New multi month high in the S&P futures (ES) making a high of 1182.25. However it looks like a no demand bar being a narrow up bar closing on the highs with relatively low volume, at least lower than previous 2 bars. The lower the volume is the stronger the likelihood of a no demand bar. The confirmation of the no demand bar should be a wide down bar on increasing volume within the next 2 sessions.
The key resistance levels I see are 1198 and 1207, to the downside I have 1150 and 1127. To keep it simple one can say that as long as we don't have a daily close below 1163 the outlook is bullish and for a test of 1198 to 1207. Trading wise I made 14 points in the S&P futures trading mostly to the long side. Also the volatility dropped and short options lost value and theta so at the end of the day the portfolio rose 1.79%, pretty good.
I made no adjustments to the options portfolio in the ES.
However I did an earnings play on Apple (APPL).
I bot the 22OCT expiration strike at 320 x1, sold 2x330 22OCT call and bot 1x 22OCT 340 calls, for a debit of 1.24 per contract. Need a decent up move for this structure to make money on the earnings from Apple after today's close.
That is all for now, take care.
Daily blog with thoughts and comments on the futures and forex markets through the eyes of Per-Erik Karlsson, Ceo at Avantage Financial, Switzerland.
onsdag 20. oktober 2010
mandag 18. oktober 2010
Friday 15th of October
Wow, Google hits it out the park and the options I bot for 2.09 was sold for 26.6. More than 12 times the risk, just pure luck I have to say.
Options expirations today and we had fair amount of volume getting done trading 2.644m contracts in the S&P Emini futures(ES) today.
In (ES) the 1162.50 low from yesterday held in the opening hour and once traders realized that level would not break (after testing 1163) it shoot higher to test 1180 towards the close, making a high at 1179.
I continue to note that key resistance to the upside are 1198 and 1207 and key support are 1151 and 1127.
I lost 12.25 points in the futures as I was trading short term against both puts and calls around the 1170 and 1165 levels that I traded on intraday basis.
I made up more than for the loss in the value decline and expirations of the short options and the portfolio rose 1.63% on the day.
Would also like to remind that we had more POMO today and more on Monday as well, which have been supportive for stocks.
See NY Fed POMO schedule here:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
Good basic information on how POMO works:
http://www.datadiary.com.au/2010/09/29/how-the-pomo-works-treasuries-and-the-fat-kid-who-wont-play-fair/
Here is today's Mr Topstep as well:
http://mrtopstep.com/2010/10/15/googles-gangbuster-earnings-and-options-expiration-wrestling-the-sp/
Have a nice weekend, hoping to see a fairly flat open on Monday morning and more theta (time value) flushing out the window, take care.
Options expirations today and we had fair amount of volume getting done trading 2.644m contracts in the S&P Emini futures(ES) today.
In (ES) the 1162.50 low from yesterday held in the opening hour and once traders realized that level would not break (after testing 1163) it shoot higher to test 1180 towards the close, making a high at 1179.
I continue to note that key resistance to the upside are 1198 and 1207 and key support are 1151 and 1127.
I lost 12.25 points in the futures as I was trading short term against both puts and calls around the 1170 and 1165 levels that I traded on intraday basis.
I made up more than for the loss in the value decline and expirations of the short options and the portfolio rose 1.63% on the day.
Would also like to remind that we had more POMO today and more on Monday as well, which have been supportive for stocks.
See NY Fed POMO schedule here:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
Good basic information on how POMO works:
http://www.datadiary.com.au/2010/09/29/how-the-pomo-works-treasuries-and-the-fat-kid-who-wont-play-fair/
Here is today's Mr Topstep as well:
http://mrtopstep.com/2010/10/15/googles-gangbuster-earnings-and-options-expiration-wrestling-the-sp/
Have a nice weekend, hoping to see a fairly flat open on Monday morning and more theta (time value) flushing out the window, take care.
Thursday 14th of October
S&P futures (ES) traded weaker from the open and then put in a strong rally in the last 45 min as market was looking for strong number from Google that reported after the bell. It closed 0.75 points lower at 1173.50 on the day, which was a good 11 points off the low.
Trading wise I lost 2 points in the futures, but the recovery into the close left me a bit standing and was not enough long on the rally, so the short calls increased value and the portfolio ended -1.13% on the day.
