Mechanical Trading

Friday, April 22, 2016

Strategy 2

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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3/18/16-4/22/16 + 21 points of Realized Profit; ~ -8 points of Unrealized Loss
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4/21/16 - 3/29/16 Chain of trades.
Violating Rule #1 is a bad approach. Let us execute Rule #4 against SP500 uptrend.

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
									10.0+51.0=61.0
4/21/2016 11:44	VERTICAL	SELL	-1	TO OPEN	/ESM6	2060	PUT	31.5	11.25
		BUY	1	TO OPEN	/ESM6	2010	PUT	20.25	CREDIT
4/21/2016 11:43	SINGLE	SELL	-1	TO OPEN	/ESM6	2060	CALL	63.5	63.5
4/21/2016 11:39	SINGLE	BUY	1	TO CLOSE	/EW4K6	2050	CALL	61.75	61.75
4/21/2016 11:37	VERTICAL	BUY	1	TO CLOSE	/EW4K6	2050	PUT	18.25	3
		SELL	-1	TO CLOSE	/EW4K6	2035	PUT	15.25	DEBIT

4/12/16 Rule #1 has been violated. That's because it is not a new trade. This is meant to improve
3/29/2016 entry.

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
									45.25+6.0=51.25
4/12/2016 11:52	SINGLE	BUY	1	TO OPEN	/EW4K6	2035	PUT	34.75	CREDIT
4/12/2016 11:47	STRADDLE	SELL	-1	TO OPEN	/EW4K6	2050	CALL	40.25
		SELL	-1	TO OPEN	/EW4K6	2050	PUT	39.75

4/11/16
Out with +6 points instead of +10 points. That's because the trade didn't work for 2 weeks.
I hope to reestablish this position with a better entry point.

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/11/2016 15:56	IRON CONDOR	BUY	1	TO CLOSE	/EWJ6	2045	CALL	21	24.8
		SELL	-1	TO CLOSE	/EWJ6	2130	CALL	0.45	DEBIT
		BUY	1	TO CLOSE	/EWJ6	2045	PUT	28.25
		SELL	-1	TO CLOSE	/EWJ6	2035	PUT	24

3/29/16 Original Entry

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
3/29/2016 14:35	IRON CONDOR	SELL	-1	TO OPEN	/EWJ6	2045	CALL	29.5	31.5
		BUY	1	TO OPEN	/EWJ6	2130	CALL	1.5	CREDIT
		SELL	-1	TO OPEN	/EWJ6	2045	PUT	29.75
		BUY	1	TO OPEN	/EWJ6	2035	PUT	26.25

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4/20/16 Closed on 4/22/16 +8 points

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/22/2016 9:09	SINGLE	BUY	1	TO CLOSE	/EWK6	2100	CALL	22.25	22.25

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/20/2016 11:41	SINGLE	SELL	-1	TO OPEN	/EWK6	2100	CALL	30.5	30.5

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4/13/16 Closed on 4/22/16 +1 point

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/22/2016 13:22	CUSTOM	BUY	1	TO CLOSE	/EWK6	2070	CALL	37.5	49.75
		BUY	1	TO CLOSE	/EWK6	2070	PUT	29.5	DEBIT
		SELL	-1	TO CLOSE	/EWK6	2025	PUT	17.25

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
									51
4/13/2016 12:06	STRADDLE	SELL	-1	TO OPEN	/EWK6	2070	CALL	37.25	CREDIT
		SELL	-1	TO OPEN	/EWK6	2070	PUT	37.5
4/13/2016 12:06	SINGLE	BUY	1	TO OPEN	/EWK6	2025	PUT	23.75

