M3 Backtesting Jun 21, 2013

jun-21-2013-entry-b

Adjustments:

  • Jul 1 – Sold 6 x 940 to control + VEGA
  • Jul 5 – Rolled the BF up (can’t keep DELTA/VEGA negative)
  • Jul 9 – Sold 3 x 990 to reduce – DELTA outside tent
  • Jul 12 – Sold 3 x 990 to control + VEGA
  • Jul 15 – Rolled BF up (can’t keep DELTA/VEGA negative)
  • Jul 18 – Sold 5 x 1030 to reduce – DELTA inside edge of tent
  • Jul 19 – Sold 3 x 1040 to reduce – DELTA inside edge of tent
  • Jul 22 – Sold 7 x 1040 to reduce – DELTA outside tent
  • Jul 24 – Sold 3 x 1030 to protect 20 pts down
  • Jul 25 – Sold 4 x 1040 to protect 25 pts up
  • Jul 31 – Sold 1 x 1040 to reduce – DELTA inside edge of tent
  • Aug 1 – Sold 8 x 1050 to reduce – DELTA outside tent
  • Aug 2 – Sold 4 x 1050 to reduce – DELTA outside tent
  • Aug 5 – Rolled BF up b/c I had no more verticals to move in order to reduce – DELTA outside tent
  • Aug 6 – Sold 3 x 1050 to reduce + DELTA inside tent
  • Aug 7 – Sold 6 x 1050 to reduce + DELTA inside tent
  • Aug 8 – Exited at 8 DTE at slightly under max profit at +$2458
    • Continued to trade till 7 DTE
    • Sold 6 x 1060 to reduce – DELTA inside tent
  • Aug 9 – Exited at 7 DTE at max profit +$3210

M3 Backtesting May 24, 2013

may-24-2013-entry-b

Adjustments:

  • Jun 10 – Sold 6 x 960 to reduce – DELTA outside tent
  • Jun 12 – Sold 4 x 950 to protect 30 pts down
  • Jun 18 – Sold 2 x 960 to protect 30 pts up
  • Jun 19 – Sold 5 x 960, 1 x 970 to reduce – DELTA outside tent
  • Jun 20 – Rolled BF down 20 pts (DELTA hit +66)
  • Jun 21 – Sold 3 x 940, 1 x 950 to protect 30 pts up (-$1939)
  • Jun 24 – Sold 1 x 930 to protect 30 pts down
  • Jun 25 – Sold 2 x 950 to protect 30 pts up
  • Jun 26 – Sold 3 x 950 to protect 30 pts up
  • Jun 28 – Sold 4  x 950, 1 x 960 to reduce – DELTA outside tent
  • Jul 1 – Sold 5 x 960 to control + VEGA
  • Jul 5 – Rolled BF up
  • Jul 8 – Sold 4 x 1000 to reduce – DELTA inside tent
  • Jul 9 – Sold 5 x 1010 to reduce – DELTA outside tent
  • Jul 11 – Rolled BF up
  • Jul 12 – Exited 7 DTE at loss -$1287

M3 Backtesting Apr 26, 2013

apr-26-2013-entry-b

Adjustments:

  • Apr 30 – Sold 2 x 920 to protect 30 pts up
  • May 1 – Sold 8 x 910 to protect 30 pts down (-$1300, can’t protect too much down without risking upside)
  • There was a volatility hit which resulted in the price of the RUT moving below the $0 axis
  • May 2 – Sold 6 x 920 to protect 30 pts up
  • May 6 – Sold 4 x 920 to protect 30 pts up
  • May 10 – Rolled BF up (can’t keep DELTA/VEGA negative)
  • May 14 – Sold 1 x 960 to protect 30 pts up (-$1731)
  • May 17 – Sold 6 x 960 to protect 30 pts up
  • May 20 – Thought about making an adjustment, but decided to -$1700 30 pts up is ok level of risk b/c my downside is protected.

apr-26-2013-adjustment-volatility-hit

  • May 22 – Sold 4 x 950 to protect 30 pts down (-$1698)
  • May 23 – Sold 3 x 960 to protect 30 pts up (-$1958)
  • May 29 – Sold 3 x 960, 1 x 970 to reduce – DELTA outside tent
  • Jun 5 – Sold 2 x 950 to protect 30 pts down
  • Jun 7 – Sold 8 x 970, 2 x 980 to reduce – DELTA outside tent
  • Jun 12 – Sold 2 x 960 to protect 20 pts down (can’t protect 30 pts down)
  • Jun 13 – Sold 4 x 980 to reduce – DELTA outside tent (adjusted to bring DELTA to -26)
  • Jun 14 – Exited 7 DTE below max profit +$626.

