The expiration today in the weeklies went decent, although some spikes hit the performance a bit. I will post the trading result and trades Monday.
Could be a possible "no demand" bar on the daily chart, so I keep that in mind for next week.
Still simply bullish above 1175 for me in S&P emini, need to see daily close below this 1175 to change my mind.
Seems like everybody and his brother are looking for a move lower, so that is maybe enough to make it go higher?
We also have the US midterm election and it tends to support stocks, dow is up 0.28% on average on election day vs. 0.03% average all days since 1900, see the link for more info:
http://www.bespokeinvest.com/thinkbig/2010/10/28/historical-midterm-election-results-and-market-performance.html
Some comments from my daily report today:
The S&P had an inside day today, trading inside yesterday’s range and high to low was only 6.75 points today. That is a tight range and the close was in the upper part, which makes it a possible no demand bar, even though it is not a perfect no demand bar as it didn’t close top of the range, but volume wise it was less volume than previous two sessions. We will see start of next week if today’s was a no demand and confirmation would be a wide down bar within the next 2 sessions. Trading wise we traded basically sideways the whole week and I stick by what I have said the whole week:
To keep it stupidly simple I would say that as long as we don’t see a daily close below 1175 in the S&P futures the trend is up and next key resistance remains 1198 and 1207. If we close below 1175 support, the next target would be 1150 followed by 1127.
See link for complete report:
http://avantagefinancial.ch/images_up/avantagefinancial.ch/pdfs/daily29oct.pdf
Have a great weekend
Daily blog with thoughts and comments on the futures and forex markets through the eyes of Per-Erik Karlsson, Ceo at Avantage Financial, Switzerland.
fredag 29. oktober 2010
Thursday 28th of October
S&P Emini gapped up more than 7 points on the open and traded lower to close the gap from yesterday and extended lower to 1173.50, but once again support came in and we move back higher to close well off the lows. Seems like the return of risk appetite is back following yesterday's correction lower.
I like to keep it simple and continue to favor higher levels as long as 1175 is not violated on a daily close.
Trading wise the portfolio declined 0.39% on the day and once again the dip didn't extend to the downside and was a bit too short on the reversal, which made the short calls rise a bit more in value then I made in the long futures-
I made 16.50 points in the futures.
I bot back some 1170 and 1175 calls for 29th of October at the open as I had to reduce the short delta a bit, but later in the day sold some 1175 calls for 29th of October again to use a short term hedge.
Did not make any adjustments to the longer term positions and as we have expirations tomorrow on the weekly's and I have a bit around 1180, so it would be good to avoid any major spike on the GDP release. Seen a bit more move in Globex last few days as well, so I need to watch that a bit as I have pretty big exposure on the weeklies.
My main strategy is to play the 1190 to 1210 levels with short calls and 1150 and below with short puts. Still as always I have a heavy overweight in the calls.
Take care.
I like to keep it simple and continue to favor higher levels as long as 1175 is not violated on a daily close.
Trading wise the portfolio declined 0.39% on the day and once again the dip didn't extend to the downside and was a bit too short on the reversal, which made the short calls rise a bit more in value then I made in the long futures-
I made 16.50 points in the futures.
I bot back some 1170 and 1175 calls for 29th of October at the open as I had to reduce the short delta a bit, but later in the day sold some 1175 calls for 29th of October again to use a short term hedge.
Did not make any adjustments to the longer term positions and as we have expirations tomorrow on the weekly's and I have a bit around 1180, so it would be good to avoid any major spike on the GDP release. Seen a bit more move in Globex last few days as well, so I need to watch that a bit as I have pretty big exposure on the weeklies.
My main strategy is to play the 1190 to 1210 levels with short calls and 1150 and below with short puts. Still as always I have a heavy overweight in the calls.
Take care.
Wednesday 27th of October
S&P opened up weaker and traded down to 1167 level where we saw fair amount of volume coming in at in the 2nd hour trading 477k contracts on the hour bar. Remember that we have reversed quite a few times on hourly bars exceeding 500k contracts. This was almost 500k and we reversed higher and had a strong rally towards close. The volatility rose quite a bit eventhough the move was very small. It seems to be a lot of traders looking for a move lower, bascially everybody. That is maybe a good reason to not go lower?
Closing pretty much on top of the daily range and 11 points off the low. That is a strong close in my view and expect tomorrow to open higher.
Trading wise the portfolio declined 0.85% on the day and was a bit too short when we reversed higher, which cut the performance today.
Lost 35 points in the futures and I did a fair amount of trading against short calls for 29 Oct expiration. I sold the calls at 1180 and 1175 and 1170 and hedged long, closed some of them out when it didn't hold below 1170 and also closed some of the long hedges leaving the futures negative. Made about 16.50 points on the short term options trading.
On the longer term options portfolio I did only one change, adding short 1180 calls for 19 Nov expiration.
That was all for today, take care.
Closing pretty much on top of the daily range and 11 points off the low. That is a strong close in my view and expect tomorrow to open higher.
Trading wise the portfolio declined 0.85% on the day and was a bit too short when we reversed higher, which cut the performance today.
Lost 35 points in the futures and I did a fair amount of trading against short calls for 29 Oct expiration. I sold the calls at 1180 and 1175 and 1170 and hedged long, closed some of them out when it didn't hold below 1170 and also closed some of the long hedges leaving the futures negative. Made about 16.50 points on the short term options trading.
On the longer term options portfolio I did only one change, adding short 1180 calls for 19 Nov expiration.
That was all for today, take care.
Tuesday 26th of October
The weakness from Friday and yesterday coming through today a bit as it tested that 1175 support level that I mentioned a few times as key support level. However we closed well off the lows and close was exact same level as yesterday's close 1182.75 in the S&P Emini futures. The volatility rose more than I expected and my plan was to offload more short calls at the end of today's session, but that didn't really work out as planned.
Trading wise the portfolio was down 0.42% on the day.
Lost about 2 points in the futures and traded some intra day tradig on the 1190 calls expiring 29 Oct and I also sold 1180 call for expiration 29 Oct.
Seems to be chopping around quite a bit and I am still looking for a correction lower, but as long as we don't see a daily close below 1175 the trend is up.
That is all for now, have a nice day
Trading wise the portfolio was down 0.42% on the day.
Lost about 2 points in the futures and traded some intra day tradig on the 1190 calls expiring 29 Oct and I also sold 1180 call for expiration 29 Oct.
Seems to be chopping around quite a bit and I am still looking for a correction lower, but as long as we don't see a daily close below 1175 the trend is up.
That is all for now, have a nice day
tirsdag 26. oktober 2010
Monday 25th of October
We did not get any down move to confirm the no demand bar on Friday, but I do note down that we have the no demand bar in the background and in fact today's bar looks like and uptrust making a new multi month high and the close was more than 11 points of the high at 1193, closing at 1182.75. To close that far off the high indicates selling otherwise it is no way it would close that far off the highs.
I do pay attention to this weakness, but purely technically we have the bullish trend intact as long as we don’t have a daily close below 1175.
S&P futures chart: http://chart.ly/98pdssp
As I mentioned Friday I would make some major changes to the options portfolio in the start of this week and indeed I did quite a bit today.
ES gapped up a bit today, which was not optimal since I have to close off the short calls a bit higher then I really wanted, but in return I got a bit more for the calls I sold and I was long the futures, so all in all worked out rather well.
Basically as I think the volatility will rise going into Friday's US advance GDP and next week's FOMC decision I bot back many options today.
Overall the portfolio declined 0,32% on the day as I not enough long in the futures to compensate for the short calls I have on.
I bot back some of most of the 1180 November calls 27 to 28. I also bot back 1190 November calls and sold some 1210 December calls, for a net zero. selling the 1210 Dec for around 21.50 and buying the 1190 Nov calls for 21.50.
I also took home 34.50 points in the Futures on the day, of course some of it from long hedges over last sessions. I also bot back the short 1160 puts for Friday (29 Oct) as the value was 1.50 points it was no point keeping them. In case we dropped lower and they would come back into play I would regret big time if I had not taken them off for 1.50. I did sell a small portion of 1150 puts for November 19th just as a bit of hedge against the calls now mainly sitting above 1200 and up. I also see that 1150 as a key support level. If we have a daily close below 1150 we could head much lower, so since I view that as a key level it make sense to have something on at that level as well. I am still heavily short delta and hedging via trading long in the futures. We are approaching key 1198 and 1207 resistance levels and would expect a correction lower. The only problem is that basically everybody is looking for a move lower and most are way underinvested in stocks, so that is a good enough reason to go higher.
That is all for now, have a nice day
I do pay attention to this weakness, but purely technically we have the bullish trend intact as long as we don’t have a daily close below 1175.
S&P futures chart: http://chart.ly/98pdssp
As I mentioned Friday I would make some major changes to the options portfolio in the start of this week and indeed I did quite a bit today.
ES gapped up a bit today, which was not optimal since I have to close off the short calls a bit higher then I really wanted, but in return I got a bit more for the calls I sold and I was long the futures, so all in all worked out rather well.
Basically as I think the volatility will rise going into Friday's US advance GDP and next week's FOMC decision I bot back many options today.
Overall the portfolio declined 0,32% on the day as I not enough long in the futures to compensate for the short calls I have on.
I bot back some of most of the 1180 November calls 27 to 28. I also bot back 1190 November calls and sold some 1210 December calls, for a net zero. selling the 1210 Dec for around 21.50 and buying the 1190 Nov calls for 21.50.
I also took home 34.50 points in the Futures on the day, of course some of it from long hedges over last sessions. I also bot back the short 1160 puts for Friday (29 Oct) as the value was 1.50 points it was no point keeping them. In case we dropped lower and they would come back into play I would regret big time if I had not taken them off for 1.50. I did sell a small portion of 1150 puts for November 19th just as a bit of hedge against the calls now mainly sitting above 1200 and up. I also see that 1150 as a key support level. If we have a daily close below 1150 we could head much lower, so since I view that as a key level it make sense to have something on at that level as well. I am still heavily short delta and hedging via trading long in the futures. We are approaching key 1198 and 1207 resistance levels and would expect a correction lower. The only problem is that basically everybody is looking for a move lower and most are way underinvested in stocks, so that is a good enough reason to go higher.
That is all for now, have a nice day
mandag 25. oktober 2010
Friday 22nd of October
Narrow range in the S&P futures today with high to low of only 6 points. It looks like a possible no demand bar, which is a narrow up bar closing on the highs with relatively low volume and at least volume of less than previous 2 bars.
Looking at the volume it was really low, only 1.240m contracts on the Emini futures on the day compared to the 50 day average of 1.981m.
However we need to see a confirmation on this no demand bar to really get excited about the downside. So put simply we are bullish above 1175 support now with next resistance being 1198 and 1207. Key support remains 1150 and 1127.
Today I did mostly short term trading around the daily options with intra day trading of the 1180 puts and calls and 1175 puts, was quite a few trades, so a bit too much to write down every single trade, but overall I made 0.90% on the day.
I made no changes to the longer term options portfolio.
I remain long in the futures to hedge the short calls from 1170 to 1210 at the moment.
My plan is to extract more theta (time value) out of the long calls over the weekend probably volatility will drop a bit more too.
Then I plan to make some major changes to the portfolio Monday as I suspect that volatility will start to rise next week as we get ready for the FOMC following week.
The idea is to scale back start of the week and don't have that many positions on when we approach end of the week as the volatility is likely to rise.
G-20 is of course an event risk over the weekend as well.
Today's Mr. Top Step: http://mrtopstep.com/2010/10/22/thin-market-with-range-trading/
That is all for now, have a nice weekend
Looking at the volume it was really low, only 1.240m contracts on the Emini futures on the day compared to the 50 day average of 1.981m.
However we need to see a confirmation on this no demand bar to really get excited about the downside. So put simply we are bullish above 1175 support now with next resistance being 1198 and 1207. Key support remains 1150 and 1127.
Today I did mostly short term trading around the daily options with intra day trading of the 1180 puts and calls and 1175 puts, was quite a few trades, so a bit too much to write down every single trade, but overall I made 0.90% on the day.
I made no changes to the longer term options portfolio.
I remain long in the futures to hedge the short calls from 1170 to 1210 at the moment.
My plan is to extract more theta (time value) out of the long calls over the weekend probably volatility will drop a bit more too.
Then I plan to make some major changes to the portfolio Monday as I suspect that volatility will start to rise next week as we get ready for the FOMC following week.
The idea is to scale back start of the week and don't have that many positions on when we approach end of the week as the volatility is likely to rise.
G-20 is of course an event risk over the weekend as well.
Today's Mr. Top Step: http://mrtopstep.com/2010/10/22/thin-market-with-range-trading/
That is all for now, have a nice weekend
fredag 22. oktober 2010
Thursday 21st of October
S&P futures made a new multi month high in early trading reaching 1186.25, breaking that 1182.25 high from Monday. However we got no follow through and we reversed lower. I came out on the Twitter when it was trade 1184 yesterday saying:
“not that much expansion in volume on the break above 1185 in ES, so I am not sure the breakout will extend, should have seen more buying imo”
It failed up there basically and also watch George Cavaligos on Failed Auction on Mr Top Step yesterday: http://mrtopstep.com/2010/10/21/george-cavaligos-on-failed-auction/
Talking about the lack of follow through as a weakness sign.
So make sure to follow my twitter handle to get real time information,
twitter handle is: AFtrading
Trading wise I was up 0.59% on the day. Could have been more aggressive on the downside after the failure at 1186, but technically speaking we are bullish above 1163 now, so since that level was not taken out I cannot really go that short I reckon.
I lost 16 points in the ES futures as I had to hedge the short calls even on the way down, but of course made up for the loss on the options side.
I bot back some of the 1170 puts when we tested 1185, for 1.70 to 2.25 points, which turned out well since we moved lower off that level. I always try to close out options with very little value left as any large move can come back and hurt you big time if you leave those positions on. In the options I bot back more 1170 calls for 32.50 to 33 points and sold more 1200 Nov and 1210 Nov 19th calls for 13.50 to 21.25 respectively. Also bot back some 1180 calls for Nov19 paying 24.50.
Positions wise I have now basically move the mass of my short calls higher and they are now more or less above 1190 as compared to around 1170 before. Unless 1207 is broken I will remain to look for a correction lower before we break higher.
Today's candle can be an up trust, which is weakness, making a new high on weak volume to trigger short stops and fool trader’s to buy the break, only to have both people fooled by end of the day. We still need to break below 1163 to really get excited about the downside potential.
We also have POMO tomorrow, which has been supportive for risk on and higher equities.
Pomo schedule:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
That is all for today, take care
“not that much expansion in volume on the break above 1185 in ES, so I am not sure the breakout will extend, should have seen more buying imo”
It failed up there basically and also watch George Cavaligos on Failed Auction on Mr Top Step yesterday: http://mrtopstep.com/2010/10/21/george-cavaligos-on-failed-auction/
Talking about the lack of follow through as a weakness sign.
So make sure to follow my twitter handle to get real time information,
twitter handle is: AFtrading
Trading wise I was up 0.59% on the day. Could have been more aggressive on the downside after the failure at 1186, but technically speaking we are bullish above 1163 now, so since that level was not taken out I cannot really go that short I reckon.
I lost 16 points in the ES futures as I had to hedge the short calls even on the way down, but of course made up for the loss on the options side.
I bot back some of the 1170 puts when we tested 1185, for 1.70 to 2.25 points, which turned out well since we moved lower off that level. I always try to close out options with very little value left as any large move can come back and hurt you big time if you leave those positions on. In the options I bot back more 1170 calls for 32.50 to 33 points and sold more 1200 Nov and 1210 Nov 19th calls for 13.50 to 21.25 respectively. Also bot back some 1180 calls for Nov19 paying 24.50.