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3/18/16-3/28/16 + 12 points

Wednesday, April 20, 2016

Strategy I Keeps Winning Small

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.
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3/17/16-4/20/16 +24 points of Realized Profits
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Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
4/20/2016 15:39	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun		FUTURE	2098.25
4/20/2016 11:25	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun		FUTURE	2099.5
4/19/2016 9:30	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun		FUTURE	2092.5
4/19/2016 3:20	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun		FUTURE	2093.75
4/18/2016 16:05	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun		FUTURE	2086.5
4/18/2016 14:44	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun		FUTURE	2087.75
4/18/2016 12:34	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun		FUTURE	2085.5
4/18/2016 12:31	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun		FUTURE	2086.75

3/17/16-4/14/16 +20 points

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Type	Price	Net Price	Order Type
4/14/2016 13:29	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	FUTURE	2078.5	2078.5	LMT
4/14/2016 12:27	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	FUTURE	2079.75	2079.75	LMT
4/14/2016 9:35	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	FUTURE	2075.25	2075.25	LMT
4/14/2016 8:41	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	FUTURE	2078.5	2078.5	LMT
4/13/2016 23:18	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	FUTURE	2072.75	2072.75	LMT
4/13/2016 15:31	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	FUTURE	2075	2075	LMT

3/17/16-4/4/16 +14 points ($700)

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Price	Order Type
4/4/2016 8:12	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	2067	LMT
4/4/2016 5:42	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	2071.25	LMT
3/30/2016 8:26	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	2056.5	LMT
3/30/2016 6:17	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	2059.75	LMT
3/18/2016 16:13	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	2037.75	LMT
3/18/2016 15:14	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	2041	LMT
3/18/2016 13:36	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	2033.5	LMT
3/18/2016 9:31	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	2036.75	LMT
3/17/2016 15:51	FUTURE	BUY	1	TO CLOSE	/ESM6	16-Jun	2033.5	LMT
3/17/2016 14:10	FUTURE	SELL	-1	TO OPEN	/ESM6	16-Jun	2034.5	LMT

Strategy 2 is Under Pressure

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/20/2016 11:41	SINGLE	SELL	-1	TO OPEN	/EWK6	2100	CALL	30.5	30.5

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4/13/16 New entry

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
									51
4/13/2016 12:06	STRADDLE	SELL	-1	TO OPEN	/EWK6	2070	CALL	37.25	CREDIT
		SELL	-1	TO OPEN	/EWK6	2070	PUT	37.5
4/13/2016 12:06	SINGLE	BUY	1	TO OPEN	/EWK6	2025	PUT	23.75

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4/12/16 Rule #1 has been violated. That's because it is not a new trade. This is meant to improve
3/29/2016 entry.

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
									45.25
4/12/2016 11:52	SINGLE	BUY	1	TO OPEN	/EW4K6	2035	PUT	34.75	CREDIT
4/12/2016 11:47	STRADDLE	SELL	-1	TO OPEN	/EW4K6	2050	CALL	40.25
		SELL	-1	TO OPEN	/EW4K6	2050	PUT	39.75

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3/18/16-4/11/16 18 points
Out with +6 points. That's because the trade didn't work for 2 weeks.
I hope to reestablish this position with a better entry point.

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/11/2016 15:56	IRON CONDOR	BUY	1	TO CLOSE	/EWJ6	2045	CALL	21	24.8
		SELL	-1	TO CLOSE	/EWJ6	2130	CALL	0.45	DEBIT
		BUY	1	TO CLOSE	/EWJ6	2045	PUT	28.25
		SELL	-1	TO CLOSE	/EWJ6	2035	PUT	24

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
3/29/2016 14:35	IRON CONDOR	SELL	-1	TO OPEN	/EWJ6	2045	CALL	29.5	31.5
		BUY	1	TO OPEN	/EWJ6	2130	CALL	1.5	CREDIT
		SELL	-1	TO OPEN	/EWJ6	2045	PUT	29.75
		BUY	1	TO OPEN	/EWJ6	2035	PUT	26.25

3/18/16-3/28/16 12 points

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price
3/28/2016 10:59	SINGLE	BUY	1	TO CLOSE	/ESJ6	2075	CALL	4.15

The trade was reestablished cause /ES rallied into the close.

