A frustrating couple of days. Closing orders on the SPX position at 33 didn't fill after the spread moved to 31 early yesterday, then the index rose above my 'soft-stop' prior to opening so I closed the position at a loss. It turned around and the (now closed) position moved back into profit. Trade date: 25 January 2022 Security: SPX Price at opening: 4317 Direction: Put Expiry date: 28 January 2022 Strikes: 4110 / 4185 / 4335 Structure: 2 / 3 / 1 Opening Spread: 26.90 Close date: 27 January 2022 Trade duration: 2 Closing spread: 12.90 Profit / (Loss): -14.00 Profit / (Loss): -52.0% That loss was offset by a profitable RUT trade. Trade date: 25 January 2022 Security: RUT Price at opening: 1981 Direction: Put Expiry date: 28 January 2022 Strikes: 1870 / 1905 / 1940 Structure: 1 / 2 / 1 Opening Spread: 2.20 Close date: 27 January 2022 Trade duration: 2 Closing spread: 3.48 Profit / (Loss): 1.28 Profit / (Loss): 58.0% I got a good signal to short Nasdaq yesterday when spot was 14233. So entered an order for 13630/13830/14030 121 Put Fly at mid (12.75). Took a call and realised afterwards that I hadn't sent the order. Nasdaq fell during the session to close at 14003
Placed a short butterfly on S&P500 yesterday, expiring tomorrow. Most closing orders filled a couple of hours later yesterday. Trade date: 31 January 2022 Security: SPX Price at opening: 4481 Direction: Put Expiry date: 02 February 2022 Strikes: 4380 / 4415 / 4450 Structure: 1 / 2 / 1 Opening Spread: 3.10
I'll be filtering out more trades where my expected return is not sufficiently higher than my target return, which should result in fewer trades but higher profit.
Two opening trades filled yesterday for expiry on Friday. Trade date: 01 February 2022 Security: RUT Price at opening: 2044 Direction: Put Expiry date: 04 February 2022 Strikes: 1975 / 2000 / 2050 Structure: 2 / 3 / 1 Opening Spread: 7.70 Trade date: 01 February 2022 Security: NFLX Price at opening: 441 Direction: Put Expiry date: 04 February 2022 Strikes: 415 / 425 / 430 Structure: 1 / 3 / 2 Opening Spread: 0.49 Some RUT closing orders filled just before the end of the session yesterday.
A busy day yesterday. From #152, the remaining closing orders didn't fill on this, but a sufficient quantity of less ambitious orders filled, that I escaped without significant loss. Reconfiguring in this way should reduce instances of total loss. Trade date: 31 January 2022 Security: SPX Price at opening: 441 Direction: Put Expiry date: 02 February 2022 Strikes: 4380 / 4415 / 4450 Structure: 1 / 2 / 1 Opening Spread: 3.10 Close date: 02 February 2022 Trade duration: 2 Closing spread: 3.08 Profit / (Loss): -0.02 Profit / (Loss): -0.5% From #154 both positions with 3DTE closed in profit after 1 day. Trade date: 01 February 2022 Security: RUT Price at opening: 441 Direction: Put Expiry date: 04 February 2022 Strikes: 1975 / 2000 / 2050 Structure: 2 / 3 / 1 Opening Spread: 7.70 Close date: 02 February 2022 Trade duration: 1 Closing spread: 9.93 Profit / (Loss): 2.23 Profit / (Loss): 29.0% Trade date: 01 February 2022 Security: NFLX Price at opening: 441 Direction: Put Expiry date: 04 February 2022 Strikes: 415 / 425 / 430 Structure: 1 / 3 / 2 Opening Spread: 0.49 Close date: 02 February 2022 Trade duration: 1 Closing spread: 0.70 Profit / (Loss): 0.21 Profit / (Loss): 43.2% Commission dragged net p&l down noticeably on this one. Opened a couple of positions yesterday for expiry on Friday. The S&P500 partially closed and the Nasdaq trade closed fully the same day in profit. Trade date: 02 February 2022 Security: SPX Price at opening: 4557 Direction: Put Expiry date: 04 February 2022 Strikes: 4475 / 4505 / 4565 Structure: 2 / 3 / 1 Opening Spread: 9.10 Close date: 04 February 2022 Trade date: 02 February 2022 Security: NQ Price at opening: 15061 Direction: Put Expiry date: 04 February 2022 Strikes: 14660 / 14810 / 15110 Structure: 2 / 3 / 1 Opening Spread: 49.25 Close date: 02 February 2022 Trade duration: 0 Closing spread: 59.50 Profit / (Loss): 10.25 Profit / (Loss): 20.8%
As markets dropped yesterday the S&P500 Put fly opened on Wednesday closed in profit. Trade date: 02 February 2022 Security: SPX Price at opening: 4557 Direction: Put Expiry date: 04 February 2022 Strikes: 4475 / 4505 / 4565 Structure: 2 / 3 / 1 Opening Spread: 9.10 Close date: 03 February 2022 Trade duration: 1 Closing spread: 11.80 Profit / (Loss): 2.70 Profit / (Loss): 29.7% No more open positions in this account and a good week.
Bought a Put Fly on S&P500 yesterday, which closed near the end of the session in profit. Trade date: 07 February 2022 Security: SPX Price at opening: 4504 Direction: Put Expiry date: 09 February 2022 Strikes: 4420 / 4450 / 4510 Structure: 2 / 3 / 1 Opening Spread: 9.70 Close date: 07 February 2022 Trade duration: 0 Closing spread: 11.20 Profit / (Loss): 1.50 Profit / (Loss): 15.5%
Another Put Fly for SPX for Friday expiry. Trade date: 09 February 2022 Security: SPX Price at opening: 4573 Direction: Put Expiry date: 11 February 2022 Strikes: 4490 / 4520 / 4580 Structure: 2 / 3 / 1 Opening Spread: 10.30
Closing orders filled on the dip at opening yesterday in profit. Trade date: 09 February 2022 Security: SPX Price at opening: 4573 Direction: Put Expiry date: 11 February 2022 Strikes: 4490 / 4520 / 4580 Structure: 2 / 3 / 1 Opening Spread: 10.30 Close date: 10 February 2022 Trade duration: 1 Closing spread: 12.70 Profit / (Loss): 2.40 Profit / (Loss): 23.3% Some calendar puts closed in profit too, so a good week.
A summary of the the last 50 trades (most of which are on here): Win rate was 80.4%. Average profit was 28.3%. Average loss was 69.1%. Net / aggregate profit was 9.2%. Average duration was 0.9 days Sharpe was 25.6% Annualised return - at portfolio level - is 284% The last 10 trades have all produced positive return. The only loss in the last twelve trades was 0.5%. Wondering what to do with this and would welcome any thoughts.