Positions wise I have now basically move the mass of my short calls higher and they are now more or less above 1190 as compared to around 1170 before. Unless 1207 is broken I will remain to look for a correction lower before we break higher.
Today's candle can be an up trust, which is weakness, making a new high on weak volume to trigger short stops and fool trader’s to buy the break, only to have both people fooled by end of the day. We still need to break below 1163 to really get excited about the downside potential.
We also have POMO tomorrow, which has been supportive for risk on and higher equities.
Pomo schedule:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
That is all for today, take care
Wednesday 20th of October
The S&P closed at 1174.75 Wednesday and made a high of 1180, which is a 24.50 points rally from the low made yesterday. The no demand from Monday was short lived and as indicated yesterday the close off the low on the high volume indicated buying. Now looks likely we will rally and break above the Monday high of 1182.25.
So will look for more upside tomorrow and that 1182.25 is a key level, with more resistance up at 1197 and 1207.
Seen some rapid swings in the risk on and risk off over the last three sessions and we also have the G-20 meeting getting underway overnight in South Korea.
It seems like the G-20 meeting will influence currency most, so not sure it will have a major on equities.
Trading wise it was an active day and I made 3.5 points in the future on the day.
Overall I lost 0.60% on the day.
I also made quite a few changes to the options portfolio. I sold some 1150 puts for 29Oct, receiving 14.50 points, when it became clear that we were most likely to go higher. Just had to hedge some of the short delta I have from the short calls. I also bot back some of the 1170 Nov calls for 29 points and instead sold some 1200 calls for 19Nov, getting 12 points for those. I also sold some short term 1170 put expiring Friday.
Today's Mr Top Step http://mrtopstep.com/2010/10/20/cutting-to-the-chase/
That is all for today, good night
So will look for more upside tomorrow and that 1182.25 is a key level, with more resistance up at 1197 and 1207.
Seen some rapid swings in the risk on and risk off over the last three sessions and we also have the G-20 meeting getting underway overnight in South Korea.
It seems like the G-20 meeting will influence currency most, so not sure it will have a major on equities.
Trading wise it was an active day and I made 3.5 points in the future on the day.
Overall I lost 0.60% on the day.
I also made quite a few changes to the options portfolio. I sold some 1150 puts for 29Oct, receiving 14.50 points, when it became clear that we were most likely to go higher. Just had to hedge some of the short delta I have from the short calls. I also bot back some of the 1170 Nov calls for 29 points and instead sold some 1200 calls for 19Nov, getting 12 points for those. I also sold some short term 1170 put expiring Friday.
Today's Mr Top Step http://mrtopstep.com/2010/10/20/cutting-to-the-chase/
That is all for today, good night
onsdag 20. oktober 2010
Tuesday 19th of October
Good evening,
The no demand bar I talked about yesterday was indeed correct and S&P futures sold off today reaching low at 1155.50. The volume was 3.055m contracts in the ES, which is big and this year we have seen the market go higher within 2 to 3 sessions when the daily volume has been in excess of 3m contracts in volume quite a few times.
Another thing I noted was that the close was well off the lows, by 8 points, on the high volume that indicates that we had buyers stepping in, otherwise it would had no chance close that many points off the low. So watch out for a potential move back up.
See chart image: http://chart.ly/mrkpuy8
Trading wise I lost 12.50 points in the S&P futures, since I had to hedge my short calls, I was stuck a bit too long on the drop and overall I lost 0.62% on the day. However a break below 1150 would be good for the short calls and I would have then chance to sell a bit puts to decrease the negative delta I have on the options portfolio.
On options side the Apple structure I had on did not really work out as the stock didn't move higher following the earnings, but I got out with a tiny gain after paying the commissions.
On the options side I took profit on the short Nov 19th 1200 calls, buying them back for 8.25, making about 7.50 points per contract. Since the S&P can potentially move back up I had to take some profits, so I can sell that strike again if we move towards the 1180 level again. Instead I sold much smaller positions of the Nov 19th 1170 calls for 20.75 and also sold a bit 1170 calls for 22 Oct.
I still have mostly short calls and we have basically short calls from 1170 to 1190 with expirations ranging from 22 Oct to 19 Nov.
I did also sell some 1160 puts for 29 Oct, getting 10.25 for those and also sold some 1130 puts for 19th of Nov receiving 15 to 15.50 for those.
Just had to sell some downside puts in case we are not breaking lower, I cannot have too much negative delta.
Today's Mr Topstep: http://mrtopstep.com/2010/10/19/troubled-waters/
Good night, take care.
The no demand bar I talked about yesterday was indeed correct and S&P futures sold off today reaching low at 1155.50. The volume was 3.055m contracts in the ES, which is big and this year we have seen the market go higher within 2 to 3 sessions when the daily volume has been in excess of 3m contracts in volume quite a few times.
Another thing I noted was that the close was well off the lows, by 8 points, on the high volume that indicates that we had buyers stepping in, otherwise it would had no chance close that many points off the low. So watch out for a potential move back up.
See chart image: http://chart.ly/mrkpuy8
Trading wise I lost 12.50 points in the S&P futures, since I had to hedge my short calls, I was stuck a bit too long on the drop and overall I lost 0.62% on the day. However a break below 1150 would be good for the short calls and I would have then chance to sell a bit puts to decrease the negative delta I have on the options portfolio.
On options side the Apple structure I had on did not really work out as the stock didn't move higher following the earnings, but I got out with a tiny gain after paying the commissions.
On the options side I took profit on the short Nov 19th 1200 calls, buying them back for 8.25, making about 7.50 points per contract. Since the S&P can potentially move back up I had to take some profits, so I can sell that strike again if we move towards the 1180 level again. Instead I sold much smaller positions of the Nov 19th 1170 calls for 20.75 and also sold a bit 1170 calls for 22 Oct.
I still have mostly short calls and we have basically short calls from 1170 to 1190 with expirations ranging from 22 Oct to 19 Nov.
I did also sell some 1160 puts for 29 Oct, getting 10.25 for those and also sold some 1130 puts for 19th of Nov receiving 15 to 15.50 for those.
Just had to sell some downside puts in case we are not breaking lower, I cannot have too much negative delta.
Today's Mr Topstep: http://mrtopstep.com/2010/10/19/troubled-waters/
Good night, take care.
Monday 18th of October
New multi month high in the S&P futures (ES) making a high of 1182.25. However it looks like a no demand bar being a narrow up bar closing on the highs with relatively low volume, at least lower than previous 2 bars. The lower the volume is the stronger the likelihood of a no demand bar. The confirmation of the no demand bar should be a wide down bar on increasing volume within the next 2 sessions.
The key resistance levels I see are 1198 and 1207, to the downside I have 1150 and 1127. To keep it simple one can say that as long as we don't have a daily close below 1163 the outlook is bullish and for a test of 1198 to 1207. Trading wise I made 14 points in the S&P futures trading mostly to the long side. Also the volatility dropped and short options lost value and theta so at the end of the day the portfolio rose 1.79%, pretty good.
I made no adjustments to the options portfolio in the ES.
However I did an earnings play on Apple (APPL).
I bot the 22OCT expiration strike at 320 x1, sold 2x330 22OCT call and bot 1x 22OCT 340 calls, for a debit of 1.24 per contract. Need a decent up move for this structure to make money on the earnings from Apple after today's close.
That is all for now, take care.
The key resistance levels I see are 1198 and 1207, to the downside I have 1150 and 1127. To keep it simple one can say that as long as we don't have a daily close below 1163 the outlook is bullish and for a test of 1198 to 1207. Trading wise I made 14 points in the S&P futures trading mostly to the long side. Also the volatility dropped and short options lost value and theta so at the end of the day the portfolio rose 1.79%, pretty good.
I made no adjustments to the options portfolio in the ES.
However I did an earnings play on Apple (APPL).
I bot the 22OCT expiration strike at 320 x1, sold 2x330 22OCT call and bot 1x 22OCT 340 calls, for a debit of 1.24 per contract. Need a decent up move for this structure to make money on the earnings from Apple after today's close.
That is all for now, take care.
mandag 18. oktober 2010
Friday 15th of October
Wow, Google hits it out the park and the options I bot for 2.09 was sold for 26.6. More than 12 times the risk, just pure luck I have to say.
Options expirations today and we had fair amount of volume getting done trading 2.644m contracts in the S&P Emini futures(ES) today.
In (ES) the 1162.50 low from yesterday held in the opening hour and once traders realized that level would not break (after testing 1163) it shoot higher to test 1180 towards the close, making a high at 1179.
I continue to note that key resistance to the upside are 1198 and 1207 and key support are 1151 and 1127.
I lost 12.25 points in the futures as I was trading short term against both puts and calls around the 1170 and 1165 levels that I traded on intraday basis.
I made up more than for the loss in the value decline and expirations of the short options and the portfolio rose 1.63% on the day.
Would also like to remind that we had more POMO today and more on Monday as well, which have been supportive for stocks.
See NY Fed POMO schedule here:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
Good basic information on how POMO works:
http://www.datadiary.com.au/2010/09/29/how-the-pomo-works-treasuries-and-the-fat-kid-who-wont-play-fair/
Here is today's Mr Topstep as well:
http://mrtopstep.com/2010/10/15/googles-gangbuster-earnings-and-options-expiration-wrestling-the-sp/
Have a nice weekend, hoping to see a fairly flat open on Monday morning and more theta (time value) flushing out the window, take care.
Options expirations today and we had fair amount of volume getting done trading 2.644m contracts in the S&P Emini futures(ES) today.
In (ES) the 1162.50 low from yesterday held in the opening hour and once traders realized that level would not break (after testing 1163) it shoot higher to test 1180 towards the close, making a high at 1179.
I continue to note that key resistance to the upside are 1198 and 1207 and key support are 1151 and 1127.
I lost 12.25 points in the futures as I was trading short term against both puts and calls around the 1170 and 1165 levels that I traded on intraday basis.
I made up more than for the loss in the value decline and expirations of the short options and the portfolio rose 1.63% on the day.
Would also like to remind that we had more POMO today and more on Monday as well, which have been supportive for stocks.
See NY Fed POMO schedule here:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
Good basic information on how POMO works:
http://www.datadiary.com.au/2010/09/29/how-the-pomo-works-treasuries-and-the-fat-kid-who-wont-play-fair/
Here is today's Mr Topstep as well:
http://mrtopstep.com/2010/10/15/googles-gangbuster-earnings-and-options-expiration-wrestling-the-sp/
Have a nice weekend, hoping to see a fairly flat open on Monday morning and more theta (time value) flushing out the window, take care.
Thursday 14th of October
S&P futures (ES) traded weaker from the open and then put in a strong rally in the last 45 min as market was looking for strong number from Google that reported after the bell. It closed 0.75 points lower at 1173.50 on the day, which was a good 11 points off the low.
Trading wise I lost 2 points in the futures, but the recovery into the close left me a bit standing and was not enough long on the rally, so the short calls increased value and the portfolio ended -1.13% on the day.
Another reason for the fall in the portfolio was the increase in volatility on the options that expire tomorrow (Friday), which is normal when you get closer to expiration.
On the options side I did the following changes:
I bot back some of the 1170 and 1180 that I sold early on the in the session, that I sold when it broke 1170. So took profit on those and sold some November
1200 calls, getting 15 to 15.50 for those.
I also put on a spread in VIX, buying he Dec 20 call and selling the Nov 25 call paying 4.55 per contract.
I also bot very small positions in 570 calls in Google for 2.09 that expires tomorrow, basically need a big move in Google on the earnings for this trade to pay off.
That is all for now, have a good night
Trading wise I lost 2 points in the futures, but the recovery into the close left me a bit standing and was not enough long on the rally, so the short calls increased value and the portfolio ended -1.13% on the day.
Another reason for the fall in the portfolio was the increase in volatility on the options that expire tomorrow (Friday), which is normal when you get closer to expiration.
On the options side I did the following changes:
I bot back some of the 1170 and 1180 that I sold early on the in the session, that I sold when it broke 1170. So took profit on those and sold some November
1200 calls, getting 15 to 15.50 for those.
I also put on a spread in VIX, buying he Dec 20 call and selling the Nov 25 call paying 4.55 per contract.
I also bot very small positions in 570 calls in Google for 2.09 that expires tomorrow, basically need a big move in Google on the earnings for this trade to pay off.
That is all for now, have a good night
fredag 15. oktober 2010
Wednesday 13th of October
S&P futures (ES) gapping 7.50 points on the open and making a trading to 1181, which is the highest level since 4th of May. The next key resistance levels are 1198 and 1207 and to the downside we have 1151 and 1127 for now. Remember that we options expiratons this Friday and normally we have one down during the options expirations week.
Trading wise I made 35 points in the ES futures today, but since I had fair amount of short calls the overall performance for the day was -0,67%.
On the options side I closed some of the short October 1130, 1140 and 1150 puts as the value of these options was so low that no point keeping them on in case we would get a large down move and these would come into play, a major risk that I don't want to take. I also took profit on the 1080 outstanding puts, buying them back for 5.75 points and selling some Nov. 1130 puts for 12.25 instead to get some more premium.
I did sell some 1170 puts for expiration Friday instead to protect a bit against a run higher towards my 1190 calls. I sold sell some more 1180 calls for November 19th, getting 24 and 25's for those and combined that sell with selling some Nov. 1190 for 20 points as well.
I also took profit on the CSX 55 calls that I bot yesterday, closing them at 5.55 for a nice 45% gain, thank you very much.
That is all for now, take care.
Trading wise I made 35 points in the ES futures today, but since I had fair amount of short calls the overall performance for the day was -0,67%.
On the options side I closed some of the short October 1130, 1140 and 1150 puts as the value of these options was so low that no point keeping them on in case we would get a large down move and these would come into play, a major risk that I don't want to take. I also took profit on the 1080 outstanding puts, buying them back for 5.75 points and selling some Nov. 1130 puts for 12.25 instead to get some more premium.
I did sell some 1170 puts for expiration Friday instead to protect a bit against a run higher towards my 1190 calls. I sold sell some more 1180 calls for November 19th, getting 24 and 25's for those and combined that sell with selling some Nov. 1190 for 20 points as well.
I also took profit on the CSX 55 calls that I bot yesterday, closing them at 5.55 for a nice 45% gain, thank you very much.
That is all for now, take care.
onsdag 13. oktober 2010
Tuesday 12th of October
The ES dipped on the open and actually tested the Friday day session low at 1151.50 and when that level held on decent volume it rebounded higher and basically traded higher for the rest of the day, testing 1169 late in the session, but failed to break 1170 and fell back to close at 1164.50.
We have now broken above that 1163.50 key resistance level, which was the post flash crash high from 13th of May.
The next resistance levels are now 1198 and 1207, see chart link:
http://chart.ly/acxt2dt
ES has had a nice and long move to the upside since we bottomed at 1032 in August, but the hourly chart does still not show a clear top yet. I am looking for either a blow out reversal bar on extreme volume or a down bar on highly increased volume to show that sellers have taken over. I have not seen any of those yet to be honest.
Also remember that we have options expirations this week and statically it tends to be heading higher towards Friday and we did not see turn around Tuesday today.
Realized volatility is down below 16, which is getting relatively low compared to recent levels and that has been a bouncing level over the last months.
Not sure it will be so this time?
See Mr Topstep for today: http://mrtopstep.com/2010/10/12/overnight-china-news-and-fed-weighs-on-morning-trade/
Overall the portfolio fell by 0.18% on the day.
