+$185 Closed Short G7 Simple Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
											13.2878
11/3/2016 13:50	FUTURE	BUY	1	TO CLOSE	/RBG7	17-Feb		FUTURE	1.4059	MKT
11/3/2016 13:50	FUTURE	SELL	-1	TO CLOSE	/CLG7	17-Feb		FUTURE	45.76	MKT

Cable Nov Update

keep selling premium

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Break Price
11/3/2016 11:42	CALENDAR	SELL	-2	TO OPEN	FXB	16-Dec-16	120	CALL	2.65	2.4
		BUY	2	TO CLOSE	FXB	18-Nov-16	120	CALL	2	CREDIT

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Position Statement on 11/3/16 11:46:40
None (using Beta Weighing on 'FXB')
Instrument	Qty	Days	Strike	Break	Mark	Delta	Theta	Vega	P/L Day	P/L Open	BP Effect
/M6B	4			1.251325	1.2442	187.23	0	0	$362.50	($178.13)	($1,584.00)
E-Micro GBP/USD Future,Dec-2016,ETH	4	46		1.251325	1.2442	187.23	0	0	$362.50	($178.13)
FXB						-125.93	4.23	-31.82	($20.00)	($20.00)	($5,390.20)
CURRENCYSHARES BRITISH POUND STERLING TRUST	0			0	121.38	0	0	0	$0.00	$0.00
100 16 DEC 16 120 CALL	-2	43	120	2.4	2.675	-125.93	4.23	-31.82	($20.00)	($20.00)

Short G7 Simple Crack Spread@13.4892

http://trading-fut-opt.blogspot.com/2015/10/crack-spread-basics.html

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Order Type	Crack
											13.4892
11/3/2016 9:51	FUTURE	SELL	-1	TO OPEN	/RBG7	17-Feb		FUTURE	1.4276	MKT
11/3/2016 9:51	FUTURE	BUY	1	TO OPEN	/CLG7	17-Feb		FUTURE	46.47	MKT

+$875 Short Colonial Pipeline Fire: -1 G7 Simple Crack Spread@13.4606

fast trade

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Exec Time

Spread

Side

Qty

Pos Effect

Symbol

Exp

Strike

Type

Price

Net Price

Order Type

Crack

12.5682

11/1/2016 12:26

FUTURE

BUY

1

TO CLOSE

/RBG7

17-Feb

FUTURE

1.4421

1.4421

MKT

11/1/2016 12:26

FUTURE

SELL

-1

TO CLOSE

/CLG7

17-Feb

FUTURE

48

48

MKT

13.4606

11/1/2016 10:27

FUTURE

SELL

-1

TO OPEN

/RBG7

17-Feb

FUTURE

1.4643

1.4643

MKT

11/1/2016 10:27

FUTURE

BUY

1

TO OPEN

/CLG7

17-Feb

FUTURE

48.04

48.04

MKT

VIX Algo with Defined Risk: First Entry

Exec Time

Spread

Side

Qty

Pos Effect

Symbol

Exp

Strike

Type

Price

Net Price

Order Type

VIX

DTE

11/1/2016 10:21

VERTICAL

SELL

-1

TO OPEN

VXX

19-Jan-18

32

CALL

12.45

0.7

LMT

18

444

BUY

1

TO OPEN

VXX

19-Jan-18

35

CALL

11.75

CREDIT

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