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.
Daily blog with thoughts and comments on the futures and forex markets through the eyes of Per-Erik Karlsson, Ceo at Avantage Financial, Switzerland.
mandag 30. august 2010
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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