I lost 6.5 points in the futures I was stopped out a few times in the Globex session on some hedges and I was way too slow to get long after the initial dip. Only adjustment made in the option portfolio was that I bot back Oct. 1150 calls for 18 points and sold Nov. 1190 calls for 14 to 15 points.
Also bot some CSX 55 calls as a earnings play that are out after the close. Paid 3.77 per option. Lets see what happens. I am looking to sell at the open tomorrow if we see a decent move higher.
That is all for today, have a nice evening
We have now broken above that 1163.50 key resistance level, which was the post flash crash high from 13th of May.
The next resistance levels are now 1198 and 1207, see chart link:
http://chart.ly/acxt2dt
ES has had a nice and long move to the upside since we bottomed at 1032 in August, but the hourly chart does still not show a clear top yet. I am looking for either a blow out reversal bar on extreme volume or a down bar on highly increased volume to show that sellers have taken over. I have not seen any of those yet to be honest.
Also remember that we have options expirations this week and statically it tends to be heading higher towards Friday and we did not see turn around Tuesday today.
Realized volatility is down below 16, which is getting relatively low compared to recent levels and that has been a bouncing level over the last months.
Not sure it will be so this time?
See Mr Topstep for today: http://mrtopstep.com/2010/10/12/overnight-china-news-and-fed-weighs-on-morning-trade/
Overall the portfolio fell by 0.18% on the day.
I lost 6.5 points in the futures I was stopped out a few times in the Globex session on some hedges and I was way too slow to get long after the initial dip. Only adjustment made in the option portfolio was that I bot back Oct. 1150 calls for 18 points and sold Nov. 1190 calls for 14 to 15 points.
Also bot some CSX 55 calls as a earnings play that are out after the close. Paid 3.77 per option. Lets see what happens. I am looking to sell at the open tomorrow if we see a decent move higher.
That is all for today, have a nice evening
Monday 11th of October
Very slow day as we had Columbus Holiday in the US that reduced the trading activity a great deal and S&P Emini futures only traded 1.050m contracts on the day compared to the 50 day average of 1.1913m contracts.
The daily range was 7.50 points and it was an inside day, trading inside the previous day's range.
ES did not open below the 1161 level as I thought would happen following the selling action on the cash close Friday and the open was 1162.50.
The overall portfolio increased by 1.52% on the day as the short options portfolio saw theta fly out of the window (time value).
I made 6 points in the ES futures and no adjustments in the options positions.
That is all for today, have a great evening
The daily range was 7.50 points and it was an inside day, trading inside the previous day's range.
ES did not open below the 1161 level as I thought would happen following the selling action on the cash close Friday and the open was 1162.50.
The overall portfolio increased by 1.52% on the day as the short options portfolio saw theta fly out of the window (time value).
I made 6 points in the ES futures and no adjustments in the options positions.
That is all for today, have a great evening
Friday 8th of October
Overall I made 1.16% on the day.
Made 11.5 points on the S&P Emini futures(ES).
On the options portfolio I bot back 1150 Oct calls for 17 points and also 1150 calls was bot for 36 points to decrease the short delta. I sold some Nov. 1180 calls for around 18 points. Also did a short straddle spread type of position selling 1160 October put and selling the Nov 1160 calls, getting 40 points for that position.
That was all for today, take care
Made 11.5 points on the S&P Emini futures(ES).
On the options portfolio I bot back 1150 Oct calls for 17 points and also 1150 calls was bot for 36 points to decrease the short delta. I sold some Nov. 1180 calls for around 18 points. Also did a short straddle spread type of position selling 1160 October put and selling the Nov 1160 calls, getting 40 points for that position.
That was all for today, take care
fredag 8. oktober 2010
Friday 8th of October
Good evening, will keep it very short as I am closing down for the weekend and will write a the more detailed trade report Monday.
As far as the trading today the Non Farm Payrolls was a bit of a non event.
I had expected more movement. That yesterday's low 1147 level held to the downside (day session) today and we tested that high end of the last week range at 1164 towards the close. Could not break 1164 and closed 1060.50, up 4 points on the day.
Average volume trading 1.963m in the E-mini today. The 1 hour chart looks potentially toppish.
I would like to note one thing, saw fair amount of voluming coming in on the cash close trading 89k in ES contracts on the 5 min bar, closing on the low, showing clear selling action. That is weakness and might impact Monday's overnight (Globex) session and I expect the S&P to open lower Monday in the day session then 1161.
That was the highest volume 5min bar the whole week.
See chart image: http://chart.ly/ialtcho
That is just my prediction, but what do I know?
Some key levels for next week, see this chart: http://chart.ly/xrbykdf
today's Mr Top Step: http://mrtopstep.com/category/video/
Have a great weekend everybody, take care
As far as the trading today the Non Farm Payrolls was a bit of a non event.
I had expected more movement. That yesterday's low 1147 level held to the downside (day session) today and we tested that high end of the last week range at 1164 towards the close. Could not break 1164 and closed 1060.50, up 4 points on the day.
Average volume trading 1.963m in the E-mini today. The 1 hour chart looks potentially toppish.
I would like to note one thing, saw fair amount of voluming coming in on the cash close trading 89k in ES contracts on the 5 min bar, closing on the low, showing clear selling action. That is weakness and might impact Monday's overnight (Globex) session and I expect the S&P to open lower Monday in the day session then 1161.
That was the highest volume 5min bar the whole week.
See chart image: http://chart.ly/ialtcho
That is just my prediction, but what do I know?
Some key levels for next week, see this chart: http://chart.ly/xrbykdf
today's Mr Top Step: http://mrtopstep.com/category/video/
Have a great weekend everybody, take care
Thursday 7th of October
S&P futures spiked higher on the weekly jobless claims data and tested that 1163 key resistance level (high from 12 of May), which is the highest level after the flash crash on 6th of May. However it failed at the level and traded all the way down to 1147 in the next 3 hours, but it was no real drive in the volume on the move lower and it move back higher towards the close and closing pretty much unchanged at 1156.50. Good rally back off that 1147 and we are all looking to tomorrows payrolls.
The key resistance levels for tomorrow are 1163.50 and 1168, to the downside we have 1147 (today's low) and 1127 the key high volume area.
Trading wise the portfolio was down 0.77% on the day and the major problem was that I lost 13.50 points in the futures as I was too much long hedged on the dropped lower.
On the options portfolio I bot back the rest of the 1120 Oct 15th puts from 4.30 to 4.50 points. Also bot back some 1130 October 15th puts around 4.30 for that one as well. Bot back a tiny 1155 call for October for 10.50 points and did sell a 1150 October 15th call when we dropped lower as I was a bit too long.
That is all for now, have a nice day
The key resistance levels for tomorrow are 1163.50 and 1168, to the downside we have 1147 (today's low) and 1127 the key high volume area.
Trading wise the portfolio was down 0.77% on the day and the major problem was that I lost 13.50 points in the futures as I was too much long hedged on the dropped lower.
On the options portfolio I bot back the rest of the 1120 Oct 15th puts from 4.30 to 4.50 points. Also bot back some 1130 October 15th puts around 4.30 for that one as well. Bot back a tiny 1155 call for October for 10.50 points and did sell a 1150 October 15th call when we dropped lower as I was a bit too long.
That is all for now, have a nice day
Wednesday 6th of October
Fairly tight range today in the S&P E-mini futures and we had an inside day, trading inside the previous day's range. Total range was 7.75 points.
Very little trading today and was even for the day trading wise. However as the time decay played nicely in my favor the portfolio was up 1.16% on the day.
No changes made to the options today. Nothing more to report really, everybody is looking forward to Friday's Non Farm Payrolls report at the moment and following the weak ADP number today it seems given that the number will be weak, just depends how much is priced in.
Looks like everything is highly correlated at the moment, with Gold rising as long as rates stay low (10 year US Treasury note) and Euro following Gold.
Have a nice day, take care
Very little trading today and was even for the day trading wise. However as the time decay played nicely in my favor the portfolio was up 1.16% on the day.
No changes made to the options today. Nothing more to report really, everybody is looking forward to Friday's Non Farm Payrolls report at the moment and following the weak ADP number today it seems given that the number will be weak, just depends how much is priced in.
Looks like everything is highly correlated at the moment, with Gold rising as long as rates stay low (10 year US Treasury note) and Euro following Gold.
Have a nice day, take care
Tuesday 5th of October
S&P futures basically traded up for the whole day, only down bar on 1 hour chart was the last hour. ES gapped up 8.75 points on the open and never looked back and the successful test down at 1127 yesterday proved correct today. ES closing up 20 points on the day and now trading at the top of the recent range and have trend channel resistance at 1154.
Trading wise I was not enough long today in the futures to hedge the short calls and the portfolio fell by 2.3% on the day. Made 5.34 points on the futures side and made a series of changes to the options portfolio.
Bot back some of the 1120 puts for October exp, not worth risking a downside break and the options coming back into play, so closed some at 3.75 points.
Also bot back some Nov 1150 calls and sold 1170 and 1180. Bought back 1140 calls and sold some 1150 puts for 15 October expiration to hedge some of the negative delta I have.
To be honest I had been looking for a bit more decisive action around this 1153 level, but seem to hanging around this 1120 to 1153 range for a few weeks now.
That is all for today, take care
Trading wise I was not enough long today in the futures to hedge the short calls and the portfolio fell by 2.3% on the day. Made 5.34 points on the futures side and made a series of changes to the options portfolio.
Bot back some of the 1120 puts for October exp, not worth risking a downside break and the options coming back into play, so closed some at 3.75 points.
Also bot back some Nov 1150 calls and sold 1170 and 1180. Bought back 1140 calls and sold some 1150 puts for 15 October expiration to hedge some of the negative delta I have.
To be honest I had been looking for a bit more decisive action around this 1153 level, but seem to hanging around this 1120 to 1153 range for a few weeks now.
That is all for today, take care
torsdag 7. oktober 2010
Monday 4th of October
The S&P futures trading down 7.5 points, but found support down at last weeks low 1127 level and closed well off the low, which indicates some buying, otherwise it would have flushed through the close.
Another thing to note is that the volume was lower than 2 previous bars and it was unlikely to break that 1127 low on reduced volume. Remember that the key volume areas we have are 1127 and 1153.50. The low looks like a successful test, see link:
http://chart.ly/y43ytwm
To the trading,
lost 13 points on the futures trading as I was hedging the long calls I had to have some long exposure on the drop. Still ended the day up 1.24% on the day as the short calls declined more in value that the what I lost on the futures.
In the options portfolio I made some minor changes, bot back some of the short 1150 calls for October and also sold 1135 call for expiration Friday to get a bit more premium in.
That is all for today, good luck
Another thing to note is that the volume was lower than 2 previous bars and it was unlikely to break that 1127 low on reduced volume. Remember that the key volume areas we have are 1127 and 1153.50. The low looks like a successful test, see link:
http://chart.ly/y43ytwm
To the trading,
lost 13 points on the futures trading as I was hedging the long calls I had to have some long exposure on the drop. Still ended the day up 1.24% on the day as the short calls declined more in value that the what I lost on the futures.
In the options portfolio I made some minor changes, bot back some of the short 1150 calls for October and also sold 1135 call for expiration Friday to get a bit more premium in.
That is all for today, good luck
mandag 4. oktober 2010
Friday 1st of October
Welcome to the 4th Quarter, normally the best 6 months period for stock market is from November through April. Regarding October, historically has been the 7th best month for the Dow, stocks rising 57 % of the time since the index was founded 113 years ago.
The S&P futures had an inside day today, trading inside the previous day's range and the today's range was 12 points (1134.50 low to 1146.50 high)
Trading wise I mainly concentrated on trading the expiring weekly contracts on ES, selling calls puts on the 1140 level for expiration today and hedging in the futures and we went up and down the range. I made about 2 points in the futures and good amount in the options and ending the 0,86% higher on the day.
The only change I did outside of the expiring options for today was to sell some 1140 calls for 8 Oct. and some 1130 puts for 8 Oct. that I trade out of the start of next week. Received 19 points for selling that spread.
I also bot November 79 put in Crude oil (CL) (for expiration October), paying 0,90 to 0,91 for the trade.
Would like to remind that the key levels in ES are 1153.50 and 1127.25, basically the week's high and lows, important levels for next week as those are the levels to break to make a more directional move. Still have that gap down at 1105.75 also that I have noted down as possible downside target.
That is all for now, take care.
The S&P futures had an inside day today, trading inside the previous day's range and the today's range was 12 points (1134.50 low to 1146.50 high)
Trading wise I mainly concentrated on trading the expiring weekly contracts on ES, selling calls puts on the 1140 level for expiration today and hedging in the futures and we went up and down the range. I made about 2 points in the futures and good amount in the options and ending the 0,86% higher on the day.
The only change I did outside of the expiring options for today was to sell some 1140 calls for 8 Oct. and some 1130 puts for 8 Oct. that I trade out of the start of next week. Received 19 points for selling that spread.
I also bot November 79 put in Crude oil (CL) (for expiration October), paying 0,90 to 0,91 for the trade.
Would like to remind that the key levels in ES are 1153.50 and 1127.25, basically the week's high and lows, important levels for next week as those are the levels to break to make a more directional move. Still have that gap down at 1105.75 also that I have noted down as possible downside target.
That is all for now, take care.
fredag 1. oktober 2010
Thursday 30th of September
The S&P emini futures broke above the key 1150 resistance level right at the start of the floor trading session and failed at 1153.50 where we saw a lot of volume coming in. It traded more than 122k contracts on the 5min break out bar and also did 573 contracts the first hour. All that volume was selling of course and late longs got sucked into the market and short got stopped out, then the market reversed lower and we did drop 21.25 points in 2 hours after the break and made a low at 1131.25 and then traded more or less sideways for the rest of the day.
A note that I saw when looking over the 60min chart is that the reversals this week all was made when we had more than 500k contracts traded on the ES on the hourly bar.
Link to chart image here: http://chart.ly/o56eppa
One thing I want to say on the selloff Thursday is that the price action and volume towards the close was not that bearish actually. If it was really bearish we should have seen strong selling towards the close and break below 1127 in my opinion.
We now have 2 major areas to watch, 2 levels we saw those two major reversals of this week, which are; the 1153.50 to the upside and 1127.50 to the downside. Keep those levels in mind going forward?
Trading wise I was forced to buy the break to protect the short calls I have on and I was a bit slow to close the long, so in the futures I lost 6 points.
However since I was less long then my negative delta when the market dropped the day turned out quite well in the end. Made 1.17% on the day all in.
Options wise I did the following trades:
I bot back the 1100's puts for October at 5.75 points, was quite cheap and no point risking that option coming back into play if this move higher reverses.
I really don't want to leave very low value out of the money options open as they can hit me if we see a big move. I rather buy them back and sell another strike with much higher premium closer to the market price.
I also bot back some 1140 calls for October on the break higher to reduce my negative delta and instead sold 1150 and 1160 for October when the move started to fail. I did also sell calls at 1180 for Nov, getting around 18.50 to 19 for those.
When we trade back below 1135 I also added some 1080 puts for November for 18 points, so balance the negative delta a bit.
I still think we have a good chance at going lower before we break above 1160, but we need to close below 1127 next few sessions to go lower. Simply put one can say that above 1127 the bias is bullish.
today's Mr Topstep: http://mrtopstep.com/2010/09/30/ffffade-away-day/
That is all for today, have a great day, take care
A note that I saw when looking over the 60min chart is that the reversals this week all was made when we had more than 500k contracts traded on the ES on the hourly bar.
