Missed one last week. Trade date: 21 June 2023 Security: GBP Price at opening: 1.2726 Direction: ItM/AtM Put Debit Spread Expiry date: 26 June 2023 Strikes: 1.2725 / 1.2825 Opening Spread: 0.0060 Close date: 23 June 2023 Trade duration: 2 Closing spread: 0.0078 Profit / (Loss) 0.0018 Profit / (Loss) 30.3% Opened a directional position on oil yesterday. Trade date: 27 June 2023 Security: CL Price at opening: 69.03 Structure: ItM/AtM Put Debit Spread Expiry date: 14 July 2023 Strikes: 69 / 73.5 Opening Spread: 2.91
Closed the long directional position on Russell 2000 at a profit. Trade date: 29 June 2023 Security: RTY Price at opening: 1899.00 Structure: ItM/AtM Call Debit Spread Expiry date: 07 July 2023 Strikes: 1860 / 1900 Opening Spread: 26.30 Close date: 03 July 2023 Trade duration: 4 Closing spread: 33.50 Profit / (Loss): 7.20 Profit / (Loss): 27.4% and opened a short directional position on Treasuries: Trade date: 03 July 2023 Security: ZB Price at opening: 127.08 Structure: ItM/AtM Put Debit Spread Expiry date: 21 July 2023 Strikes: 127 / 129.5 Opening Spread: 1.58
Closing orders for the Treasuries trade filled today in the sell-off, at a profit. Trade date: 03 July 2023 Security: ZB Price at opening: 127.08 Structure: ItM/AtM Put Debit Spread Expiry date: 21 July 2023 Strikes: 127 / 129.5 Opening Spread: 1.58 Close date: 05 July 2023 Trade duration: 2 Closing spread: 2.05 Profit / (Loss): 0.47 Profit / (Loss): 29.7% The oil position (#391) is underwater.
Not in aggregate, but the Sharpe Ratio for the individual strategies that I trade are not too far off what they backtest at - mainly between c.45% and 65% with outliers at 11% and > 400% I've been trying to reduce instances of 100% losses, and take profits more conservatively (and more often, with shorter duration) to give me more consistent returns and a better Sharpe overall. Whilst your questions are welcome, what do you trade? It would be interesting for context to know what kind of Sharpe others are achieving?
Closed the short directional position (#391) in oil at a loss before a weekend away and opened a long swing position. Fat finger on this one as I moved a closing order down by accident - an expensive mistake! Trade date: 27 June 2023 Security: CL Price at opening: 69.03 Structure: ItM/AtM Put Debit Spread Expiry date: 14 July 2023 Strikes: 69 / 73.5 Opening Spread: 2.91 Close date: 06 July 2023 Trade duration: 9 Closing spread: 2.42 Profit / (Loss): -0.49 Profit / (Loss): -16.8% Trade date: 06 July 2023 Security: CL Price at opening: 71.28 Structure: ItM/AtM Call Debit Spread Expiry date: 28 July 2023 Strikes: 66.5 / 71.5 Opening Spread: 3.26
Closed the oil trade at a profit today. Trade date: 06 July 2023 Security: CL Price at opening: 71.28 Structure: ItM/AtM Call Debit Spread Expiry date: 28 July 2023 Strikes: 66.5 / 71.5 Opening Spread: 3.26 Close date: 11 July 2023 Trade duration: 5 Closing spread: 4.24 Profit / (Loss): 0.98 Profit / (Loss): 30.1%
Opened a Calendar trade yesterday for expiry on Friday. Trade date: 25 July 2023 Security: SPX Price at opening: 4568.4 Direction: Put Expiry date (short side): 28 July 2023 Implied Vol (short side): 10.9% Expiry date (long side): 31 July 2023 Implied Vol (long side): 9.7% Strikes: 4565 Opening Spread: 2.30
Pleased with this one. Trade date: 25 July 2023 Security: SPX Price at opening: 4568.4 Direction: Put Expiry date (short side): 28 July 2023 Implied Vol (short side): 10.9% Expiry date (long side): 31 July 2023 Implied Vol (long side): 9.7% Strikes: 4565 Opening Spread: 2.30 Close date: 28 July 2023 Trade duration: 3 Closing spread: 5.90 Profit / (Loss): 3.60 Profit / (Loss): 156.5%
I'm going to stop putting trades here for a bit. My focus has changed so I'm doing fewer swing trades >7DtE, and using them to (partially) hedge positions that are primarily volatility-driven over a month or so. In addition, I'm doing lots of shorter duration stuff (1DtE to 7DtE at open) which are usually closed early to take profits. Trying to put them all on here, in an organised and timely manner, and keeping it cohesive will require substantially more time and effort. I've enjoyed the experience, and am grateful for the steers, challenges and guidance that I have received, so its quite possible that I'll pick it up again in due course or start a new journal.