M3 Backtesting Mar 22, 2013

mar-22-2013-entry-b

Adjustments:

  • Mar 25 – Sold 2 x 920 to protect 30 pts down
  • Mar 28 – Sold 3 x 940 to protect 30 pts up
  • Apr 1 – Sold 1 x 930, 2 x 920 to protect 30 pts down
  • Apr 3 – DELTA hit +87 therefore rolled BF down 30 pts
  • Apr 9 – Sold 8 x 910 to reduce – DELTA outside tent
  • Apr 15 – DELTA hit +88 therefore rolled the BF down 10 pts
    • Short strikes -10 x 890 & -10 x 880 to protect 30 pts up
  • Apr 16 – Sold 6 x 900 to reduce – DELTA inside edge of tent
  • Apr 17 – Sold 4 x 890 to protect 30 pts down (-$1300 the best I could protect down w/o giving up too much upside risk)
  • Apr 18 – Sold 2 x 880 to protect 30 pts down (-$1103)
  • Apr 19 – Sold 4 x 900 to protect 20 pts up
  • Apr 22 – Sold 6 x 900 to reduce – DELTA inside edge of tent
  • Apr 23 – Sold 5 x 910 to reduce – DELTA outside tent
  • Apr 29 – Sold 5 x 910 to control + VEGA outside tent
  • Apr 30 – Rolled BF up (can’t keep DELTA/VEGA negative)
  • May 1 – DELTA hit 216 therefore rolled BF down 20 pts
  • May 2 – Sold 7 x 930, 1 x 940 to reduce – DELTA inside edge of tent
  • May 3 – Exited at max loss -$2598, but decided to trade this till 7 DTE to see how I would have managed this trade.

——————————————————————–

  • May 6 – Rolled BF up (can’t keep DELTA/VEGA negative)
  • May 7 – Sold 6 x 970 to reduce – DELTA inside tent
  • May 10 – 7 DTE greater than max loss of -$3488

M3 Backtesting Feb 22, 2013

feb-22-2013-entry-b

Adjustments:

  • Feb 25 – Sold 5 x 880 to protect 25 pts down
    • There was a volatility hit and my position was below the $0 axis increase max loss to $4k
  • Feb 27 – Sold 4 x 890 to protect 25 pts up
  • Mar 5 – Sold 8 x 900 to reduce – DELTA outside tent
  • Mar 8 – Sold 4 x 910 to control + VEGA
  • Mar 13 – Sold 4 x 910 to control + VEGA
  • Mar 14 – Rolled BF up (have downside risk)
    • When I’m rolling up/down should I try and manage my t+0 line to protect +/- 30 pts?
    • Sold 4 x 930 to protect 30 pts down
  • Mar 19 – Sold 4 x 920 to protect 20 pts down
  • Mar 20 – Sold 4 x 940 to protect 20 pts up
  • Mar 21 – In real trading I would have exited here for – $750 loss, most of my PnL during this trade was in -$2800 – 3400.
    • Sold 2 x 930 to protect 20 pts down
  • Mar 26 – Sold 3 x 960 to protect 20 pts up
  • Mar 27 – Sold 2 x 940 to protect 20 pts up
  • Apr 1 – Rolled BF down 10 pts (b/c DELTA hit +90 inside tent)
  • Apr 2 – Hit +$1674 profit if I had stayed in the trade I would have taken profit here.
  • Apr 3 – Rolled BF down 20 pts (b/c DELTA hit +220 inside tent)
  • Apr 4 – Sold 3 x 930 to protect 30 pts up
  • Apr 5 – Sold 2 x 910 to protect 20 pts down
  • Apr 8 – Sold 4 x 930 to reduce – DELTA inside tent
  • Apr 9 – Sold 2 x 930 to reduce – DELTA inside edge of tent
  • Apr 10 – Rolled BF up
  • Apr 11 – I didn’t make any adjustment to this trade & it had breached -101 DELTA. I was considering making the below adjustment:
    • Sold 1 x 970 to reduce – DELTA inside tent ABOVE UPPER WING (I typically wouldn’t make this trade, I did this b/c I was at 8 DTE and high DELTA)
  • Apr 12 – Exited 7 DTE at +$1015