Link to chart image here: http://chart.ly/o56eppa
One thing I want to say on the selloff Thursday is that the price action and volume towards the close was not that bearish actually. If it was really bearish we should have seen strong selling towards the close and break below 1127 in my opinion.
We now have 2 major areas to watch, 2 levels we saw those two major reversals of this week, which are; the 1153.50 to the upside and 1127.50 to the downside. Keep those levels in mind going forward?
Trading wise I was forced to buy the break to protect the short calls I have on and I was a bit slow to close the long, so in the futures I lost 6 points.
However since I was less long then my negative delta when the market dropped the day turned out quite well in the end. Made 1.17% on the day all in.
Options wise I did the following trades:
I bot back the 1100's puts for October at 5.75 points, was quite cheap and no point risking that option coming back into play if this move higher reverses.
I really don't want to leave very low value out of the money options open as they can hit me if we see a big move. I rather buy them back and sell another strike with much higher premium closer to the market price.
I also bot back some 1140 calls for October on the break higher to reduce my negative delta and instead sold 1150 and 1160 for October when the move started to fail. I did also sell calls at 1180 for Nov, getting around 18.50 to 19 for those.
When we trade back below 1135 I also added some 1080 puts for November for 18 points, so balance the negative delta a bit.
I still think we have a good chance at going lower before we break above 1160, but we need to close below 1127 next few sessions to go lower. Simply put one can say that above 1127 the bias is bullish.
today's Mr Topstep: http://mrtopstep.com/2010/09/30/ffffade-away-day/
That is all for today, have a great day, take care
torsdag 30. september 2010
Wednesday 29th of September
We had an inside day Wednesday on the S&P futures, meaning trading range was inside the previous day range's. The total range today was only 9 points, smallest range since 13th of September where we had 8.25 points range.
We now have 1 day left of the quarter and would not be suprised to see a major move tomorrow.
I would like to mention a few key levels in the S&P Emini futures (ES).
To the upside we have 1156 that was the high on the flash crash day and 1163 (13/5 high), so solid resistance above us here.
Looking at the hour chart we have yesterday's low as a key level since we had major volume coming in there.
The next support level is then 1122 (break out level) and 1105.75 (open gap from 11th of September).
Trading wise I had a weak day, as I was looking for a larger move and was looking for a break lower and sold weakness, but it basically bounced every time and turned into stop outs. A bit surprised to see such a tight range day going into the quarter end.
Net result was -9.8 points on the futures and -1,63% on the day for the total portfolio.
I did not make any changes to the options portfolio.
New day tomorrow, have a great evening
We now have 1 day left of the quarter and would not be suprised to see a major move tomorrow.
I would like to mention a few key levels in the S&P Emini futures (ES).
To the upside we have 1156 that was the high on the flash crash day and 1163 (13/5 high), so solid resistance above us here.
Looking at the hour chart we have yesterday's low as a key level since we had major volume coming in there.
The next support level is then 1122 (break out level) and 1105.75 (open gap from 11th of September).
Trading wise I had a weak day, as I was looking for a larger move and was looking for a break lower and sold weakness, but it basically bounced every time and turned into stop outs. A bit surprised to see such a tight range day going into the quarter end.
Net result was -9.8 points on the futures and -1,63% on the day for the total portfolio.
I did not make any changes to the options portfolio.
New day tomorrow, have a great evening
onsdag 29. september 2010
Tuesday 28th of September
Good day,
We now have 2 sessions left of the quarter and it will be interesting to see if we have an end of the quarter sell off?
Tuesday price action was a bit like expected following the down day Monday, it drove lower off the open and hit 1127.50 low. We then saw some massive volume, at least relative to recent days, coming in at that low level. The 5min bar traded more than 114k contracts, which is the most we have seen on any 5min bar over the last 2 weeks. The significance of these high volume bars is important because most reversals start with a high volume bar. The higher volume the stronger the reaction off that level often tend to be. One thing to note is also the seasonal and relative factor.
114k contracts is maybe not much in November or some other time of the year when we see higher daily volumes, but it was certainly noteworthy for current conditions. I pay more attention in terms of relative value than the actual number of contracts. Is that bar standing out to recent things we have seen? If the answer Of course I also look at other time frames to judge the volume in an interest area.
Another thing to note is that the low last Wednesday was 1126.50, so that was fairly close to Tuesday's low as well.
On the options trading I did the following changes:
I bot back the 1090 and 1100 puts (at 7 and 6 points) and sold a small 1120 puts position (at 11 points) instead to get more premium and decrease the risk to the downside if we see a larger move.
I also bot back the 1140 short call for 19's and instead sold a 1140 put for expiration Friday.
On the futures side the net result was -7.2 points on the day and the total result of the day for the portfolio was -0,16%.
On the open position side I still have net short delta with more calls than puts.
That is all for now, have a great day.
We now have 2 sessions left of the quarter and it will be interesting to see if we have an end of the quarter sell off?
Tuesday price action was a bit like expected following the down day Monday, it drove lower off the open and hit 1127.50 low. We then saw some massive volume, at least relative to recent days, coming in at that low level. The 5min bar traded more than 114k contracts, which is the most we have seen on any 5min bar over the last 2 weeks. The significance of these high volume bars is important because most reversals start with a high volume bar. The higher volume the stronger the reaction off that level often tend to be. One thing to note is also the seasonal and relative factor.
114k contracts is maybe not much in November or some other time of the year when we see higher daily volumes, but it was certainly noteworthy for current conditions. I pay more attention in terms of relative value than the actual number of contracts. Is that bar standing out to recent things we have seen? If the answer Of course I also look at other time frames to judge the volume in an interest area.
Another thing to note is that the low last Wednesday was 1126.50, so that was fairly close to Tuesday's low as well.
On the options trading I did the following changes:
I bot back the 1090 and 1100 puts (at 7 and 6 points) and sold a small 1120 puts position (at 11 points) instead to get more premium and decrease the risk to the downside if we see a larger move.
I also bot back the 1140 short call for 19's and instead sold a 1140 put for expiration Friday.
On the futures side the net result was -7.2 points on the day and the total result of the day for the portfolio was -0,16%.
On the open position side I still have net short delta with more calls than puts.
That is all for now, have a great day.
tirsdag 28. september 2010
Monday 27th of September
The S&P futures (ES) triggered stops in the Asian hours sending it up to a high of 1149.75.
However it was not able to get above that 1150 level that I have outlined a few times last weeks.
The open was at 1145 so that means the gap from 13th of May is actually filled now.
It traded lower on light volume and closed at 1137.75 on the lows for the day pretty much. The lack of volume signals to me that it was limited selling pressure on the day and we have to see expansion in the volume to the downside to really get a sell of lower.
Trading wise it was a slow day and I had to get long ES on the break higher in Asia, but sold a bit back when it broke back below 1144. I also closed the VIX options structure I had (long Nov 27.50 call and short Oct 30 call, 1x1 ratio) for a 12% gain.
I lost 6.5 points on the ES futures trading today, which is ok as I had to stay a bit long to hedge the short delta I have on the options portfolio since I have overweight of short calls at the moment.
However since the value of the portfolio rise when the S&P drops since I am short delta the portfolio in total rose by 0.25% on the day.
I made no adjustments to the options today.
Make sure to see the comments from Mr. TopStep regarding the walk away trade in this video:
http://mrtopstep.com/2010/09/27/mr-topstep-in-hd/
I agree with Mr. Topstep as basically as long as 1150 holds I expect a drive lower.
Remember that US nonfarm payrolls not out until next Friday.
That is all for now, have a great day
However it was not able to get above that 1150 level that I have outlined a few times last weeks.
The open was at 1145 so that means the gap from 13th of May is actually filled now.
It traded lower on light volume and closed at 1137.75 on the lows for the day pretty much. The lack of volume signals to me that it was limited selling pressure on the day and we have to see expansion in the volume to the downside to really get a sell of lower.
Trading wise it was a slow day and I had to get long ES on the break higher in Asia, but sold a bit back when it broke back below 1144. I also closed the VIX options structure I had (long Nov 27.50 call and short Oct 30 call, 1x1 ratio) for a 12% gain.
I lost 6.5 points on the ES futures trading today, which is ok as I had to stay a bit long to hedge the short delta I have on the options portfolio since I have overweight of short calls at the moment.
However since the value of the portfolio rise when the S&P drops since I am short delta the portfolio in total rose by 0.25% on the day.
I made no adjustments to the options today.
Make sure to see the comments from Mr. TopStep regarding the walk away trade in this video:
http://mrtopstep.com/2010/09/27/mr-topstep-in-hd/
I agree with Mr. Topstep as basically as long as 1150 holds I expect a drive lower.
Remember that US nonfarm payrolls not out until next Friday.
That is all for now, have a great day
mandag 27. september 2010
Friday 24th of September
S&P futures (ES) tested lower in Globex session, but Thursday low at 1117.25 held overnight and it basically traded to the upside for the rest of the day, closing right at the top of the daily range at 1143.50. The break above Thursday's high at 1132.25 it took off like a rocket.
We still have that 1144.75 gap open, it was not filled today either, the high was 1144.50. Maybe I am being a bit picky now as it missed by 0.25 points only, but again it still a key level around that 1145 to 1150 level that we need to see a daily close above to extend higher.
Trading wise I made 11.92 points trading long in the ES, still not long enough as I have bunch of short calls above 1130 up to 1170, so portfolio wise the value dropped 1.74% on the day.
I still feel more comfortable being a bit too short here as chart wise it looks tough to break much higher at the moment. Another thing is that all but one of the short puts positions expire in October and therefore I prefer to avoid a large sell off before they expire and if it drops I would benefit since I am a bit too short.
The risk is of course a quick break out higher, but below 1145 to 1150 that looks unlikely.
Another point about Friday's candle is that it could be possible "no demand" bar as the candle is fairly narrow on volume lower than previous few days. However we need to see some confirmation before I would really act on that signal.
Options wise I made the following changes:
When it broke 1133 I had to make some changes, as it looked like downside was well supported for now.
I took profit on some of the short 1090 puts, as the value on that position dropped to 7 points and I don't want too many options to far out of the money to the down side as any quick move to the downside would increase the value of these out of the money puts rapidly.
Instead I sold the 1130 puts that are close to the money and have much more premium in them, for 14.50 points. I also bot back a bit of the 1100 puts for the same reasons as the 1090.
I bot back the 1130 calls and sold small position of 1140 puts (getting 10.50 points) for 1st of October expiration and sold calls at 1150 for October. Lastly I did sell 1170 calls for November for 21 points, leaving me with break even of 1191 on those.
I see the 1170 level as being far enough above the 1145 to 1150 resistance zone that if 1170 would come into play the options down below 1140 is most likely either expired already or have very little theta left. Also that break even of 1191 is only about 16.50 points below the yearly high that makes it prefect to roll positions above that 1207.50 level in case we hit 1191.
So now I basically have calls from 1140 and up to 1170 at 10 points interval and puts from 1140 and down to 1090.
Next week will be key to determine if this week’s move higher is for real or not.
Remember we have end of quarter on Thursday.
That was all for now, have a nice weekend.
We still have that 1144.75 gap open, it was not filled today either, the high was 1144.50. Maybe I am being a bit picky now as it missed by 0.25 points only, but again it still a key level around that 1145 to 1150 level that we need to see a daily close above to extend higher.
Trading wise I made 11.92 points trading long in the ES, still not long enough as I have bunch of short calls above 1130 up to 1170, so portfolio wise the value dropped 1.74% on the day.
I still feel more comfortable being a bit too short here as chart wise it looks tough to break much higher at the moment. Another thing is that all but one of the short puts positions expire in October and therefore I prefer to avoid a large sell off before they expire and if it drops I would benefit since I am a bit too short.
The risk is of course a quick break out higher, but below 1145 to 1150 that looks unlikely.
Another point about Friday's candle is that it could be possible "no demand" bar as the candle is fairly narrow on volume lower than previous few days. However we need to see some confirmation before I would really act on that signal.
Options wise I made the following changes:
When it broke 1133 I had to make some changes, as it looked like downside was well supported for now.
I took profit on some of the short 1090 puts, as the value on that position dropped to 7 points and I don't want too many options to far out of the money to the down side as any quick move to the downside would increase the value of these out of the money puts rapidly.
Instead I sold the 1130 puts that are close to the money and have much more premium in them, for 14.50 points. I also bot back a bit of the 1100 puts for the same reasons as the 1090.
I bot back the 1130 calls and sold small position of 1140 puts (getting 10.50 points) for 1st of October expiration and sold calls at 1150 for October. Lastly I did sell 1170 calls for November for 21 points, leaving me with break even of 1191 on those.
I see the 1170 level as being far enough above the 1145 to 1150 resistance zone that if 1170 would come into play the options down below 1140 is most likely either expired already or have very little theta left. Also that break even of 1191 is only about 16.50 points below the yearly high that makes it prefect to roll positions above that 1207.50 level in case we hit 1191.
So now I basically have calls from 1140 and up to 1170 at 10 points interval and puts from 1140 and down to 1090.
Next week will be key to determine if this week’s move higher is for real or not.
Remember we have end of quarter on Thursday.
That was all for now, have a nice weekend.
Thursday 23rd of September
Finally broke below the 1122 as I expected but no real follow through and my target at 1105.75 (gap from 10th of September) was never really in reach. The daily low was at 1117.25 on increasing volume, so that signaled increased selling pressure. The volume was above the 50 day average, trading 2.190m contracts on the day.
Tomorrow will confirm if this was indeed selling pressure or buying into the dip.
Trading wise I still had to hedge some of the short delta being long the ES futures, so I lost 6.9 points in the futures and being a bit too much long I lost -0.41% on the day overall.
I did only 2 changes to the options portfolio, I bot back some of the 1130 calls when it rebounded over 1120 as I wanted to reduce the short delta exposure a bit and I also sold some 1100 puts for September for around 15.50 points to get a bit more balance in the options portfolio.
That is all for today, see you later, take care.
Tomorrow will confirm if this was indeed selling pressure or buying into the dip.
Trading wise I still had to hedge some of the short delta being long the ES futures, so I lost 6.9 points in the futures and being a bit too much long I lost -0.41% on the day overall.
I did only 2 changes to the options portfolio, I bot back some of the 1130 calls when it rebounded over 1120 as I wanted to reduce the short delta exposure a bit and I also sold some 1100 puts for September for around 15.50 points to get a bit more balance in the options portfolio.
That is all for today, see you later, take care.
Wednesday 22nd of September
After the S&P futures stopped short of filling that gap at 1144.75 Tuesday I was expecting a move lower and my next target is for a fill of that gap down at 1105.75.
The volume today was quite light and although the close was in the lower end of the range it seems the selling pressure was limited since it was no real volume expansion on the move lower. It was not really close to testing that previous break out level at 1122. The daily low was at 1126.
Trading wise I traded long during the day to hedge the short calls, but sold out a bit too much when 1130 broke and not quick enough to get back long.
Lost 7.2 points in the futures on the day, but since the short calls fell in value the portfolio rose 0.98% on the day.
In the options portfolio I bot back some of the short 1130 and 1140 calls early on in the Globex session and also sold 1120 puts to hedge a bit of the short delta.
When it was apparent that 1144.75 resistance level would not break I sold some of the 1130 calls again.
All in all a fairly quiet day, take care everybody.
The volume today was quite light and although the close was in the lower end of the range it seems the selling pressure was limited since it was no real volume expansion on the move lower. It was not really close to testing that previous break out level at 1122. The daily low was at 1126.
Trading wise I traded long during the day to hedge the short calls, but sold out a bit too much when 1130 broke and not quick enough to get back long.
