Global Options Trades

Discussion in 'Journals' started by Global OptionsTrades, Mar 6, 2019.

  1. I have decided to publish the results of my trading as I am proud of the performance that I am achieving.

    A few points to address immediate questions follow.

    Background

    • Professional Financial Analyst based in UK, who took an interest in options whilst at University and began trading them (unsuccessfully) during my twenties.
    • Studied volatility, hedging and margin management to arrive at the strategy that I am trading now.

    Trading

    • Swing trading and volatility trading, from long options positions on a range of stock indices, currencies and commodities including SPX, DAX, Nikkei225, FTSE100, AUDUSD, and Oil
    • Trading decisions are purely technical.
    • Looked at intraday timeframes, and decided that whilst profits may be greater with fully-automated trading on shorter timeframes, daily timeframes align my trading style and the securities being traded.
    • Average duration is 20 to 40 days across the range of securities over the last 20 years.

    Performance

    • Backtesting 20 years to June 2016
    • Paper trading June 2016 to June 2018
    • Actual trading since June 2018
    Consistently producing annualised returns >1000% over each phase (backtesting, paper trading, actual trading)

    Notes, disclaimers, caveats

    • Performance figures are calculated by (closing price less opening price) divided by opening price. This seems to be the most transparent method.
    • Performance figures do not take into account commission, which at c.0.1% can be significant for high-frequency trading but has negligible impact here.
    • Backtested performance figures do not take into account bid-offer spread, as trades are inside the spread. NB trading via a spreadbetting account would incur the full cost of the spread.
    • Allocation of funds to a particular strategy is for an individual investor to decide, based on several factors including appetite for risk and correlation to other investments. For example allocating 10% of Funds Under Management to this strategy requires performance figures to be divided by 10.
    • Backtesting does not include Out-of-the-Money trades, which I will incorporate in due course, and which will be accretive to returns.
    • Backtesting does not include occasionally closing losing trades and re-entering the position later - this functionality exceeded my backtesting capabilities - but paper trading and actual trading includes this activity and it is accretive to returns.
    • Nothing I say should be taken as investment advice. It is information only.
     
    MACD, Pkay and guru like this.
  2. Current open long positions:

    Security / Ticker:ES
    Open Trade Date: 22 January 2019
    Trade: Buy to Open
    Expiry Date: 15 March 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 2,650
    Direction: Put
    Opening Price: 63.5

    Security / Ticker:ES
    Open Trade Date: 22 January 2019
    Trade: Buy to Open
    Expiry Date: 15 March 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 2,540
    Direction: Put
    Opening Price: 21.8


    Security / Ticker: Z
    Open Trade Date: 28 January 2019
    Trade: Buy to Open
    Expiry Date: 15 March 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 6,750
    Direction: Straddle (Put side)
    Opening Price: 144.3

    NB closed Call side at a profit.


    Security / Ticker:ES
    Open Trade Date: 31 January 2019
    Trade: Buy to Open
    Expiry Date: 15 March 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 2,710
    Direction: Straddle (Put side)
    Opening Price: 56.2

    NB closed Call side at a profit.


    Security / Ticker: DAX
    Open Trade Date: 11 February 2019
    Trade: Buy to Open
    Expiry Date: 15 March 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 11,000
    Direction: Straddle (Put side)
    Opening Price: 183.8

    NB closed Call side at a profit.


    Security / Ticker: Z
    Open Trade Date: 19 February 2019
    Trade: Buy to Open
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 7,150
    Direction: Put
    Opening Price: 145.4

    Security / Ticker: Z
    Open Trade Date: 19 February 2019
    Trade: Buy to Open
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 6,875
    Direction: Put
    Opening Price: 46.7
    Close Trade Date: 18 April 2019


    Security / Ticker: AUD
    Open Trade Date: 01 March 2019
    Trade: Buy to Open
    Expiry Date: 05 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 0.7050
    Direction: Put
    Opening Price: 0.0051

    Security / Ticker: AUD
    Open Trade Date: 01 March 2019
    Trade: Buy to Open
    Expiry Date: 05 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 0.6850
    Direction: Put
    Opening Price: 0.0009