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price
3/24/2016 16:10	SINGLE	SELL	-1	TO OPEN	/ESJ6	2075	CALL	5.5

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3/18/16-3/24/16 11 points $520=$550 -$30 fees

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
3/24/2016 10:18	IRON CONDOR	BUY	1	TO CLOSE	/ESJ6	2040	CALL	15.25	20.3
		SELL	-1	TO CLOSE	/ESJ6	2150	CALL	0.2	DEBIT
		BUY	1	TO CLOSE	/ESJ6	2040	PUT	38.75
		SELL	-1	TO CLOSE	/ESJ6	2030	PUT	33.5
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

WTI - Buying Back The Downside Risk

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/20/2016 9:57	SINGLE	BUY	3	TO CLOSE	/LOM6	34	PUT	0.19	0.19

Saturday, April 9, 2016

Position Statement on 4/5/16 11:44:14

using Beta Weighing on 'SPY'
Instrument	Qty	Days	Strike	Break	Mark	Delta	Theta	Vega
/CL						623.4	143.46	-265.71
Light Sweet Crude Oil Futures,Jun-2016,ETH	3	45		41.65	36.97	654.13	0	0
1/1000 JUN 16 /LOM6 34 PUT	-3	42	34	0.8	1.2	183.52	73.22	-128.31
1/1000 JUN 16 /LOM6 40 CALL	-3	42	40	1.15	1.1	-214.25	70.24	-137.4

/ES						-196.65	21.16	-79.5
1/50 APR 16 (EOM) /EWJ6 2045 CALL	-1	24	2045	29.5	26.75	-250.56	27.39	-106.6
1/50 APR 16 (EOM) /EWJ6 2130 CALL	1	24	2130	1.5	1.1	25.74	-5.41	28.16
1/50 APR 16 (EOM) /EWJ6 2045 PUT	-1	24	2045	29.75	28	250.45	27.28	-106.6
1/50 APR 16 (EOM) /EWJ6 2035 PUT	1	24	2035	26.25	24.25	-222.29	-28.1	105.53

Monday, April 4, 2016

Rolling WTI into the Next Option Cycle

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
4/5/2016 11:24	SINGLE	BUY	3	TO CLOSE	/CLK6	/LOK6	40.5	CALL	0.08	0.08	LMT
4/5/2016 11:22	VERTICAL	BUY	3	TO CLOSE	/CLM6	/LOM6	40.5	CALL	0.99	0.13	LMT
		SELL	-3	TO CLOSE	/CLM6	/LOM6	41	CALL	0.86	DEBIT
4/5/2016 11:21	SINGLE	SELL	-3	TO OPEN	/CLM6	/LOM6	40	CALL	1.15	1.15	LMT
4/5/2016 11:17	FUT CALENDAR	SELL	-3	TO CLOSE	/CLK6	16-May		FUTURE	35.67	-1.29	LMT
		BUY	3	TO OPEN	/CLM6	16-Jun		FUTURE	36.96	DEBIT

Exec Time	Spread	Side	Qty	Pos Effect	Exp	Strike	Type	Price	Net Price
4/4/2016 13:08	VERTICAL	SELL	-3	TO OPEN	/LOM6	40.5	CALL	1.12	0.16
		BUY	3	TO OPEN	/LOM6	41	CALL	0.96	CREDIT
4/4/2016 13:06	VERTICAL	BUY	3	TO CLOSE	/LOK6	40.5	CALL	0.11	0.02
		SELL	-3	TO CLOSE	/LOK6	41	CALL	0.09	DEBIT
4/4/2016 12:58	SINGLE	SELL	-3	TO OPEN	/LOM6	34	PUT	1.06	1.06
4/4/2016 12:54	SINGLE	BUY	3	TO CLOSE	/LOK6	35	PUT	0.78	0.78
4/4/2016 12:52	SINGLE	SELL	-3	TO CLOSE	/LOK6	30	PUT	0.09	0.09
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