Lost 7.2 points in the futures on the day, but since the short calls fell in value the portfolio rose 0.98% on the day.
In the options portfolio I bot back some of the short 1130 and 1140 calls early on in the Globex session and also sold 1120 puts to hedge a bit of the short delta.
When it was apparent that 1144.75 resistance level would not break I sold some of the 1130 calls again.
All in all a fairly quiet day, take care everybody.
I have been traveling
I have been traveling for a few days and not been able to update the blog.
Will post all updates during Monday.
Will post all updates during Monday.
onsdag 22. september 2010
Some interesting links from Wednesday 22nd of September
S&P chart, no expansion in the volume on the break, looks weak:
http://chart.ly/73py9aw
Today's Mr TopStep:
http://mrtopstep.com/2010/09/22/equities-feelin-toppy/
Greenberg: Can an ETF Collapse?
http://www.cnbc.com/id/39309280
Fed's POMO helps risk assets in general:
http://thefrugalplain.blogspot.com/2010/09/feds-pomo-s-500.html?utm_source=twitterfeed&utm_medium=twitter
Did Bill Gross Just Confirm On Live TV He Has An "Advance Look" At Non-Public Fed Data?
http://www.zerohedge.com/article/did-bill-gross-just-confirm-live-tv-he-has-advance-look-non-public-fed-data
http://chart.ly/73py9aw
Today's Mr TopStep:
http://mrtopstep.com/2010/09/22/equities-feelin-toppy/
Greenberg: Can an ETF Collapse?
http://www.cnbc.com/id/39309280
Fed's POMO helps risk assets in general:
http://thefrugalplain.blogspot.com/2010/09/feds-pomo-s-500.html?utm_source=twitterfeed&utm_medium=twitter
Did Bill Gross Just Confirm On Live TV He Has An "Advance Look" At Non-Public Fed Data?
http://www.zerohedge.com/article/did-bill-gross-just-confirm-live-tv-he-has-advance-look-non-public-fed-data
Tuesday 21st of September
FOMC held rates unchanged and signaled possible more QE, which sent the S&P futures higher, but it stopped just shy of that gap at 1144.75 13th of May and the high was 1144 yesterday, so that gap is still not filled. As I mentioned a few times over the last days, there are some serious resistance levels from 1144.75 up to 1163 and as long as we remain below 1144.75.
I favor a move back and fill the 1105.75 gap from 10th of September, before we go higher.
As for the trading it was an active day trading just above 30 trades in the ES and making 9 points trading to the long side. I was not enough long though to make up for the rise in value on the short calls I have above 1130 and up to 1170, but I made up a bunch of that loss when I closed the longs at 1142 and 1143 as I wanted to see if 1145 would hold and it did. So as the market went lower off this 1144 high the lack of long to the upside was at least somewhat made back on the way down.
As for the options I did the following adjustments.
Right after I had closed the ES longs I actually sold some 1140 puts for expiration Friday as a hedge and also sold some 1140 calls for Friday when it broke below 1137, just for hedge as I was scaling in long and it looked like a false break, so it made sense to sell some more premium in that key area. I got 6.50 points for those 1140 calls for Friday.
I sold some 1090 puts actually prior to FOMC as I wanted to balance the delta a bit more. I bought back some of the 1130 short calls just after the FOMC and sold 1130 put instead and sold higher strikes at 1150 for October (receiving around on average 16 points) and 1170 calls (for 18.50 points up to 19.50 points).
I now have basically a short straddle at 1130, with calls above 1140 up to 1170 for expiration October and November. I have short puts down at 1100 and 1090 for October and small position in short 1080 puts for November.
The strategy over the next sessions will now be to hedge and be active on the long side above 1130 or so. If it breaks above 1145 I have to again make a bunch of adjustments as I would be a bit too short calls if that level breaks.
To the downside I will not make any big options adjustments for the moment unless 1105 breaks.
I basically have the downside under 1080 free to sell puts if we come down below 1105 and the vols would rise if we go lower it does not make sense to sell much downside just yet, unless 1145 breaks of course then I have to put on a bit more downside. Also keep in mind that my puts are expiring in October, so lots of Theta in them the last 3 weeks.
That is all for now, havea a nice evening
I favor a move back and fill the 1105.75 gap from 10th of September, before we go higher.
As for the trading it was an active day trading just above 30 trades in the ES and making 9 points trading to the long side. I was not enough long though to make up for the rise in value on the short calls I have above 1130 and up to 1170, but I made up a bunch of that loss when I closed the longs at 1142 and 1143 as I wanted to see if 1145 would hold and it did. So as the market went lower off this 1144 high the lack of long to the upside was at least somewhat made back on the way down.
As for the options I did the following adjustments.
Right after I had closed the ES longs I actually sold some 1140 puts for expiration Friday as a hedge and also sold some 1140 calls for Friday when it broke below 1137, just for hedge as I was scaling in long and it looked like a false break, so it made sense to sell some more premium in that key area. I got 6.50 points for those 1140 calls for Friday.
I sold some 1090 puts actually prior to FOMC as I wanted to balance the delta a bit more. I bought back some of the 1130 short calls just after the FOMC and sold 1130 put instead and sold higher strikes at 1150 for October (receiving around on average 16 points) and 1170 calls (for 18.50 points up to 19.50 points).
I now have basically a short straddle at 1130, with calls above 1140 up to 1170 for expiration October and November. I have short puts down at 1100 and 1090 for October and small position in short 1080 puts for November.
The strategy over the next sessions will now be to hedge and be active on the long side above 1130 or so. If it breaks above 1145 I have to again make a bunch of adjustments as I would be a bit too short calls if that level breaks.
To the downside I will not make any big options adjustments for the moment unless 1105 breaks.
I basically have the downside under 1080 free to sell puts if we come down below 1105 and the vols would rise if we go lower it does not make sense to sell much downside just yet, unless 1145 breaks of course then I have to put on a bit more downside. Also keep in mind that my puts are expiring in October, so lots of Theta in them the last 3 weeks.
That is all for now, havea a nice evening
tirsdag 21. september 2010
Monday 20th of September
S&P futures gapped 4.25 points higher at the open and made a move lower initially before total take off as buy stops were triggered on the break above the Friday high at 1126.75. Traded up to a high of 1140.25 before closing 1136.50.
I am a bit uncertain on this break higher as the volume on the break was very low, which appears to be mostly stops getting triggered and not fresh buying.
If we have no fresh buying this move will not extend.
We also have heavy resistance from 1144 up to 1163, which is a tough task ahead.
S&P futures is now in the upper part of the range seen since May.
Will be interesting to see what this week brings.
I have the feeling that we will most likely see a substantial move in either direction off the current level, just not sure which direction yet.
I would be more comfortable of a break higher if we had seen a dip first lower then this break higher, but the direct break higher with a basically a straight line move higher since 31st of August of 106 points from low to high is a bit too quick and risk a fair amount of selling coming in.
Trading wise I was a bit too conservative to the long side and made "only" 5.50 points on the day trading both long and short. As the move was 16.75 higher it was not enough to offset the move in the short calls I have from 1120 and up, so I had to make a bunch of adjustments that positions me quite well for a move in both direction from here.
I bot back 1120 calls for October when it broke 1130 on ES and instead sold 1140's to get more "theta" and remove some long delta.
I took profit on the 1060 puts as these got down to 5 point and figured it was no point keeping the risk on that they come into play on a quick down move where the volatility would increase quite a lot as well, making these 1060 puts rise in value quickly. I did the same with the 1100 short puts for 30th of September, closed them for a decent profit.
I instead sold some 1100 for October to increase the premium and did a very small 1080 short put for November, just to have as hedge the 1170's short calls that I sold a bit more of Monday.
I also turned the 1130's calls into a short straddle selling the 1130 put for October to have a bit more balanced Delta in the portfolio, was getting a touch too much short on the call side.
I want to see more volume to the upside and break above 1145 to really get excited on the long side for the moment.
Make sure to watch Monday's Mr Topstep, very interesting:
http://mrtopstep.com/2010/09/20/market-wizards/
That is all for today. Best of luck, take care.
I am a bit uncertain on this break higher as the volume on the break was very low, which appears to be mostly stops getting triggered and not fresh buying.
If we have no fresh buying this move will not extend.
We also have heavy resistance from 1144 up to 1163, which is a tough task ahead.
S&P futures is now in the upper part of the range seen since May.
Will be interesting to see what this week brings.
I have the feeling that we will most likely see a substantial move in either direction off the current level, just not sure which direction yet.
I would be more comfortable of a break higher if we had seen a dip first lower then this break higher, but the direct break higher with a basically a straight line move higher since 31st of August of 106 points from low to high is a bit too quick and risk a fair amount of selling coming in.
Trading wise I was a bit too conservative to the long side and made "only" 5.50 points on the day trading both long and short. As the move was 16.75 higher it was not enough to offset the move in the short calls I have from 1120 and up, so I had to make a bunch of adjustments that positions me quite well for a move in both direction from here.
I bot back 1120 calls for October when it broke 1130 on ES and instead sold 1140's to get more "theta" and remove some long delta.
I took profit on the 1060 puts as these got down to 5 point and figured it was no point keeping the risk on that they come into play on a quick down move where the volatility would increase quite a lot as well, making these 1060 puts rise in value quickly. I did the same with the 1100 short puts for 30th of September, closed them for a decent profit.
I instead sold some 1100 for October to increase the premium and did a very small 1080 short put for November, just to have as hedge the 1170's short calls that I sold a bit more of Monday.
I also turned the 1130's calls into a short straddle selling the 1130 put for October to have a bit more balanced Delta in the portfolio, was getting a touch too much short on the call side.
I want to see more volume to the upside and break above 1145 to really get excited on the long side for the moment.
Make sure to watch Monday's Mr Topstep, very interesting:
http://mrtopstep.com/2010/09/20/market-wizards/
That is all for today. Best of luck, take care.
fredag 17. september 2010
Friday 17th of September
Good evening,
Will keep it short as the weekend is right around the corner.
It looks like stops were triggered overnight as it broke above 1127 in S&P futures (ES), making a high of 1132.75 in Globex session. However we opened much lower at 1125.75 and closed below yesterday's close, which signals weakness to me. The Euro also selling off towards the afternoon with AUDUSD move down 100 pips from the high also signals that the risk on trade overnight might be short lived for now.
For the trading I had to trade long in the ES to protect against the short calls from 1120 and up, which saw me lose 6 points in total on the day. Overnight I actually sold a bit more 1160 and 1150 calls for October and November in case this break turns out to be a false break. I also turned the short calls at 1120 into a short straddle position with selling the 1120 puts for October.
Basically sitting with calls from 1130 to 1160 now, with puts from 1100 and downwards to 1060. I always try to stay as dynamic as possible and follow the market and adjust to new developments and I will continue that very much next week as I would like to increase the distance between some of the strikes a bit, especially if we move above 1135 I will roll some of the 1140 and 1150 to higher strikes.
This week turned out more or less flat, but I am very well positioned if the market would break lower at the moment. If it breaks higher I have to make further adjustments, but expect the volatility then to drop even further, which would help my short options portfolio.
Have a great weekend, take care
Will keep it short as the weekend is right around the corner.
It looks like stops were triggered overnight as it broke above 1127 in S&P futures (ES), making a high of 1132.75 in Globex session. However we opened much lower at 1125.75 and closed below yesterday's close, which signals weakness to me. The Euro also selling off towards the afternoon with AUDUSD move down 100 pips from the high also signals that the risk on trade overnight might be short lived for now.
For the trading I had to trade long in the ES to protect against the short calls from 1120 and up, which saw me lose 6 points in total on the day. Overnight I actually sold a bit more 1160 and 1150 calls for October and November in case this break turns out to be a false break. I also turned the short calls at 1120 into a short straddle position with selling the 1120 puts for October.
Basically sitting with calls from 1130 to 1160 now, with puts from 1100 and downwards to 1060. I always try to stay as dynamic as possible and follow the market and adjust to new developments and I will continue that very much next week as I would like to increase the distance between some of the strikes a bit, especially if we move above 1135 I will roll some of the 1140 and 1150 to higher strikes.
This week turned out more or less flat, but I am very well positioned if the market would break lower at the moment. If it breaks higher I have to make further adjustments, but expect the volatility then to drop even further, which would help my short options portfolio.
Have a great weekend, take care
Thursday 16th of September
Thursday we saw the S&P futures make a higher low compared to Wednesday and it broker above the key resistance at 1122.90 in late trading to close at the top of the daily range.
However we normally get one wide down day during the options expirations week and we had not any wide down days so far this week and with one day to go, I have to keep the chances open that it will be a wide down day on Friday and that the break higher will not sustain. All tricky in the key area as I suspect we will see a rather strong move off these area (1125) in either direction. The move overnight higher above 1130 looks like stops got triggered and of course wouldn't be perfect to take out these buy stops and drop the market lower?
Was still looking for a possible fill of that gap at 1105.75 today, but couldn't take out the 1109 low from previous day, so didn't really get close to doing that.
Trading wise I made about 4 points on the day on futures trading long. The break above 1122 forced me to go long to protect some of the short calls above 1120 and upwards in case it would break higher.
I also sold a 1100 put for 30 September exipration as a bit of hedge against the short calls, getting 9.50 for those. I did take profit on the short 1120 and 1130 puts for expiration tomorrow (Friday), so have no open options for expiration Friday left now
That is all for today, good luck , take care.
However we normally get one wide down day during the options expirations week and we had not any wide down days so far this week and with one day to go, I have to keep the chances open that it will be a wide down day on Friday and that the break higher will not sustain. All tricky in the key area as I suspect we will see a rather strong move off these area (1125) in either direction. The move overnight higher above 1130 looks like stops got triggered and of course wouldn't be perfect to take out these buy stops and drop the market lower?
Was still looking for a possible fill of that gap at 1105.75 today, but couldn't take out the 1109 low from previous day, so didn't really get close to doing that.
Trading wise I made about 4 points on the day on futures trading long. The break above 1122 forced me to go long to protect some of the short calls above 1120 and upwards in case it would break higher.
I also sold a 1100 put for 30 September exipration as a bit of hedge against the short calls, getting 9.50 for those. I did take profit on the short 1120 and 1130 puts for expiration tomorrow (Friday), so have no open options for expiration Friday left now
That is all for today, good luck , take care.
torsdag 16. september 2010
Wednesday 15th of September
The S&P futures failed to break Tuesday's high of 1122.50, but still managed to close in the upper end of the daily range. Could we be looking at a similar top that we had in August, when it topped out around the same level over a few days and dropped sharply lower within the next few days.
We now have 2 days left of the expiration week and we normally have one wide down day during the expiration week, so with failure at 1122 again Wednesday, it might be Thursday the down day comes in?
S&P futures have topped out in this 1122's level both in June and August previously.
http://chart.ly/wimh2uk
So we either top out again or break higher within the next few days I reckon.
Expect a strong move in either direction basically.
We still have the gap down at 1105.75 from Friday to be filled and the 31st of August that is some way off at the moment.
Trading wise I made net +3 points on the S&P futures, was not long enough towards the top end of the range and was looking for the gap down at 1105.75 to be filled early on, which had me a bit late to get long when it found support at 1109. Still expect the 1125 level to hold on the upside and a test lower towards at least 1105.75 before it breaks higher.
I sold some more 1110 September puts in the start of the session and them out when prices test 1120 towards the end of the session and moved the short October 1090 calls to a 1130 (got 19 points for the 1130) calls to get the strike above the 1125 key resistance. I also closed out the 1040 October puts from last week (made about 10 points on it) and sold 1090 October puts instead to collect more premium, then I now have nothing below 1060, so plenty of room to sell put below or towards the 1037 key support in case it breaks lower. The short puts at 1130 that I have a hedges with expiration on Friday was reduced and only have a tine position left in those puts.