Another reason for the fall in the portfolio was the increase in volatility on the options that expire tomorrow (Friday), which is normal when you get closer to expiration.
On the options side I did the following changes:
I bot back some of the 1170 and 1180 that I sold early on the in the session, that I sold when it broke 1170. So took profit on those and sold some November
1200 calls, getting 15 to 15.50 for those.
I also put on a spread in VIX, buying he Dec 20 call and selling the Nov 25 call paying 4.55 per contract.
I also bot very small positions in 570 calls in Google for 2.09 that expires tomorrow, basically need a big move in Google on the earnings for this trade to pay off.
That is all for now, have a good night
Trading wise I lost 2 points in the futures, but the recovery into the close left me a bit standing and was not enough long on the rally, so the short calls increased value and the portfolio ended -1.13% on the day.
Another reason for the fall in the portfolio was the increase in volatility on the options that expire tomorrow (Friday), which is normal when you get closer to expiration.
On the options side I did the following changes:
I bot back some of the 1170 and 1180 that I sold early on the in the session, that I sold when it broke 1170. So took profit on those and sold some November
1200 calls, getting 15 to 15.50 for those.
I also put on a spread in VIX, buying he Dec 20 call and selling the Nov 25 call paying 4.55 per contract.
I also bot very small positions in 570 calls in Google for 2.09 that expires tomorrow, basically need a big move in Google on the earnings for this trade to pay off.
That is all for now, have a good night
fredag 15. oktober 2010
Wednesday 13th of October
S&P futures (ES) gapping 7.50 points on the open and making a trading to 1181, which is the highest level since 4th of May. The next key resistance levels are 1198 and 1207 and to the downside we have 1151 and 1127 for now. Remember that we options expiratons this Friday and normally we have one down during the options expirations week.
Trading wise I made 35 points in the ES futures today, but since I had fair amount of short calls the overall performance for the day was -0,67%.
On the options side I closed some of the short October 1130, 1140 and 1150 puts as the value of these options was so low that no point keeping them on in case we would get a large down move and these would come into play, a major risk that I don't want to take. I also took profit on the 1080 outstanding puts, buying them back for 5.75 points and selling some Nov. 1130 puts for 12.25 instead to get some more premium.
I did sell some 1170 puts for expiration Friday instead to protect a bit against a run higher towards my 1190 calls. I sold sell some more 1180 calls for November 19th, getting 24 and 25's for those and combined that sell with selling some Nov. 1190 for 20 points as well.
I also took profit on the CSX 55 calls that I bot yesterday, closing them at 5.55 for a nice 45% gain, thank you very much.
That is all for now, take care.
Trading wise I made 35 points in the ES futures today, but since I had fair amount of short calls the overall performance for the day was -0,67%.
On the options side I closed some of the short October 1130, 1140 and 1150 puts as the value of these options was so low that no point keeping them on in case we would get a large down move and these would come into play, a major risk that I don't want to take. I also took profit on the 1080 outstanding puts, buying them back for 5.75 points and selling some Nov. 1130 puts for 12.25 instead to get some more premium.
I did sell some 1170 puts for expiration Friday instead to protect a bit against a run higher towards my 1190 calls. I sold sell some more 1180 calls for November 19th, getting 24 and 25's for those and combined that sell with selling some Nov. 1190 for 20 points as well.
I also took profit on the CSX 55 calls that I bot yesterday, closing them at 5.55 for a nice 45% gain, thank you very much.
That is all for now, take care.
onsdag 13. oktober 2010
Tuesday 12th of October
The ES dipped on the open and actually tested the Friday day session low at 1151.50 and when that level held on decent volume it rebounded higher and basically traded higher for the rest of the day, testing 1169 late in the session, but failed to break 1170 and fell back to close at 1164.50.
We have now broken above that 1163.50 key resistance level, which was the post flash crash high from 13th of May.
The next resistance levels are now 1198 and 1207, see chart link:
http://chart.ly/acxt2dt
ES has had a nice and long move to the upside since we bottomed at 1032 in August, but the hourly chart does still not show a clear top yet. I am looking for either a blow out reversal bar on extreme volume or a down bar on highly increased volume to show that sellers have taken over. I have not seen any of those yet to be honest.
