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
Daily blog with thoughts and comments on the futures and forex markets through the eyes of Per-Erik Karlsson, Ceo at Avantage Financial, Switzerland.
fredag 17. september 2010
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
Abonner på:
Innlegg (Atom)