That is all for today, good luck and take care
We now have 2 days left of the expiration week and we normally have one wide down day during the expiration week, so with failure at 1122 again Wednesday, it might be Thursday the down day comes in?
S&P futures have topped out in this 1122's level both in June and August previously.
http://chart.ly/wimh2uk
So we either top out again or break higher within the next few days I reckon.
Expect a strong move in either direction basically.
We still have the gap down at 1105.75 from Friday to be filled and the 31st of August that is some way off at the moment.
Trading wise I made net +3 points on the S&P futures, was not long enough towards the top end of the range and was looking for the gap down at 1105.75 to be filled early on, which had me a bit late to get long when it found support at 1109. Still expect the 1125 level to hold on the upside and a test lower towards at least 1105.75 before it breaks higher.
I sold some more 1110 September puts in the start of the session and them out when prices test 1120 towards the end of the session and moved the short October 1090 calls to a 1130 (got 19 points for the 1130) calls to get the strike above the 1125 key resistance. I also closed out the 1040 October puts from last week (made about 10 points on it) and sold 1090 October puts instead to collect more premium, then I now have nothing below 1060, so plenty of room to sell put below or towards the 1037 key support in case it breaks lower. The short puts at 1130 that I have a hedges with expiration on Friday was reduced and only have a tine position left in those puts.
That is all for today, good luck and take care
onsdag 15. september 2010
Tuesday 14th of September
The S&P futures broke the August high by 0.50 points yesterday (if you look at a contiunous ES chart the Aug top was 1122), but it could not follow through and backed off to close in the lower half of the daily range and also below Monday's close.
This price action is see as weak and would not be suprised to see a move lower Wednesday and at least to close the 1105.75 gap from Friday last week. We also have a gap down at 1054.25 from 31st of August worth keeping in mind.
As far as the trading goes I had to make furter adjustments Tuesday.
First of all I had to go long to hedge the short calls and this went well, but when it reversed I was stuck long, so the earlier gains in the morning got reduced and made 3 points total trading long in the futures.
For the options I made the following changes:
I sold an additional small put postion of the 1060 puts for October and also sold more 1130 calls for October. I don't think both of these levels will come into play short term as I think we either break higher above 1130 to move towards 1160 and 1060 is then way out of reach. Or we fail here around the 1122 to 1127 level and move lower. I sold more 1130 than 1060 so I have more calls. I also closed the short 1090 calls and instead sold some 1160 calls for November expiration, getting around 18.50 for those.
On the September options I reduced some risk by buying back the 1110 and 1115 puts when we tested the daily highs and instead sold some 1130 Sep as I need an hedge for some of the short calls in the money at 1120. I also bought back the 1110 Sep calls to reduce some of the long exposure.
I now have basically now have short calls for October at 1100, 1120 and 1130.
Short puts for October at 1040, 1060 and 1080. November I have 1140, 1150 and 1160 calls. I also have 1120 and 1130 puts for expiration Friday as a hedge that I will most likely make futher changes to Wednesday as they are just meant as short term hegdes if 1123 breaks, which I don't see that likely today.
Think we need to see a correction lower before a move higher.
I also have the VIX position where I sold the October 30 calls and bot the Nov 27.50 calls at a ratio of 1X1.
My bias is to have mostly short calls and trade long against these calls, a few reasons why I like that approach is that you are less exposed to quick down moves and volatility expansion.
Remember to watch Tuesday's Top Notch:
http://mrtopstep.com/2010/09/14/top-notch-key-levels/
That is all for today, Good luck and take care.
This price action is see as weak and would not be suprised to see a move lower Wednesday and at least to close the 1105.75 gap from Friday last week. We also have a gap down at 1054.25 from 31st of August worth keeping in mind.
As far as the trading goes I had to make furter adjustments Tuesday.
First of all I had to go long to hedge the short calls and this went well, but when it reversed I was stuck long, so the earlier gains in the morning got reduced and made 3 points total trading long in the futures.
For the options I made the following changes:
I sold an additional small put postion of the 1060 puts for October and also sold more 1130 calls for October. I don't think both of these levels will come into play short term as I think we either break higher above 1130 to move towards 1160 and 1060 is then way out of reach. Or we fail here around the 1122 to 1127 level and move lower. I sold more 1130 than 1060 so I have more calls. I also closed the short 1090 calls and instead sold some 1160 calls for November expiration, getting around 18.50 for those.
On the September options I reduced some risk by buying back the 1110 and 1115 puts when we tested the daily highs and instead sold some 1130 Sep as I need an hedge for some of the short calls in the money at 1120. I also bought back the 1110 Sep calls to reduce some of the long exposure.
I now have basically now have short calls for October at 1100, 1120 and 1130.
Short puts for October at 1040, 1060 and 1080. November I have 1140, 1150 and 1160 calls. I also have 1120 and 1130 puts for expiration Friday as a hedge that I will most likely make futher changes to Wednesday as they are just meant as short term hegdes if 1123 breaks, which I don't see that likely today.
Think we need to see a correction lower before a move higher.
I also have the VIX position where I sold the October 30 calls and bot the Nov 27.50 calls at a ratio of 1X1.
My bias is to have mostly short calls and trade long against these calls, a few reasons why I like that approach is that you are less exposed to quick down moves and volatility expansion.
Remember to watch Tuesday's Top Notch:
http://mrtopstep.com/2010/09/14/top-notch-key-levels/
That is all for today, Good luck and take care.
mandag 13. september 2010
Monday 13th of September
New week and new opportunities.
Equities higher on BASEL 3 news and good economic data from China. Turkish referendum also a positive. S&P futures gapping 10.25 points on the open and closed fairly close to the open, 1 point higher than the open. Looking like a doji on daily chart.
Big resistance up at 1122 and 1127. See MrTopstep video:
http://mrtopstep.com/2010/09/13/whatcha-gonna-do/
As for trading it was a relatively busy day. As I have plenty of short calls from 1090 and up, so I had to stay on the long side to protect the upside. Fairly active day with 16 trades in the ES for 16 points gain total and made 15 adjustments to the options portfolio.
The gap higher forced me to make quite a few changes that would have not be done in a non gapping market. Basically had to sell a bit more premium (selling short term puts and also some long term calls) to make up for the lack of long delta on the gap and also close out some of the way out of the money puts to reduce the risk if we see a big swing lower. Which I still think could happen as long as 1128 resistance holds. I always try to make sure I take off puts and calls that have very little comparative value left and especially if they are far away from the current price to allow me to sell something that is either closer to market or just take some risk off if it were to make a big move. Last thing I want to happen is to have an option that I have sold at 25 points and suddenly has a value of 5 points with a few months to go stuck in my portfolio. I prefer to then take profit to avoid this option coming into play again. Make more sense to me then to sell something with much higher Theta instead then to grind out those last 5 points.
Ok, back to the adjustments I made:
I closed the short 1090 calls and 1090 puts for Sep. I also closed the 1110 calls for Sep. I took profit on the 1100 puts for Sep (bot back at 2.80 or so) and 1030 for October (bot back around 7 points). Instead I sold 1060 puts for October, getting on avg. 10.75 points for those. Sold some more call options at 1140 and 1150 for Nov, which is basically above the 1128 key resistance area with some margin and I assume if this level breaks, the downside puts can be bot back cheap.
That is the logic for selling those levels. I also added some 1120 puts for Friday, just to make up for the lack of long delta on the gap higher on the open. Will most likely close them out in the next few sessions, was more a short theta short term play. I am at the moment still Delta minus, meaning I am short in real terms overall.
Would not be surprised to see a dip overnight and possibly that gap at 1105.75 to be closed sometime over the next few sessions, so I will most likely remain short biased for the next few sessions unless that 1122 and possibly 1128 resistance levels breaks.
That is it for now, time to watch the Nadal - Djokovic US Open Final, good night.
Equities higher on BASEL 3 news and good economic data from China. Turkish referendum also a positive. S&P futures gapping 10.25 points on the open and closed fairly close to the open, 1 point higher than the open. Looking like a doji on daily chart.
Big resistance up at 1122 and 1127. See MrTopstep video:
http://mrtopstep.com/2010/09/13/whatcha-gonna-do/
As for trading it was a relatively busy day. As I have plenty of short calls from 1090 and up, so I had to stay on the long side to protect the upside. Fairly active day with 16 trades in the ES for 16 points gain total and made 15 adjustments to the options portfolio.
The gap higher forced me to make quite a few changes that would have not be done in a non gapping market. Basically had to sell a bit more premium (selling short term puts and also some long term calls) to make up for the lack of long delta on the gap and also close out some of the way out of the money puts to reduce the risk if we see a big swing lower. Which I still think could happen as long as 1128 resistance holds. I always try to make sure I take off puts and calls that have very little comparative value left and especially if they are far away from the current price to allow me to sell something that is either closer to market or just take some risk off if it were to make a big move. Last thing I want to happen is to have an option that I have sold at 25 points and suddenly has a value of 5 points with a few months to go stuck in my portfolio. I prefer to then take profit to avoid this option coming into play again. Make more sense to me then to sell something with much higher Theta instead then to grind out those last 5 points.
Ok, back to the adjustments I made:
I closed the short 1090 calls and 1090 puts for Sep. I also closed the 1110 calls for Sep. I took profit on the 1100 puts for Sep (bot back at 2.80 or so) and 1030 for October (bot back around 7 points). Instead I sold 1060 puts for October, getting on avg. 10.75 points for those. Sold some more call options at 1140 and 1150 for Nov, which is basically above the 1128 key resistance area with some margin and I assume if this level breaks, the downside puts can be bot back cheap.
That is the logic for selling those levels. I also added some 1120 puts for Friday, just to make up for the lack of long delta on the gap higher on the open. Will most likely close them out in the next few sessions, was more a short theta short term play. I am at the moment still Delta minus, meaning I am short in real terms overall.
Would not be surprised to see a dip overnight and possibly that gap at 1105.75 to be closed sometime over the next few sessions, so I will most likely remain short biased for the next few sessions unless that 1122 and possibly 1128 resistance levels breaks.
That is it for now, time to watch the Nadal - Djokovic US Open Final, good night.
fredag 10. september 2010
Friday 10th of September
The S&P futures closed marginally down on the day and it was an inside day in technical terms. Meaning we traded inside the previous day's range.
Some observations that I outlined in my daily report that is worth repeating:
(ES) Falling resistance from April highs' was broken yesterday and was coming in at 1098, which held as support today. Previous resistance line, now future support?
- (ES) the gap at 1108.25 has not been closed yet since the December contract is now front month and we also have open gap at 1054.25
- Gold futures (GC) closed below the 32 days long uptrend from July low
- VXX is approaching that 17.84 low it bottomed out at in April when we had the S&P futures high at 1212. Right before the sell off started. Are the markets too complacent now?
- Euro was not following the ES higher in the last few days, both Euro and GBPUSD relatively weak this week even though ES closed up more than 10 points on the weak. Euro down about 210 pips on the week.
- The 10 year Treasury futures closed at 123’12.5 below the 50 day moving average (123’13.0) today, first time since April. We have -3 sigma at 122’30.0
Trading wise I did the following today:
I close the RIG back spread for October at close to 100% profit after RIG spiked higher, thank you very much.
Traded to the long side for 3 points in the S&P futures (ES).
Added a VIX futures options structure, I bought the November 27.50 call and sold the October 30 call at a ratio 1x1 (meaning 1 structure involved selling 1 contract and buying 1 contract of each leg), paying a net 1.90 per structure.
My logic for doing something in the VIX is that we are approaching that low in VXX that we have when the market topped out in April at 1212 in ES.
See link for chart on VXX.
http://www.charthub.com/images/2010/09/10/Untitled_1_2.png
I will most likely make further changes to the options portfolio start of next week to take some of the September options off (close them out) to reduce the risk as we probably will see increased volatility next week. Remember that we want to scale out of the options when volatility drops to levels where the option is so cheap that it makes no sense to hang on for the last few points and instead add other options that has higher premium.
Have a great weekend, take care
Some observations that I outlined in my daily report that is worth repeating:
(ES) Falling resistance from April highs' was broken yesterday and was coming in at 1098, which held as support today. Previous resistance line, now future support?
- (ES) the gap at 1108.25 has not been closed yet since the December contract is now front month and we also have open gap at 1054.25
- Gold futures (GC) closed below the 32 days long uptrend from July low
- VXX is approaching that 17.84 low it bottomed out at in April when we had the S&P futures high at 1212. Right before the sell off started. Are the markets too complacent now?
- Euro was not following the ES higher in the last few days, both Euro and GBPUSD relatively weak this week even though ES closed up more than 10 points on the weak. Euro down about 210 pips on the week.
- The 10 year Treasury futures closed at 123’12.5 below the 50 day moving average (123’13.0) today, first time since April. We have -3 sigma at 122’30.0
Trading wise I did the following today:
I close the RIG back spread for October at close to 100% profit after RIG spiked higher, thank you very much.
Traded to the long side for 3 points in the S&P futures (ES).
Added a VIX futures options structure, I bought the November 27.50 call and sold the October 30 call at a ratio 1x1 (meaning 1 structure involved selling 1 contract and buying 1 contract of each leg), paying a net 1.90 per structure.
My logic for doing something in the VIX is that we are approaching that low in VXX that we have when the market topped out in April at 1212 in ES.
See link for chart on VXX.
http://www.charthub.com/images/2010/09/10/Untitled_1_2.png
I will most likely make further changes to the options portfolio start of next week to take some of the September options off (close them out) to reduce the risk as we probably will see increased volatility next week. Remember that we want to scale out of the options when volatility drops to levels where the option is so cheap that it makes no sense to hang on for the last few points and instead add other options that has higher premium.
Have a great weekend, take care
Thursday 9th of September
That gap at 1108.25 in ES (S&P futures) was finally closed Thursday on September and the market opened higher following better US weekly jobless claims data. But since we moved to the Decemeber as front month and that is about 5 points lower the gap is actually still open. So the gaps to look for are 1108.25 and 1054.25.
Were a lot of traders rolling their positions to December contract and it turned out to be a range bound session.
Good summary of the day by Mr. Topstep, see link: http://mrtopstep.com/2010/09/09/big-roll-in-sp/
On the trading front I was caught a bit too short on the spike up on the weekly claims and had to make some changes based on that. I took profit on the short 1070 and 1080 calls to make sure I didn't have to worry about them if the market breaks lower as they were just valued at 2.50 and 4.5 respectively it made sense to close them and sell some 1110 short puts instead to get more premium out closer to market, so a larger move will not suddenly make some out of the money puts rise tremendously in value.
I made about 9 points trading long in the future on the day, but it was still not enough to make up for the rise in value on the outstanding calls. I did also sell a bit more 1120 calls for October and also added a new 1130 short calls to the portfolio. I also closed the 1090 in the money short calls I had for September for a loss, but of course that loss has been traded in long on the futures side, so I am not left with straddle at 1110 for expiration 17th of September, with more short calls at 1100 for same data. Also have some 1090 short puts for 17th of September. For October expiration I have 1090's, 1100, 1120 and 1130's short calls and to the downside I have 1040 and 1030 puts. Very little economic data Friday, so not sure we will see any major move, so hopefully I can leave current portfolio over the weekend and start to move some to the September calls off the portfolio start of next week. Have a nice day
Were a lot of traders rolling their positions to December contract and it turned out to be a range bound session.
