I missed a couple of downside trade signals at yesterday's close, but assuming we're continuing down for a day or two, I've opened a long trade on VIX today. IV was 150%. Not sure how this one will pan out. Trade date: 06 October 2021 Security: VIX Price at opening: 22.83 Direction: Call Expiry date: 12 October 2021 Strikes: 23 / 25 / 29 Structure: 2 / 3 / 1 Opening Spread: 0.42
Took profits on this week's short FTSE position, and will unwind the VIX position today. Trade date: 04 October 2021 Security: FTSE Price at opening: 7034 Direction: Put Expiry date: 08 October 2021 Strikes: 6900 / 7000 / 7100 Structure: 1 / 2 / 1 Opening Spread: 23.00 Close date: 06 October 2021 Trade duration: 2 Closing spread: 31.50 Profit / (Loss): 8.50 Profit / (Loss): 37.0%
Added a short position on DAX today. Trade date: 12 October 2021 Security: DAX Price at opening: 15136 Direction: Put Expiry date: 15 October 2021 Strikes: 14900 / 15000 / 15100 Structure: 1 / 2 / 1 Opening Spread: 11.10
The VIX Call Fly (#71) expired OtM for a 100% loss. Conviction wasn't strong and it was a smaller position than normal. My view of the DAX Put Fly (#73) has changed and my model suggests it should be closed. This morning, spread (mid) is 2.0 (less than 20% of what I paid for it) so I'll leave it open in case there is a downturn in Germany between now and close tomorrow. I opened a short position on Nasdaq yesterday: Trade date: 13 October 2021 Security: NQ Price at opening: 14725 Direction: Put Expiry date: 15 October 2021 Strikes: 14780 / 14630 / 14480 Structure: 1 / 2 / 1 Opening Spread: 9.00 As Nasdaq dropped, orders partially filled at 19. I'll update if/when the remainder fills or expires.
The rally towards the end of the week wasn't helpful! Trade date: 12 October 2021 Security: DAX Price at opening: 15136 Direction: Put Expiry date: 15 October 2021 Strikes: 14900 / 15000 / 15100 Structure: 1 / 2 / 1 Opening Spread: 11.10 Close date: 15 October 2021 Trade duration: 3 Closing spread: 0.00 Profit / (Loss): -11.10 Profit / (Loss): -100.0% Trade date: 13 October 2021 Security: NDX Price at opening: 14725 Direction: Put Expiry date: 15 October 2021 Strikes: 14780 / 14630 / 14480 Structure: 1 / 2 / 1 Opening Spread: 9.00 Close date: 15 October 2021 Trade duration: 2 Closing spread: 9.50 Profit / (Loss): 0.50 Profit / (Loss): 5.6%
Andy Do you have any stats on % of trades that are bearish/neutral/bullish that your model produces ? Cheers James
I don't have that info atm but looking back at the last 10 trades, 9 were Puts, and 1 was a Call (on VIX).
All bearish trades ... I know small sample ... but might be worth investigating whether the model is overly biased to picking downside flies as ( if you look back at the Fly Pricing Arc ) downside Flies are relatively cheaper than upside Flies ... but markets tend to have a little positive drift ... just a thought
To update, we have discussed that this strategy favours bearish positions, and in the recent bull market, I'm not getting directional entries that meet my criteria to trade and post here. Thought-provoking questions here and offline from @jamesbp (for which, many thanks) have been very useful, and I've been looking at (and trading) short-duration flies without having a directional rationale, as well as verticals. I can't rename the thread but will pop some of these trades on here, making it clear that they are not directionally-driven.
Non-directional trade. Confidence isn't strong on this at the moment, but looking for 15% on this by Wednesday. Trade date: 22 November 2021 Security: NDX Price at opening: 16753 Direction: Call Expiry date: 24 November 2021 Strikes: 16840 / 16890 / 16940 Structure: 1 / 2 / 1 Opening Spread: 2.60