread #8

The trade entry was posted here.

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/25/2019 16:31 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7805.75 7805.75 MKT 1765
4/25/2019 16:31 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1578.8 1578.8 MKT
4/25/2019 16:31 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1578.8 1578.8 MKT
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Russell Nasdaq spread #8

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/25/2019 8:53 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7876.25 7876.25 MKT 1045
4/25/2019 8:53 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1585.7 1585.7 MKT
4/25/2019 8:53 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1585.7 1585.7 MKT
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Tuesday, April 23, 2019

+$500, flat Russell Nasdaq futures #7

How to trade Russel Nasdaq spread using futures.

The entry was posted here.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/23/2019 11:10 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7784 7784 MKT 2310
4/23/2019 11:10 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1579.9 1579.9 MKT
4/23/2019 11:10 FUTURE SELL -1 TO CLOSE /RTYM19 19-Jun FUTURE 1579.9 1579.9 MKT

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Monday, April 22, 2019

Russell Nasdaq futures spread #7

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/22/2019 11:09 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7710 7710 LMT 1800
4/22/2019 11:07 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1560 1560 LMT
4/22/2019 11:07 FUTURE BUY 1 TO OPEN /RTYM19 19-Jun FUTURE 1560 1560 LMT
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Wednesday, April 17, 2019

+$500, flat Russell Nasdaq spread trade #6

#5 + #6 =1000 $USD

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/17/2019 15:25 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7691.25 7691.25 MKT 3375
4/17/2019 15:25 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1572 1572 LMT
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+$520, flat Russell Nasdaq #5; new entry #6

+520 Federal Reserve IOU aka $USD; quick scalping, #5 entry.

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/17/2019 13:59 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7700 7700 MKT 2850
4/17/2019 13:59 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1568.5 1568.5 LMT
4/17/2019 10:26 FUTURE BUY 1 TO CLOSE /NQM19 19-Jun FUTURE 7708.5 7708.5 MKT 3680
4/17/2019 10:26 FUTURE SELL -2 TO CLOSE /RTYM19 19-Jun FUTURE 1578.5 1578.5 LMT
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Russell Nasdaq pair trade #5

How to trade Russel Nasdaq spread using futures.

Exec Time Spread Side Qty Pos Effect Symbol Exp Strike Type Price Net Price Order Type Spread
4/17/2019 10:26 FUTURE SELL -1 TO OPEN /NQM19 19-Jun FUTURE 7707 7707 MKT 3330
4/17/2019 10:26 FUTURE BUY 2 TO OPEN /RTYM19 19-Jun FUTURE 1574.7 1574.7 MKT
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Saturday, April 13, 2019

Spread Trading with Russell and Nasdaq Futures or ETFs.

Russell Nasdaq spread trade is based on the correlation between Small Cap Stock Index, Russell, and Growth Stock Index, Nasdaq.

Russell Nasdaq correlation


The corresponding ETF/futures are IWM, /RTY and QQQ, /NQ for Russell and Nasdaq, respectively. The corresponding  notional values in $USD are calculated as follows:
  • number of shares x IWM ;
  • number of contracts x 50 x /RTY;
  • number of shares x QQQ;
  • number of contracts x 20 x /NQ.
For example, for trading long IWM short QQQ spread one can use 100xIWM-100xQQQ for profit/loss calculations. Keep in mind, that spread trading with ETFs is not capital efficient. Depending on a broker, one may need about $20000 to enter 100 IWM shares versus 100 shares of QQQ.

 One Russell/Nasdaq futures contract is roughly 5/10 times larger than the corresponding ETF.  However,  $15000 is enough to enter Russell Nasdaq spread trade on TOS. At the moment, a delta neutral position is given by:

 long  2 /RTY,  short 1 /NQ. 
    100/RTY - 20/NQ  expresses the above spread in $USD:

    spread visualization for Russel Nasdaq futures
    One can try to profit from the widening or narrowing of the spread. I like Russell Nasdaq spread because it is characterized by high volatility. /NQ leg can be replaced by /NQ options.  My trades are posted @ https://www.the.trading/search/label/Russell. 



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