Friday 10th of September

Discussion in 'Journals' started by PerErik, Sep 10, 2010.

  1. PerErik


    I will post my daily recap in this thread, please feel free to ask any questions.

    The S&P futures closed marginally down on the day and it was an inside day in technical terms. Meaning we traded inside the previous day's range.
    Some observations that I outlined in my daily report that is worth repeating:
    (ES) Falling resistance from April highs' was broken yesterday and was coming in at 1098, which held as support today. Previous resistance line, now future support?
    - (ES) the gap at 1108.25 has not been closed yet since the December contract is now front month and we also have open gap at 1054.25
    - Gold futures (GC) closed below the 32 days long uptrend from July low
    - VXX is approaching that 17.84 low it bottomed out at in April when we had the S&P futures high at 1212. Right before the sell off started. Are the markets too complacent now?
    - Euro was not following the ES higher in the last few days, both Euro and GBPUSD relatively weak this week even though ES closed up more than 10 points on the weak. Euro down about 210 pips on the week.
    - The 10 year Treasury futures closed at 123’12.5 below the 50 day moving average (123’13.0) today, first time since April. We have -3 sigma at 122’30.0

    Trading wise I did the following today:
    I close the RIG back spread for October at close to 100% profit after RIG spiked higher, thank you very much.
    Traded to the long side for 3 points in the S&P futures (ES).
    Added a VIX futures options structure, I bought the November 27.50 call and sold the October 30 call at a ratio 1x1 (meaning 1 structure involved selling 1 contract and buying 1 contract of each leg), paying a net 1.90 per structure.
    My logic for doing something in the VIX is that we are approaching that low in VXX that we have when the market topped out in April at 1212 in ES.
    See link for chart on VXX.

    I will most likely make further changes to the options portfolio start of next week to take some of the September options off (close them out) to reduce the risk as we probably will see increased volatility next week. Remember that we want to scale out of the options when volatility drops to levels where the option is so cheap that it makes no sense to hang on for the last few points and instead add other options that has higher premium.

    Have a great weekend, take care