Good summary of the day by Mr. Topstep, see link: http://mrtopstep.com/2010/09/09/big-roll-in-sp/
On the trading front I was caught a bit too short on the spike up on the weekly claims and had to make some changes based on that. I took profit on the short 1070 and 1080 calls to make sure I didn't have to worry about them if the market breaks lower as they were just valued at 2.50 and 4.5 respectively it made sense to close them and sell some 1110 short puts instead to get more premium out closer to market, so a larger move will not suddenly make some out of the money puts rise tremendously in value.
I made about 9 points trading long in the future on the day, but it was still not enough to make up for the rise in value on the outstanding calls. I did also sell a bit more 1120 calls for October and also added a new 1130 short calls to the portfolio. I also closed the 1090 in the money short calls I had for September for a loss, but of course that loss has been traded in long on the futures side, so I am not left with straddle at 1110 for expiration 17th of September, with more short calls at 1100 for same data. Also have some 1090 short puts for 17th of September. For October expiration I have 1090's, 1100, 1120 and 1130's short calls and to the downside I have 1040 and 1030 puts. Very little economic data Friday, so not sure we will see any major move, so hopefully I can leave current portfolio over the weekend and start to move some to the September calls off the portfolio start of next week. Have a nice day
torsdag 9. september 2010
Wednesday 8th of September
Good day.
Quite slow day Wednesday as the S&P recovered from the weakness seen in Asia and opened at 1092 trading up to high of 1103. Remember we have that falling resistance from the April highs coming in that 1102 area and it was not really able to break clean above this level. Still have the gap at 1108.25 from 11th of August to be filled and the 1054.525 gap from 31st of August as well to be filled.
Seems to be more and more people calling for a move lower based seasonals that market is normally weak in September and October. However I am not so sure, I see this week's price action and the reaction around this 1100 to 1110 areas as key. Although the key upside level to break for the bulls is 1126.50, I reckon that if 1110 gives way it could be testing 1126.50 rather quickly. On the downside I see 1080 as key support and a daily close below this level opens for a move lower again and that 1037 level is of course key support level.
As for the trading, Wednesday I made 2 points on the futueres net, trading long and short, still a bit reluctant to chase it above 1100 as that key resistance zone has contained the upside well so far.
The only change I made to the options was to sell 1120 calls for October for 16.25 points and selling 1080 put for September for 8.50 points. I did close the 1050 puts for a nice profit, was kind of a roll to the 1080 puts to get a bit more premium in and leaving more gap between the 1070 to the 1040 puts in case we have a move lower. Still have most exposure to the upside above 1100 basically with calls at 1110 and 1120. Will look to make adjustments when we move out of the 1090 to 1105 range.
Have a nice day
Quite slow day Wednesday as the S&P recovered from the weakness seen in Asia and opened at 1092 trading up to high of 1103. Remember we have that falling resistance from the April highs coming in that 1102 area and it was not really able to break clean above this level. Still have the gap at 1108.25 from 11th of August to be filled and the 1054.525 gap from 31st of August as well to be filled.
Seems to be more and more people calling for a move lower based seasonals that market is normally weak in September and October. However I am not so sure, I see this week's price action and the reaction around this 1100 to 1110 areas as key. Although the key upside level to break for the bulls is 1126.50, I reckon that if 1110 gives way it could be testing 1126.50 rather quickly. On the downside I see 1080 as key support and a daily close below this level opens for a move lower again and that 1037 level is of course key support level.
As for the trading, Wednesday I made 2 points on the futueres net, trading long and short, still a bit reluctant to chase it above 1100 as that key resistance zone has contained the upside well so far.
The only change I made to the options was to sell 1120 calls for October for 16.25 points and selling 1080 put for September for 8.50 points. I did close the 1050 puts for a nice profit, was kind of a roll to the 1080 puts to get a bit more premium in and leaving more gap between the 1070 to the 1040 puts in case we have a move lower. Still have most exposure to the upside above 1100 basically with calls at 1110 and 1120. Will look to make adjustments when we move out of the 1090 to 1105 range.
Have a nice day
onsdag 8. september 2010
Tuesday 7th of September
Little to report for Tuesday, generally slow day.
The S&P futures made an initial push higher overnight Tuesday, but it was never able to reach that 1108.25 level that is the gap from the 11th of August low. The gap from Thursday down at 1090.50 was closed in today, so the next downside gap is 1054.25 now from 31st of August.
Trading wise I did very little today as the market was more or less rangebound. I did took off a bit of the hedge on the long calls at 1094.25 as it looked to go lower, I figured it was less need to hedge the upside and I additionally sold 1110 calls for 17th of September.
Expect more action Wednesday.
The S&P futures made an initial push higher overnight Tuesday, but it was never able to reach that 1108.25 level that is the gap from the 11th of August low. The gap from Thursday down at 1090.50 was closed in today, so the next downside gap is 1054.25 now from 31st of August.
Trading wise I did very little today as the market was more or less rangebound. I did took off a bit of the hedge on the long calls at 1094.25 as it looked to go lower, I figured it was less need to hedge the upside and I additionally sold 1110 calls for 17th of September.
Expect more action Wednesday.
fredag 3. september 2010
Friday 3rd of September
Good evening, willl keep it short on this Friday evening as the weekend is around the corner and have an early flight to catch tomorrow morning.
First of all my predictions from earlier this week turned out to be right that S&P futures would break out of the 1037 to 1098.50 range before Tuesday next week and also that 1037 should be a bottom near term and it should go up to the top of the recent range. Both proved right and I am sitting and wondering what will happen next? I see two possible scenarios. First scenario is a total take off and break above 1126.75 and new highs for the year above 1212. Other scenario is for a reverals back into the range, with a possible false break above 1108.50 or even 1126.75 before going lower. Max pain for most traders would probably be a break above 1126.75 to take out short stops and get traders long and then reverse back lower leaving the shorts out of the move and the longs in losing positions. I like to always look at what would cause the most problems for traders and note that down for possible future reference. For the moment it looks bullish, so my best guess is for a continued upmove near term, but we have a huge resistance area from 1104 to 1108.50 that must be broken first. There has been of course a significant move higher last week and correction should be normal, but what is normal about the recent markets moves?
As for today's trading I had to make several adjustments. First I took more profit on the short puts I had outstanding, closing the remainding 1050 and 1090 short puts for a nice profit. I also had a bit too much short calls on, so need to balance the delta a bit, selling 1070 and 1080 puts. Also sold some 1100 puts for September, right after the NFP release to make the 1100 short calls (that I already had on) into a short straddle instead of an outright short call position.
I also sold 1110 calls for September expiration as it made sense to have something just above the key 1104 to 1108.50 resistance zone. I had to take off some of the 1090 short calls that, which was somewhat hedged, for a loss as the exposure around the 1090 level was a bit high. Although, I still have a few 1090 short calls for September and tiny postion with 1090 calls for October. Sold more 1120 calls for October as it make sense to be short calls with effective break even above the 1126.75 last reaction high level. The reason being that if 1126.75 breaks (key level and August high) the 1030 and 1040 short puts I have will fall in value considerably and the volatility will drop as well, making the short puts and calls portfolio profit from the drop in volatility. Last by not least I made 7.6 points on ES trading to the long side all trades except one trade.
Could certainly been more aggressive to the long side after the dip towards 1093.50, but my strategy was to trade long towards 1103 or so then to leave it for a possible failure at that 1104 to 1106 resistance, which it did initially, but should have gone long again when the reversal bars showed up after the 1093 level held. But as the saying goes: "If ifs and buts were candy and nuts, we’d all have a merry Christmas” (Don Meredith)
Wish you all a great weekend, take care.
First of all my predictions from earlier this week turned out to be right that S&P futures would break out of the 1037 to 1098.50 range before Tuesday next week and also that 1037 should be a bottom near term and it should go up to the top of the recent range. Both proved right and I am sitting and wondering what will happen next? I see two possible scenarios. First scenario is a total take off and break above 1126.75 and new highs for the year above 1212. Other scenario is for a reverals back into the range, with a possible false break above 1108.50 or even 1126.75 before going lower. Max pain for most traders would probably be a break above 1126.75 to take out short stops and get traders long and then reverse back lower leaving the shorts out of the move and the longs in losing positions. I like to always look at what would cause the most problems for traders and note that down for possible future reference. For the moment it looks bullish, so my best guess is for a continued upmove near term, but we have a huge resistance area from 1104 to 1108.50 that must be broken first. There has been of course a significant move higher last week and correction should be normal, but what is normal about the recent markets moves?
As for today's trading I had to make several adjustments. First I took more profit on the short puts I had outstanding, closing the remainding 1050 and 1090 short puts for a nice profit. I also had a bit too much short calls on, so need to balance the delta a bit, selling 1070 and 1080 puts. Also sold some 1100 puts for September, right after the NFP release to make the 1100 short calls (that I already had on) into a short straddle instead of an outright short call position.
I also sold 1110 calls for September expiration as it made sense to have something just above the key 1104 to 1108.50 resistance zone. I had to take off some of the 1090 short calls that, which was somewhat hedged, for a loss as the exposure around the 1090 level was a bit high. Although, I still have a few 1090 short calls for September and tiny postion with 1090 calls for October. Sold more 1120 calls for October as it make sense to be short calls with effective break even above the 1126.75 last reaction high level. The reason being that if 1126.75 breaks (key level and August high) the 1030 and 1040 short puts I have will fall in value considerably and the volatility will drop as well, making the short puts and calls portfolio profit from the drop in volatility. Last by not least I made 7.6 points on ES trading to the long side all trades except one trade.
Could certainly been more aggressive to the long side after the dip towards 1093.50, but my strategy was to trade long towards 1103 or so then to leave it for a possible failure at that 1104 to 1106 resistance, which it did initially, but should have gone long again when the reversal bars showed up after the 1093 level held. But as the saying goes: "If ifs and buts were candy and nuts, we’d all have a merry Christmas” (Don Meredith)
Wish you all a great weekend, take care.
torsdag 2. september 2010
Thursday 2nd of September
The final performance data shows a +7.89% on the futures program for August, which was a new record monthly gain, very nice.
Another up day in the S&P futures, closing up 8.25 points or 0.76% on the day. The price action was mostly just drifting higher with some smaller retracements. After the test lower at the open held 1079, it was basically trading to the upside for the rest of the day, with an extra push higher towards the close to barely break the 1090 level, making a high at 1090.50 on the day. Weekly claims was a bit better than expected coming out at 472k and Pending Homes Sales came out +0.4% vs. the -1.2% expected. As I mentioned a few days back I thought the after the 1037 level held for the 3rd time we should get a move towards the upper end of the 1037 to 1098.50 recent range. We are basically in the upper end of this range now. I see key resistance levels being: 1098.50 (last reaction high), 1104 (falling resistance from the 2010 high), and 1126.75 (August high). The big level for a break out higher is 1126.75.
The expectations for tomorrow's NFP report is -101K and ISM non-manufacturing PMI is 53.6.
As we saw with ISM on Wednesday, it is not only the NFP report that can move the market aggressively, so tomorrow we have 2 big event risks. I personally think the market had priced in a weak number at the start of the week, but the focus has been more for a possible better number and also the expectations for more QE at the next FED meeting fueling the drive higher.
We have once again seen decent swings over the last week. Opened the ES on Monday at 1060, down to 1037 and back up to 1090 today. Trading wise these swings forced me to make some adjustments on the portfolio. On the futures side I made 8 points on the day trading long only to hedge my short calls, which was ok, given that it closed up 8.25 points. However since I had calls from 1070, 1080, 1090 and 1100 the gain on the futures was not enough to offset the loss on the futures, so ended the day more or less flat in valuation terms. To balance the risk going into the NFP report I made several adjustements on the options. First of all I bot back the 1070 and 1080 Sep calls losing 34.50 points all inn. I bot back the short puts 1070 and 1080 for expiration tomorrow making 6 points. I also bot back the 1040 and some 1050 puts to reduce the exposure in case we sell off big, make 26 points on those puts.
Then I certainly don't want to leave some cheap puts open to make the last few points out of them. No, I rather take profit and issue new puts that is much close to the market paying a higher premium and then have more room to sell the 1050 and 1040 puts again if we go lower. It is all about having an escape route and possiblity to add more in case it moves directional and don't have to defend against positions that was almost worthless some days ago. Ok this is what I did. I sold 1120 calls for October 15th, added a very small 1040 short puts position for October 15, remember I now have 1030 and 1040 short puts for October. 1040 is the key support level, so makes sense to sell some there, of course will hedge short with futures if we get down there. I have 1.4 as much call exposure as puts at the moment. I sold 1090, 1070 put and 1060 puts for September 17th to balance the delta a bit more. The mass of the positions are now located from 1090 and to 1100. So might have to make several adjustments if we spike higher and start going up and down that range. Have above 8 points per day in premium for the September options and 3.6 per day on the October options. Delta is -12 on the positions at the moment, meaning I am slightly short in real terms. I would like to add if 1065 break tomorrow I think it will head to break 1037, however if 1098.50 breaks I favor a run towards 1130 and possibly higher near term. Big day tomorrow, good luck.
Another up day in the S&P futures, closing up 8.25 points or 0.76% on the day. The price action was mostly just drifting higher with some smaller retracements. After the test lower at the open held 1079, it was basically trading to the upside for the rest of the day, with an extra push higher towards the close to barely break the 1090 level, making a high at 1090.50 on the day. Weekly claims was a bit better than expected coming out at 472k and Pending Homes Sales came out +0.4% vs. the -1.2% expected. As I mentioned a few days back I thought the after the 1037 level held for the 3rd time we should get a move towards the upper end of the 1037 to 1098.50 recent range. We are basically in the upper end of this range now. I see key resistance levels being: 1098.50 (last reaction high), 1104 (falling resistance from the 2010 high), and 1126.75 (August high). The big level for a break out higher is 1126.75.
The expectations for tomorrow's NFP report is -101K and ISM non-manufacturing PMI is 53.6.
As we saw with ISM on Wednesday, it is not only the NFP report that can move the market aggressively, so tomorrow we have 2 big event risks. I personally think the market had priced in a weak number at the start of the week, but the focus has been more for a possible better number and also the expectations for more QE at the next FED meeting fueling the drive higher.
We have once again seen decent swings over the last week. Opened the ES on Monday at 1060, down to 1037 and back up to 1090 today. Trading wise these swings forced me to make some adjustments on the portfolio. On the futures side I made 8 points on the day trading long only to hedge my short calls, which was ok, given that it closed up 8.25 points. However since I had calls from 1070, 1080, 1090 and 1100 the gain on the futures was not enough to offset the loss on the futures, so ended the day more or less flat in valuation terms. To balance the risk going into the NFP report I made several adjustements on the options. First of all I bot back the 1070 and 1080 Sep calls losing 34.50 points all inn. I bot back the short puts 1070 and 1080 for expiration tomorrow making 6 points. I also bot back the 1040 and some 1050 puts to reduce the exposure in case we sell off big, make 26 points on those puts.