    Security / Ticker: DAX
    Open Trade Date: 04 March 2019
    Trade: Buy to Open
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 11,550
    Direction: Put
    Opening Price: 202.2

    Security / Ticker: DAX
    Open Trade Date: 04 March 2019
    Trade: Buy to Open
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 10,850
    Direction: Put
    Opening Price: 46.9


    Security / Ticker: N225
    Open Trade Date: 04 March 2019
    Trade: Buy to Open
    Expiry Date: 11 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 21,625
    Direction: Put
    Opening Price: 373.2

    Security / Ticker: N225
    Open Trade Date: 04 March 2019
    Trade: Buy to Open
    Expiry Date: 11 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 20,500
    Direction: Put
    Opening Price: 115.0


    Security / Ticker: AUD
    Open Trade Date: 05 March 2019
    Trade: Buy to Open
    Expiry Date: 03 May 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 0.7050
    Direction: Strangle
    Opening Price: 0.0089

    Security / Ticker: AUD
    Open Trade Date: 05 March 2019
    Trade: Buy to Open
    Expiry Date: 03 May 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 0.7100
    Direction: Strangle
    Opening Price: 0.0073
     
  3. Short positions:

    Security / Ticker: CL
    Trade: Sell to Open
    Expiry Date: 16 May 2019
    Exercise Price: 57.50
    Direction: Call
    Opening Price: 2.91

    Security / Ticker: CL
    Trade: Sell to Open
    Expiry Date: 16 May 2019
    Exercise Price: 54.00
    Direction: Put
    Opening Price: 2.68

    Security / Ticker: ES
    Trade: Sell to Open
    Expiry Date: 31 May 2019
    Exercise Price: 2840
    Direction: Call
    Opening Price: 46.95

    Security / Ticker: AUD
    Trade: Sell to Open
    Expiry Date: 07 Jun 2019
    Exercise Price: 0.7200
    Direction: Call
    Opening Price: 0.01147

    Security / Ticker: N225
    Trade: Sell to Open
    Expiry Date: 13 Jun 2019
    Exercise Price: 21000
    Direction: Call
    Opening Price: 643.8

    Security / Ticker: N225
    Trade: Sell to Open
    Expiry Date: 13 Jun 2019
    Exercise Price: 20500
    Direction: Put
    Opening Price: 583.9

    Security / Ticker: N225
    Trade: Sell to Open
    Expiry Date: 13 Jun 2019
    Exercise Price: 21000
    Direction: Call
    Opening Price: 643.8

    Security / Ticker: DAX
    Trade: Sell to Open
    Expiry Date: 21 Jun 2019
    Exercise Price: 11500
    Direction: Call
    Opening Price: 289.2

    Security / Ticker: DAX
    Trade: Sell to Open
    Expiry Date: 21 Jun 2019
    Exercise Price: 11000
    Direction: Put
    Opening Price: 328.9

    Security / Ticker: Z
    Trade: Sell to Open
    Expiry Date: 21 Jun 2019
    Exercise Price: 7025
    Direction: Call
    Opening Price: 156.3

    Security / Ticker: Z
    Trade: Sell to Open
    Expiry Date: 21 Jun 2019
    Exercise Price: 6750
    Direction: Put
    Opening Price: 137.8
     
  4. "Consistently producing annualised returns >1000% over each phase (backtesting, paper trading, actual trading)"

    This is ET. You are going to have to do lots better than 1000% annually. Just kidding! :D

    Do it with some volume and you will soon own the world. :)
     
    Global OptionsTrades likes this.
  5. :thumbsup:
    Fair point!

