Mechanical Trading

Tuesday, January 5, 2016

Another SP500 hedge

Yep, these are difficult times for WTI traders.
See the trade

Exec Time	Spread	Side	Qty	Symbol	Exp	Strike	Type	Price	Net Price	Order Type
1/5/2016 13:25	IRON CONDOR	SELL	-1	SPX	16-Feb	2005	CALL	47.5	55.2	LMT
		BUY	1	SPX	16-Feb	2125	CALL	3.6	CREDIT
		SELL	-1	SPX	16-Feb	2005	PUT	52.4
		BUY	1	SPX	16-Feb	1975	PUT	41.1

and risk profile

Monday, January 4, 2016

/ES Closing

It happened fast.

Exec Time	Spread	Side	Qty	Exp	Strike	Type	Price	Net Price
1/4/2016 10:29	IRON CONDOR	BUY	1	/EWF6	2050	CALL	13.25	32.35
		SELL	-1	/EWF6	2140	CALL	0.65	DEBIT
		BUY	1	/EWF6	2050	PUT	70
		SELL	-1	/EWF6	2015	PUT	50.25

Thursday, December 31, 2015

Managment of Delta in WTI

Oil is under pressure. I decided to manage /CL delta for the expense of the collected premium. Also /ES was used to hedge the /CL position.
The resulting position and the trades are posted below.

Position Statement for D-11687156 (margin) on 12/31/15 12:39:17
using Beta Weighing on '/ES'
Instrument	Qty	Days	Strike	Breakeven	Mark	Delta	Theta	Vega
Light Sweet Crude Oil Futures,Apr-2016,ETH	2	81		45.41	39.69	45.77	0	0
1/1000 FEB 16 /LOG6 43.5 PUT	-1	14	43.5	1.23	5.92	20.71	19.99	-12.32
1/1000 APR 16 /LOJ6 43.5 CALL	-3	76	43.5	1.33	1.63	-24.2	55.37	-203.02

1/1000 FEB 16 /LOG6 24.5 PUT	5	14	24.5	0.04	0.01	-0.54	-16.02	5.24

1/1000 APR 16 /LOJ6 37.5 PUT	-1	76	37.5	2.43	2.12	7.99	19.04	-67.46
1/1000 APR 16 /LOJ6 41 PUT	-1	76	41	1.95	3.81	12.01	19.64	-72.5
1/1000 APR 16 /LOJ6 38.5 CALL	-1	76	38.5	3.17	3.73	-13.77	19.93	-70.32
1/1000 APR 16 /LOJ6 43 CALL	1	76	43	1.32	1.78	8.59	-18.88	69.12

E-mini S&P 500 Index Futures,Mar-2016,ETH	0	78		2052.25	2052.25	0	0	0
				44	44
1/50 JAN 16 (EOM) /EWF6 2015 PUT	1	29	2015			-17.02	-29.68	107.68
1/50 JAN 16 (EOM) /EWF6 2050 CALL	-1	29	2050			-25.92	28.99	-116.97
1/50 JAN 16 (EOM) /EWF6 2050 PUT	-1	29	2050			23.99	28.68	-116.97
1/50 JAN 16 (EOM) /EWF6 2140 CALL	1	29	2140			4.43	-8.43	47.19

Instrument	Delta	Theta	Vega	BP Effect
/CL	56.56	99.08	-351.25	-32860.00
/ES	-14.52	19.56	-79.08	-4411.00
Total	42.04	118.64	-430.33	-37271

Trades

Exec Time	Spread	Side	Qty	Symbol	Exp	Strike	Type	Price	Net Price
12/31/2015 12:33	IRON CONDOR	SELL	-1	/ESH6 1/50 JAN 16 (EOM)	/EWF6	2050	CALL	35.5	44.05
		BUY	1	/ESH6 1/50 JAN 16 (EOM)	/EWF6	2140	CALL	2.45	CREDIT
		SELL	-1	/ESH6 1/50 JAN 16 (EOM)	/EWF6	2050	PUT	34
		BUY	1	/ESH6 1/50 JAN 16 (EOM)	/EWF6	2015	PUT	23

12/31/2015 11:50	SINGLE	SELL	-1	/CLJ6 1/1000 APR 16	/LOJ6	43.5	CALL	1.51	1.51
12/31/2015 2:52	SINGLE	SELL	-2	/CLJ6 1/1000 APR 16	/LOJ6	43.5	CALL	1.29	1.29