Also remember that we have options expirations this week and statically it tends to be heading higher towards Friday and we did not see turn around Tuesday today.
Realized volatility is down below 16, which is getting relatively low compared to recent levels and that has been a bouncing level over the last months.
Not sure it will be so this time?
See Mr Topstep for today: http://mrtopstep.com/2010/10/12/overnight-china-news-and-fed-weighs-on-morning-trade/
Overall the portfolio fell by 0.18% on the day.
I lost 6.5 points in the futures I was stopped out a few times in the Globex session on some hedges and I was way too slow to get long after the initial dip. Only adjustment made in the option portfolio was that I bot back Oct. 1150 calls for 18 points and sold Nov. 1190 calls for 14 to 15 points.
Also bot some CSX 55 calls as a earnings play that are out after the close. Paid 3.77 per option. Lets see what happens. I am looking to sell at the open tomorrow if we see a decent move higher.
That is all for today, have a nice evening
We have now broken above that 1163.50 key resistance level, which was the post flash crash high from 13th of May.
The next resistance levels are now 1198 and 1207, see chart link:
http://chart.ly/acxt2dt
ES has had a nice and long move to the upside since we bottomed at 1032 in August, but the hourly chart does still not show a clear top yet. I am looking for either a blow out reversal bar on extreme volume or a down bar on highly increased volume to show that sellers have taken over. I have not seen any of those yet to be honest.
Also remember that we have options expirations this week and statically it tends to be heading higher towards Friday and we did not see turn around Tuesday today.
Realized volatility is down below 16, which is getting relatively low compared to recent levels and that has been a bouncing level over the last months.
Not sure it will be so this time?
See Mr Topstep for today: http://mrtopstep.com/2010/10/12/overnight-china-news-and-fed-weighs-on-morning-trade/
Overall the portfolio fell by 0.18% on the day.
I lost 6.5 points in the futures I was stopped out a few times in the Globex session on some hedges and I was way too slow to get long after the initial dip. Only adjustment made in the option portfolio was that I bot back Oct. 1150 calls for 18 points and sold Nov. 1190 calls for 14 to 15 points.
Also bot some CSX 55 calls as a earnings play that are out after the close. Paid 3.77 per option. Lets see what happens. I am looking to sell at the open tomorrow if we see a decent move higher.
That is all for today, have a nice evening
Monday 11th of October
Very slow day as we had Columbus Holiday in the US that reduced the trading activity a great deal and S&P Emini futures only traded 1.050m contracts on the day compared to the 50 day average of 1.1913m contracts.
The daily range was 7.50 points and it was an inside day, trading inside the previous day's range.
ES did not open below the 1161 level as I thought would happen following the selling action on the cash close Friday and the open was 1162.50.
The overall portfolio increased by 1.52% on the day as the short options portfolio saw theta fly out of the window (time value).
I made 6 points in the ES futures and no adjustments in the options positions.
That is all for today, have a great evening
The daily range was 7.50 points and it was an inside day, trading inside the previous day's range.
ES did not open below the 1161 level as I thought would happen following the selling action on the cash close Friday and the open was 1162.50.
The overall portfolio increased by 1.52% on the day as the short options portfolio saw theta fly out of the window (time value).
I made 6 points in the ES futures and no adjustments in the options positions.
That is all for today, have a great evening
Friday 8th of October
Overall I made 1.16% on the day.
Made 11.5 points on the S&P Emini futures(ES).
On the options portfolio I bot back 1150 Oct calls for 17 points and also 1150 calls was bot for 36 points to decrease the short delta. I sold some Nov. 1180 calls for around 18 points. Also did a short straddle spread type of position selling 1160 October put and selling the Nov 1160 calls, getting 40 points for that position.
That was all for today, take care
Made 11.5 points on the S&P Emini futures(ES).
On the options portfolio I bot back 1150 Oct calls for 17 points and also 1150 calls was bot for 36 points to decrease the short delta. I sold some Nov. 1180 calls for around 18 points. Also did a short straddle spread type of position selling 1160 October put and selling the Nov 1160 calls, getting 40 points for that position.
That was all for today, take care
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