    With a 24-day average duration, 17% profit per trade gets to 1000% annualised. I appreciate that many want that hourly!:D
     
  6. Bought oil Straddles whilst volatility is relatively inexpensive.

    Security / Ticker: CL
    Open Trade Date: 11 March 2019
    Trade: Buy to Open
    Expiry Date: 16 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 57.00
    Direction: Straddle
    Opening Price: 3.62
     
  7. AUD, S&P500 and Nikkei225 all showed a sudden reversal so closed put positions, mainly at a loss.

    Security / Ticker: AUD
    Open Trade Date: 01 March 2019
    Trade: Sell to Close
    Expiry Date: 05 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 0.7050
    Direction: Put
    Opening Price: 0.0051
    Close Trade Date: 11 March 2019
    Closing Price: 0.0048
    Roundtrip P&L: -5.7%

    Security / Ticker: AUD
    Open Trade Date: 01 March 2019
    Trade: Sell to Close
    Expiry Date: 05 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 0.6850
    Direction: Put
    Opening Price: 0.0009
    Close Trade Date: 11 March 2019
    Closing Price: 0.0004
    Roundtrip P&L: -54.1%


    Security / Ticker:ES
    Open Trade Date: 21 February 2019
    Trade: Sell to Close
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 2,770
    Direction: Put
    Opening Price: 52.91
    Close Trade Date: 11 March 2019
    Closing Price: 34.75
    Roundtrip P&L: -34.3%

    Security / Ticker:ES
    Open Trade Date: 21 February 2019
    Trade: Sell to Close
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 2,650
    Direction: Put
    Opening Price: 12.66
    Close Trade Date: 11 March 2019
    Closing Price: 4.27
    Roundtrip P&L: -66.3%


    Security / Ticker: N225
    Open Trade Date: 04 March 2019
    Trade: Sell to Close
    Expiry Date: 11 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 21,625
    Direction: Put
    Opening Price: 373.25
    Close Trade Date: 11 March 2019
    Closing Price: 543.66
    Roundtrip P&L: 45.7%

    Security / Ticker: N225
    Open Trade Date: 04 March 2019
    Trade: Sell to CloseExpiry Date: 11 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 20,500
    Direction: Put
    Opening Price: 115.00
    Close Trade Date: 11 March 2019
    Closing Price: 104.22
    Roundtrip P&L: -9.4%

    Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD1973.
     
  8. Initiated long positions in AUD, S&P500 and Nikkei 225 by buying calls:

    Security / Ticker: AUD
    Open Trade Date: 11 March 2019
    Trade: Buy to Open
    Expiry Date: 03 May 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 0.7100
    Direction: Call
    Opening Price: 0.0071

    Security / Ticker: AUD
    Open Trade Date: 11 March 2019
    Trade: Buy to Open
    Expiry Date: 03 May 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 0.7300
    Direction: Call
    Opening Price: 0.0017


    Security / Ticker: ES
    Open Trade Date: 11 March 2019
    Trade: Buy to Open
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 2,800
    Direction: Call
    Opening Price: 37.31

    Security / Ticker: ES
    Open Trade Date: 11 March 2019
    Trade: Buy to Open
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 2,880
    Direction: Call
    Opening Price: 6.75


    Security / Ticker: N225
    Open Trade Date: 11 March 2019
    Trade: Buy to Open
    Expiry Date: 09 May 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 21,500
    Direction: Call
    Opening Price: 504.0

    Security / Ticker: N225
    Open Trade Date: 11 March 2019
    Trade: Buy to Open
    Expiry Date: 09 May 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 22,500
    Direction: Call
    Opening Price: 180.9
     
  9. Outstanding March options expired at nil value on Friday.

    Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD-2273.

    NB this is the first time that rolling monthly P&L has been negative.
     
  10. Closed S&P500 Calls on Thursday.

    Security / Ticker: ES
    Open Trade Date: 11 March 2019
    Trade: Sell to Close
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: AtM
    Exercise Price: 2,800
    Direction: Call
    Opening Price: 37.31
    Close Trade Date: 20 March 2019
    Closing Price: 54.00
    Roundtrip P&L: 44.7%

    Security / Ticker: ES
    Open Trade Date: 11 March 2019
    Trade: Sell to Close
    Expiry Date: 18 April 2019
    At the Money / Out of the Money: OotM
    Exercise Price: 2,880
    Direction: Call
    Opening Price: 6.75
    Close Trade Date: 20 March 2019
    Closing Price: 10.00
    Roundtrip P&L: 48.1%

    Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD914.
     
    #10     Mar 24, 2019