12/31/2015 2:48	FUT CALENDAR	SELL	-2	/CLG6	16-Feb		FUTURE	36.7	-1.96
		BUY	2	/CLJ6	16-Apr		FUTURE	38.66	DEBIT

12/30/2015 22:32	VERTICAL	SELL	-1	/CLJ6 1/1000 APR 16	/LOJ6	41	CALL	2.05	0.63
		BUY	1	/CLJ6 1/1000 APR 16	/LOJ6	43	CALL	1.42	CREDIT
12/30/2015 22:31	SINGLE	SELL	-1	/CLJ6 1/1000 APR 16	/LOJ6	41	PUT	4.36	4.36
12/30/2015 22:31	SINGLE	BUY	1	/CLG6 1/1000 FEB 16	/LOG6	41	PUT	4.49	4.49

12/30/2015 22:10	VERTICAL	SELL	-1	/CLJ6 1/1000 APR 16	/LOJ6	38.5	CALL	3.17	1.09
		BUY	1	/CLJ6 1/1000 APR 16	/LOJ6	41	CALL	2.08	CREDIT

Friday, December 25, 2015

Position

Instrument	Qty	Days	Strike	Breakeven	Mark	BP Effect
/CL						-55764.00
Light Sweet Crude Oil Futures,Feb-2016,ETH	2	27		43.5	38.08
Light Sweet Crude Oil Futures,Apr-2016,ETH	0	88		0	39.87
1/1000 FEB 16 /LOG6 24.5 PUT	5	21	24.5	0.04	0.01
1/1000 FEB 16 /LOG6 41 PUT	-1	21	41	2.1	3.45
1/1000 FEB 16 /LOG6 43.5 PUT	-1	21	43.5	1.23	5.63
1/1000 APR 16 /LOJ6 37.5 PUT	-1	83	37.5	2.43	2.19
1/1000 FEB 16 /LOG6 43.5 CALL	-2	21	43.5	0.12	0.21

Monday, December 21, 2015

Defense

Exec Time	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
12/21/2015 10:48	-2	TO OPEN	/CLG6 1/1000 FEB 16	/LOG6	43.5	CALL	0.12
12/21/2015 10:33	1	TO CLOSE	/CLG6 1/1000 FEB 16	/LOG6	37.5	PUT	2.64
12/21/2015 10:32	-1	TO OPEN	/CLJ6 1/1000 APR 16	/LOJ6	37.5	PUT	3.08

Friday, December 18, 2015

Fourth Cycle

Third is done. How low Oil can go.

Position summary:

Instrument	Qty	Days	Strike	Trade Price	Breakeven
/CL
Light Sweet Crude Oil Futures,Feb-2016,ETH	2	33		36.99	43.5

1/1000 FEB 16 /LOG6 24.5 PUT	5	27	24.5	0.04	0.04
1/1000 FEB 16 /LOG6 37.5 PUT	-1	27	37.5	2	2
1/1000 FEB 16 /LOG6 41 PUT	-1	27	41	4.38	2.1
1/1000 FEB 16 /LOG6 43.5 PUT	-1	27	43.5	6.4	1.23

Cash from Finished Transactions
10/15/2015 $3,017.00 First     cycle
11/17/2015 $3,267.00 Second cycle
12/18/2015 $3.060.00 Third cycle

Monday, December 14, 2015

Rolling,Early Again

12/14/2015	12:37:32	BOT +1 /CLF6 1/1000 JAN 16 /LOF6 40 PUT @3.58
12/14/2015	12:44:10	SOLD -1 /CLG6 1/1000 FEB 16 /LOG6 43.5 PUT @6.40
12/14/2015	12:44:10	BOT +1 /CLF6 1/1000 JAN 16 /LOF6 42.5 PUT @6.25
12/14/2015	12:47:08	SOLD -1 /CLG6 1/1000 FEB 16 /LOG6 41 PUT @4.38
12/14/2015	12:49:23	BOT +1 /CLF6 1/1000 JAN 16 /LOF6 45 PUT @8.72
12/14/2015	12:55:51	BOT +1 /CLG6 @37.88
12/14/2015	12:58:18	SOLD -1 /CLG6 1/1000 FEB 16 /LOG6 46.5 CALL @.27
12/14/2015	13:01:01	BOT +5 /CLG6 1/1000 FEB 16 /LOG6 24.5 PUT @.04