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