It was! A disappointing start to the month. Closed these at a loss. Trade date: 25 April 2023 Security: NQ Price at opening: 12,997.00 Structure: ItM/AtM Put Debit Spread Expiry date: 19 May 2023 Strikes: 13000 / 13300 Opening Spread: 159.50 Close date: 02 May 2023 Trade duration: 7 Closing spread: 104.00 Profit / (Loss): -55.50 Profit / (Loss): -34.8% Trade date: 28 April 2023 Security: ZB Price at opening: 130.90 Structure: ItM/AtM Call Debit Spread Expiry date: 12 May 2023 Strikes: 129.5 / 131 Opening Spread: 0.91 Close date: 01 May 2023 Trade duration: 3 Closing spread: 0.72 Profit / (Loss): -0.19 Profit / (Loss): -20.7% Trade date: 28 April 2023 Security: ES Price at opening: 4,139.00 Structure: ItM/AtM Put Debit Spread Expiry date: 16 May 2023 Strikes: 4140 / 4190 Opening Spread: 23.75 Close date: 02 May 2023 Trade duration: 4 Closing spread: 18.50 Profit / (Loss): -5.25 Profit / (Loss): -22.1% and opened a long position on S&P500: Trade date: 02 May 2023 Security: ES Price at opening: 4,174.00 Structure: ItM/AtM Call Debit Spread Expiry date: 02 June 2023 Strikes: 4100 / 4175 Opening Spread: 52.25
Turned the S&P500 trade around and re-entered the Treasury Bond long position. Trade date: 02 May 2023 Security: ES Price at opening: 4,174.00 Structure: ItM/AtM Call Debit Spread Expiry date: 02 June 2023 Strikes: 4100 / 4175 Opening Spread: 52.25 Close date: 05 May 2023 Trade duration: 3 Closing spread: 45.75 Profit / (Loss): -6.50 Profit / (Loss): -12.4% Trade date: 05 May 2023 Security: ES Price at opening: 4,134.00 Structure: ItM/AtM Put Debit Spread Expiry date: 02 June 2023 Strikes: 4130 / 4230 Opening Spread: 49.75 Trade date: 05 May 2023 Security: ZB Price at opening: 131.00 Structure: ItM/AtM Call Debit Spread Expiry date: 19 May 2023 Strikes: 128.5 / 131 Opening Spread: 1.61
Set-Ups have been scarce for Calendars, but opened a spread today to close before the weekend. Didn't get a great fill on this which will impact any profit. Trade date: 16 May 2023 Security: NQ Price at opening: 13441.0 Direction: Put Expiry date (short side): 19 May 2023 Implied Vol (short side) 16.0% Expiry date (long side): 22 May 2023 Implied Vol (long side) 13.9% Strikes: 13450 Opening Spread: 15.75
I'm like the opposite of Midas this month. Closed directional positions (#372) at a loss. Trade date: 05 May 2023 Security: ZB Price at opening: 131.00 Structure: ItM/AtM Call Debit Spread Expiry date: 19 May 2023 Strikes: 128.5 / 131 Opening Spread: 1.61 Close date: 18 May 2023 Trade duration: 13 Closing spread: 1.13 Profit / (Loss): -0.48 Profit / (Loss): -30.1% Trade date: 05 May 2023 Security: ES Price at opening: 4,134.00 Structure: ItM/AtM Put Debit Spread Expiry date: 02 June 2023 Strikes: 4130 / 4230 Opening Spread: 49.75 Close date: 22 May 2023 Trade duration: 17 Closing spread: 32.5 Profit / (Loss): -17.25 Profit / (Loss): -34.7% Also closed the Calendar position (#373) at a loss after Nasdaq climbed 500 points. Trade date: 16 May 2023 Security: NQ Price at opening: 13441.0 Direction: Put Expiry date (short side): 19 May 2023 Implied Vol (short side) 16.0% Expiry date (long side): 22 May 2023 Implied Vol (long side) 13.9% Strikes: 13450 Opening Spread: 15.75 Close date: 19 May 2023 Trade duration: 3 Closing spread: 2.75 Profit / (Loss): -13.00 Profit / (Loss): -82.5% Some experimental volatility trades have been profitable but not sufficiently to offset losses on these while I ramp up position size. Opened a long directional position on Russell 2000 on Friday. Trade date: 19 May 2023 Security: RTY Price at opening: 1,788.00 Structure: ItM/AtM Put Debit Spread Expiry date: 02 June 2023 Strikes: 4130 / 4230 Opening Spread: 31.50
Finally got a couple of profitable trades to pop in here. Trade date: 15 May 2023 Security: GBP Price at opening: 1.2515 Structure: ItM/AtM Put Debit Spread Expiry date: 09 June 2023 Strikes: 1.25 / 1.2675 Opening Spread: 0.0105 Close date: 23 May 2023 Trade duration: 8 Closing spread: 0.0144 Profit / (Loss): 0.0039 Profit / (Loss): 37.1% Trade date: 19 May 2023 Security: RTY Price at opening: 1788.00 Structure: ItM/AtM Call Debit Spread Expiry date: 02 June 2023 Strikes: 1740 / 1790 Opening Spread: 31.50 Close date: 23 May 2023 Trade duration: 4 Closing spread: 41.50 Profit / (Loss): 10.00 Profit / (Loss): 31.7% Opened a Calendar on Nasdaq yesterday. Trade date: 23 May 2023 Security: NQ Price at opening: 13848.0 Direction: Put Expiry date (short side): 26 May 2023 Implied Vol (short side): 17.4% Expiry date (long side): 30 May 2023 Implied Vol (long side): 14.4% Strikes: 13850 Opening Spread: 21.75
Closing orders filled for the Nasdaq Calendar spread yesterday and overnight. Trade date: 23 May 2023 Security: NQ Price at opening: 13848.0 Direction: Put Expiry date (short side): 26 May 2023 Implied Vol (short side): 17.4% Expiry date (long side): 30 May 2023 Implied Vol (long side): 14.4% Strikes: 13850 Opening Spread: 21.75 Close date: 26 May 2023 Trade duration: 3 Closing spread: 34.25 Profit / (Loss): 12.50 Profit / (Loss): 57.5%
Why is the implied vol so different? Was it due to fed event? Does that mean you were neutral / slightly bullish going into the fed event?
I would like to be able to tell you why, but the truth is my guess is only as good as anybody else's. The critical aspect is that I care much less about the the reason(s) underpinning the difference than I care about attempting to exploit the difference! Perhaps a slightly less flippant response is this trade is one of many positions that are variously directional or set up to harvest falling volatility and/or theta decay over a range of timeframes. I remain bullish overall on (US) equities on a 28-day timeframe if that helps.
Opened a long directional position on oil. I got a signal at Wednesday's close (>USD74) but due to other commitments wasn't able to open the position yesterday. The drop yeterday worked in my favour. Trade date: 26 May 2023 Security: CL Price at opening: 71.72 Structure: ItM/AtM Call Debit Spread Expiry date: 14 June 2023 Strikes: 69.50 / 72 Opening Spread: 1.49
Oil fell further below USD70 and I closed this at a loss. Trade date: 26 May 2023 Security: CL Price at opening: 71.72 Structure: ItM/AtM Call Debit Spread Expiry date: 14 June 2023 Strikes: 69.50 / 72 Opening Spread: 1.49 Close date: 31 May 2023 Trade duration: 5 Closing spread: 0.77 Profit / (Loss): -0.72 Profit / (Loss): -48.3%