Then I certainly don't want to leave some cheap puts open to make the last few points out of them. No, I rather take profit and issue new puts that is much close to the market paying a higher premium and then have more room to sell the 1050 and 1040 puts again if we go lower. It is all about having an escape route and possiblity to add more in case it moves directional and don't have to defend against positions that was almost worthless some days ago. Ok this is what I did. I sold 1120 calls for October 15th, added a very small 1040 short puts position for October 15, remember I now have 1030 and 1040 short puts for October. 1040 is the key support level, so makes sense to sell some there, of course will hedge short with futures if we get down there. I have 1.4 as much call exposure as puts at the moment. I sold 1090, 1070 put and 1060 puts for September 17th to balance the delta a bit more. The mass of the positions are now located from 1090 and to 1100. So might have to make several adjustments if we spike higher and start going up and down that range. Have above 8 points per day in premium for the September options and 3.6 per day on the October options. Delta is -12 on the positions at the moment, meaning I am slightly short in real terms. I would like to add if 1065 break tomorrow I think it will head to break 1037, however if 1098.50 breaks I favor a run towards 1130 and possibly higher near term. Big day tomorrow, good luck.
onsdag 1. september 2010
Wednesday 1st of September
S&P futures (ES) opened up more than 11 points higher today from yesteday's close and basically had a vertical day closing up 33.75 points or 3.22% on the day. Huge run after the release of the ISM data coming in at 56.3 vs. 53.2 expected and manufacturing prices much higher than expected at 61.5 vs. 55.5. The S&P basically moved 8 points on that release, which is very large move for ISM to be. The move higher in S&P started overnight when Australian GDP and Chinese PMI came in stronger that expected. On tthe other end the US ADP report was 25k weaker than the market consencus, which indicates we will see a weak Nonfarm Payrolls number Friday. I guess the market is already pricing in a weak number and possibly QE also, maybe a major factor for the rally over the last 24 hours?
After the ES bounced off 1040 yesterday, 3rd day over the last week basically, I was looking for a move higher and left my short puts unhedged. However the 1050 straddle I had on was not doing well when the ES gapped up on the ISM release. I had not expected that strong of a move on the ISM and was forced to make several adjustements following the release. Going into the data I had 1050 straddle along with short 1065 puts, as my logic was that is 1065 resistance was taken out it would most likely move higher and leave my short puts some distance off the price and I also expected vols to come down on a move higher. That did exactely happen, however I took about a 12 points loss on those 1065 short calls on the gap, as I decided to close them down. I also closed the 1050 short call, which was part of the straddle. I took profit on the 1020 puts for September as they had gone down to 5 points in price and I don't want to try and squeeze the last points out of them. The reason that I took them off is in case ES would drop big I don't want more short exposure that is giving me only 5 more points, just not worth the risk at the moment. I also sold 1040 puts expiration September. The move higher has now turned around the exposure picture a bit for me. Yesterday I had cleary most USD worth of postions to the downside in form of short puts. Today I have most value to the upside in terms of calls. I have now from 1070 and up to 1100 short calls at every 10 points interval, for expiration September and October. Also added some short term puts just to balance the delta a bit, sold 1080 and 1070 for 3rd of September. I still have the RIG back spread on for October, which has really moved nicely in my favor last 2 sessions. I made above 10 points in the future today, trading long only. Eventhough I was able to pocket some good gains today, the valuation of the calls rose more than what I brought inn, so account value dropped on the day. But in my view we are now at a more stable level and I see less risk of a sharp down turn in this area, so I feel more comfortable sitting around here and focus my trading to the upside. I have plenty of points to play with on the outstanding calls, so it looks rather well for the remainder of the new month. Last but not least that performance of August turned out to be +7.89%, best month so far on the program, very nice. Have a great evening, speak tomorrow.
After the ES bounced off 1040 yesterday, 3rd day over the last week basically, I was looking for a move higher and left my short puts unhedged. However the 1050 straddle I had on was not doing well when the ES gapped up on the ISM release. I had not expected that strong of a move on the ISM and was forced to make several adjustements following the release. Going into the data I had 1050 straddle along with short 1065 puts, as my logic was that is 1065 resistance was taken out it would most likely move higher and leave my short puts some distance off the price and I also expected vols to come down on a move higher. That did exactely happen, however I took about a 12 points loss on those 1065 short calls on the gap, as I decided to close them down. I also closed the 1050 short call, which was part of the straddle. I took profit on the 1020 puts for September as they had gone down to 5 points in price and I don't want to try and squeeze the last points out of them. The reason that I took them off is in case ES would drop big I don't want more short exposure that is giving me only 5 more points, just not worth the risk at the moment. I also sold 1040 puts expiration September. The move higher has now turned around the exposure picture a bit for me. Yesterday I had cleary most USD worth of postions to the downside in form of short puts. Today I have most value to the upside in terms of calls. I have now from 1070 and up to 1100 short calls at every 10 points interval, for expiration September and October. Also added some short term puts just to balance the delta a bit, sold 1080 and 1070 for 3rd of September. I still have the RIG back spread on for October, which has really moved nicely in my favor last 2 sessions. I made above 10 points in the future today, trading long only. Eventhough I was able to pocket some good gains today, the valuation of the calls rose more than what I brought inn, so account value dropped on the day. But in my view we are now at a more stable level and I see less risk of a sharp down turn in this area, so I feel more comfortable sitting around here and focus my trading to the upside. I have plenty of points to play with on the outstanding calls, so it looks rather well for the remainder of the new month. Last but not least that performance of August turned out to be +7.89%, best month so far on the program, very nice. Have a great evening, speak tomorrow.
Tuesday 31st of August
The S&P futures held that 1037 level on 2 occassions yesterday and closed at 1048. It seems clear that the market does not want to break lower and I now favor a drive higher near term. Have resistance at 1065 and 1080 (0 Sigma on daily). I traded only to the short side Tuesday, protecting my short puts at 1030 and 1020 as a break lower would increase volatility and therefore I was giving up some premium to make sure I had a decent gain if price would move towards 1030. However it didn't move lower so I lost on the futures side, but that is ok as it was in the plan. I did sell another 1050 put for September when it failed to break lower since I was short the future, just to collect some more premium. I also sold 1065 calls for expiration on Friday 3rd of September, because I am thinking that if 1065 breaks the puts I have down at 1020 and 1030 will not come into play in the short term picture and the vols would probably come down a bit. Overall I now have 1050 straddle and puts at 1030 and 1020. Very small short call at 1065 for Friday and have short calls at 1070, 1080 and 1090 for September. Also have 1090 and 1100 calls for October. The most value is to the downside and I would like to see 1065 break before I look at hedging anything to the long side. Will come back with the final result for August tomorrow. Have a nice day
mandag 30. august 2010
Monday 30th of August
The S&P futures just closed down 19 points (-1,79%), which is considerably more than what I had expected after Friday's strong close. One postive thing is that the volume today is not that high (1.486m contracts traded vs. 2.451m Friday), so could still be a correction lower following the rally of 6 sigma's on 60min chart (move of 6 standard deviations). A so called "no supply" bar, which is a narrow down bar closing on the lows on volume less than previous two bars. The only slight problem is that the bar is bit too wide to fit that description, but trading is of course no exact science, so with a bit margin for error it could fit the description. I posted the 60min charts this morning on Stocktwits http://chart.ly/btgpx2v , saying it was overbought and pointed out falling resistance from high was coming in at 1068 and was looking for small correction, but never to break 1050 today. At the end of the day, I managed to do ok as I hedged the 1060 puts on the way down and sold a 1060 call for expiration tomorrow when it broke 1057. I closed that 1060 call towards the end of the session for about 2.5 points gain and I also made about 11 points in the futures trading short only. However I did take profit a bit too soon on the short side and missed the last 5 points of the move lower. I did close the FSYS calls early on in the session as I saw them opening at around 4 vs. the 2.75 I bot them for on Friday, was able to get out at 3.80 and 3.90, so that was nice.
At the end of the session I made some adjustments given the weak close. I bot back the 1060 puts for 13.50 points loss, so now only have puts at 1030 and 1020 and a small position at 1050 short put for September. I sold 1050 call for September as well, giving me effectively a 1050 short straddle. I rolled back the 1070 short calls for expiration 3rd September (closed that for 11 points gain) to 17th of September (getting about 10.50 to 11 points for selling them), leaving me with 1070, 1080 and 1090 short calls. Have 1100 short calls for October as well. That was about it for today. Tomorrow is the last day of month, good luck.
At the end of the session I made some adjustments given the weak close. I bot back the 1060 puts for 13.50 points loss, so now only have puts at 1030 and 1020 and a small position at 1050 short put for September. I sold 1050 call for September as well, giving me effectively a 1050 short straddle. I rolled back the 1070 short calls for expiration 3rd September (closed that for 11 points gain) to 17th of September (getting about 10.50 to 11 points for selling them), leaving me with 1070, 1080 and 1090 short calls. Have 1100 short calls for October as well. That was about it for today. Tomorrow is the last day of month, good luck.
Thoughts on the “Bond Bubble”, Equity Sentiment & Doctor Copper
Make sure to ready this article, very interesting:
http://wallstcheatsheet.com/breaking-news/economy/thoughts-on-the-bond-bubble-equity-sentiment-doctor-copper/?p=17315/
http://wallstcheatsheet.com/breaking-news/economy/thoughts-on-the-bond-bubble-equity-sentiment-doctor-copper/?p=17315/
fredag 27. august 2010
Some interesting links from the last week
Kyle Bass, a must to watch: Global Deficits Will Create $4.5 Trillion in New Debt: Hedge Fund Manager http://www.cnbc.com/id/38739845
The Great Deleveraging Lie:http://www.zerohedge.com/article/guest-post-great-deleveraging-lie
Weekly Visual CFTC Commitment Of Traders Summary - August 27
http://www.zerohedge.com/article/weekly-visual-cftc-commitment-traders-summary-august-27
The Great Deleveraging Lie:http://www.zerohedge.com/article/guest-post-great-deleveraging-lie
Weekly Visual CFTC Commitment Of Traders Summary - August 27
http://www.zerohedge.com/article/weekly-visual-cftc-commitment-traders-summary-august-27
Friday 27 Aug
Keeping it short on this Friday evening. We had a successful test of that 1037 level in the S&P futures again this morning with huge volume coming in that area, 137k contracts traded on 5min bar. Same low as Wednesday and very similar rally making it a bit higher this time and closing the gap from Monday at 1064.50. If you followed my Tweets today I was mentioning this 1064.50 many times throughtout the day after I saw the big buying on the lows. What does the last few days price action means? In my opinion we are now heading back towards the top of the recent range at 1098.50. In fact the top last week at 1098.50 was also formed following 2 days failure at 1098.50 to the tick, almost the same scenario that happened now, just at the other end of the chart, quite interesting.
So this is what I did today. As I mentioned yesterday I took off some options heading into GDP data, I was expecting a bit bigger move on the release, but that didn't really happen and we had to wait until Bernanke came out on the wires to get some real movement going. Pretty much more of the same from Bernanke, that they will do what ever possible to save growth. Since I had most of the options this morning above the opening price I figured I had to sell a few puts when the buying came in to hedge a bit in case we got a solid rally back towards 1080 and above, where I have the outstanding calls. So, I sold 1020's puts for September when it was about to base. Also closed out the weeklies expiring today quite early in the session as the decay had mostly played out its role. No point trying to desperately make the last few points out of the options on expiration day. That can become very costly if you are wrong on directon and have to hedge them. Since I was a bit more exposed to the downside then normal I had to keep a bit of hedge being short S&P futures on the way up against my 1060 puts from last week. I only hedged about half the short delta, so the rally played out ok for me in the end, but could have been a bit more aggressive towards the long side following what I saw as a clear bottom at 1037. I did one stock options trade, bought the 31 strike calls expiring September in Fuel Systems Solutions (FSYS), paying 2.75 per contract.
At end of the day I basically have short calls in S&P above 1080 and up to 1100 and short puts from 1060 down to 1020. A bit narrow for my liking between some of the strikes, which I will adjust start of next week. I also have a RIG (Transocean) backspread expiring in October that I put on earlier this week, looking for a move back toward 60's.
As of close today, I am up 7.65% on futures and options for this month, which is the best month so far for my program. Have a great weekend, speak Monday, cheers
So this is what I did today. As I mentioned yesterday I took off some options heading into GDP data, I was expecting a bit bigger move on the release, but that didn't really happen and we had to wait until Bernanke came out on the wires to get some real movement going. Pretty much more of the same from Bernanke, that they will do what ever possible to save growth. Since I had most of the options this morning above the opening price I figured I had to sell a few puts when the buying came in to hedge a bit in case we got a solid rally back towards 1080 and above, where I have the outstanding calls. So, I sold 1020's puts for September when it was about to base. Also closed out the weeklies expiring today quite early in the session as the decay had mostly played out its role. No point trying to desperately make the last few points out of the options on expiration day. That can become very costly if you are wrong on directon and have to hedge them. Since I was a bit more exposed to the downside then normal I had to keep a bit of hedge being short S&P futures on the way up against my 1060 puts from last week. I only hedged about half the short delta, so the rally played out ok for me in the end, but could have been a bit more aggressive towards the long side following what I saw as a clear bottom at 1037. I did one stock options trade, bought the 31 strike calls expiring September in Fuel Systems Solutions (FSYS), paying 2.75 per contract.
At end of the day I basically have short calls in S&P above 1080 and up to 1100 and short puts from 1060 down to 1020. A bit narrow for my liking between some of the strikes, which I will adjust start of next week. I also have a RIG (Transocean) backspread expiring in October that I put on earlier this week, looking for a move back toward 60's.
As of close today, I am up 7.65% on futures and options for this month, which is the best month so far for my program. Have a great weekend, speak Monday, cheers
torsdag 26. august 2010
Daily recap Thursday 26 Aug
The S&P started out higher and came within a four points to close the 1064.50 gap from Monday. Had been looking for rally following the solid reversal off that 1037 yesterday morning. That reversal bar had 105K contracts traded on 5min bar, which is some solid volume, especially this time of the year. Then the next bar closed up it became clear to me that somebody was buying the market strongly. Think about the logic. There is no way the market could close way off the lows on a price bar and then contiune up the next bar after a steep drop unless the demand greatly overcome the supply, pushing the price back up. I like to keep track a bit on the volume of the reversal bars, it tends to be in the same regions volume wise often, so it gives you a bit of a clue how much volume on a 5min bar it takes to get a bounce. Tend to see the biggest volume bars on the tops and bottoms on the charts. Have been playing this 1040 to 1130 range for time and follwing the sell off Thursday last week I sold calls as I expected it to go lower towards the lower point of the recent 1040 to 1130 range. Meaning I sold S&P futures calls receiveing a premium that gives me a "stack of chips" so to say, to trade long to hedge these outstanding calls. As we dropped lower throughout this week, I ended up with mostly fairly away out of the money calls, 1090 and higher strikes (with a nice profit) and it made sense to me to add some puts to have a bit more hedge against the calls and get more premium to use for intra day trading. It feels like the most risk at the moment is for a sharp sell off rather than a sharp rise, so the volatility risk on the options pricing is less when I am short calls. Howeve given the quick drop from 1098.50 last week it made sense to take some profits off the table and hedge out with some puts as well. So this morning I was more balanced with calls towards 1070 and up and puts below 1060 and with tomorrow's US GDP coming out it was time to take some risk off the table. I closed most of my open weekly options, which expires tomorrow and moved some into 1090 calls for September and 1070 weekly options expiring next Friday. The weekly claims data came out a bit bettern than expected and caused a spike higher above 1060, but quickly people realized the number was not good enough for any extension of the bounce from yesterday. My strategy for today was to drain more time value out of the weeklies towards US lunch time and then cut back on the exposure. This worked out well and now we just have to sit tight and wait for the release of the US GDP data tomorrow for any major adjustments to be made. Looks like every trader on the planet is looking for a horrible GDP data, so I think bad is pretty much priced in already. Could see a rally if the data is more or less inline with expectations. A very weak number will send S&P below 1036 most likely. Break of 1036 could see things get real ugly quick, so be careful tomorrow. Best of luck
Welcome to our new blog
Hi everybody, the new blog is now up and I will post recaps and experiences from the market on daily basis.
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