I don't. But it is applicable to all of the index derivatives. So I guess when I run into liquidity problem I'll have to look into stocks/sector funds/futures etc...
2007-06-27 JW Trading Activity (at market open) : Initiated long position with SFBGQ - SPY July 147 CALL @3.80. Open position : 1 Signal showed up at the last minute of market close yesterday. Initiated the long position around opening this morning. It's holding on so far hope the gain will last. Also initiated long-short position with YM and ES, will probably close at the end of the session.
Add to long position with DAWGA - DIA July 131 CALL @4.40. Open position : 2. The long-short trade on the futures was having a nice gain but profit faded 3 minutes before the intended closing time as spread widen again. Closed with breakeven and add to options. Hopefully the next day or two will work out as planned.
2007-06-27 JW Trading Activity (mid market) : Initiated long short position with YM and ES. Options holding up well so far. Will probably close futures and the SPY calls at the close.
2007-06-28 JW Trading Activity : Sold SPY July calls and took profit. Leaving DIA options in play. The intraday long/short arb worked out well today too. [ Stats EXCLUDE intraday futures arb : ] Closed position: SFBGQ - SPY July 147 Call @ 4.7, +23.7% 2007-06 month to date return : 2.96% 2007 year to date return : 37.38% vs. 2007 year to date SPY (S&P500) return : 6.19% Trailing 12 Month Model Beta (SPY = 1 ) : -0.21 Trailing 12 Month Model Alpha (Annualized) : 70.96% Open position: 1 [ From futures arb : ] 4 YM vs 2 ES : +$455.04
2007-07-02 update : Still holdin on to the DIA long call position. Diamond's price finally caught up with the Dow's value at the last moment of the trading session, boosting the paper gain of the call. Riding house's money into tomorrow's session. IMO i don't really feel the market has started to squeeze the shorts yet so tomorrow should be interesting.
2007-07-03 JW Trading Activity : Gladly sold and closed the Diamond options 15 minutes before the market close, and at a good price too. This marks the end of the trading activity for the 1st half of the year, up 41.81%. The majority of the return was made outside of the huge market rally between April and May. This shows the model is a good alternative investing strategy which should be combined with a regular asset allocation model that takes advantage of continuous market rally. None of the stats here includes any futures arb trades, which made a small sum of profit. Have a happy July 4th, everyone. Closed position: DAWGA - DIA July 131 Call @ 5.3, +20.5% 2007-06 month to date return : 5.57% 2007 year to date return : 41.81% vs. 2007 year to date SPY (S&P500) return : 7.57% Trailing 12 Month Model Beta (SPY = 1 ) : -0.16 Trailing 12 Month Model Alpha (Annualized) : 74.45% Open position: 0