The expiration today in the weeklies went decent, although some spikes hit the performance a bit. I will post the trading result and trades Monday.
Could be a possible "no demand" bar on the daily chart, so I keep that in mind for next week.
Still simply bullish above 1175 for me in S&P emini, need to see daily close below this 1175 to change my mind.
Seems like everybody and his brother are looking for a move lower, so that is maybe enough to make it go higher?
We also have the US midterm election and it tends to support stocks, dow is up 0.28% on average on election day vs. 0.03% average all days since 1900, see the link for more info:
http://www.bespokeinvest.com/thinkbig/2010/10/28/historical-midterm-election-results-and-market-performance.html
Some comments from my daily report today:
The S&P had an inside day today, trading inside yesterday’s range and high to low was only 6.75 points today. That is a tight range and the close was in the upper part, which makes it a possible no demand bar, even though it is not a perfect no demand bar as it didn’t close top of the range, but volume wise it was less volume than previous two sessions. We will see start of next week if today’s was a no demand and confirmation would be a wide down bar within the next 2 sessions. Trading wise we traded basically sideways the whole week and I stick by what I have said the whole week:
To keep it stupidly simple I would say that as long as we don’t see a daily close below 1175 in the S&P futures the trend is up and next key resistance remains 1198 and 1207. If we close below 1175 support, the next target would be 1150 followed by 1127.
See link for complete report:
http://avantagefinancial.ch/images_up/avantagefinancial.ch/pdfs/daily29oct.pdf
Have a great weekend
Daily blog with thoughts and comments on the futures and forex markets through the eyes of Per-Erik Karlsson, Ceo at Avantage Financial, Switzerland.
fredag 29. oktober 2010
Thursday 28th of October
S&P Emini gapped up more than 7 points on the open and traded lower to close the gap from yesterday and extended lower to 1173.50, but once again support came in and we move back higher to close well off the lows. Seems like the return of risk appetite is back following yesterday's correction lower.
I like to keep it simple and continue to favor higher levels as long as 1175 is not violated on a daily close.
Trading wise the portfolio declined 0.39% on the day and once again the dip didn't extend to the downside and was a bit too short on the reversal, which made the short calls rise a bit more in value then I made in the long futures-
I made 16.50 points in the futures.
I bot back some 1170 and 1175 calls for 29th of October at the open as I had to reduce the short delta a bit, but later in the day sold some 1175 calls for 29th of October again to use a short term hedge.
Did not make any adjustments to the longer term positions and as we have expirations tomorrow on the weekly's and I have a bit around 1180, so it would be good to avoid any major spike on the GDP release. Seen a bit more move in Globex last few days as well, so I need to watch that a bit as I have pretty big exposure on the weeklies.
My main strategy is to play the 1190 to 1210 levels with short calls and 1150 and below with short puts. Still as always I have a heavy overweight in the calls.
Take care.
I like to keep it simple and continue to favor higher levels as long as 1175 is not violated on a daily close.
Trading wise the portfolio declined 0.39% on the day and once again the dip didn't extend to the downside and was a bit too short on the reversal, which made the short calls rise a bit more in value then I made in the long futures-
I made 16.50 points in the futures.
I bot back some 1170 and 1175 calls for 29th of October at the open as I had to reduce the short delta a bit, but later in the day sold some 1175 calls for 29th of October again to use a short term hedge.
Did not make any adjustments to the longer term positions and as we have expirations tomorrow on the weekly's and I have a bit around 1180, so it would be good to avoid any major spike on the GDP release. Seen a bit more move in Globex last few days as well, so I need to watch that a bit as I have pretty big exposure on the weeklies.
My main strategy is to play the 1190 to 1210 levels with short calls and 1150 and below with short puts. Still as always I have a heavy overweight in the calls.
Take care.
Wednesday 27th of October
S&P opened up weaker and traded down to 1167 level where we saw fair amount of volume coming in at in the 2nd hour trading 477k contracts on the hour bar. Remember that we have reversed quite a few times on hourly bars exceeding 500k contracts. This was almost 500k and we reversed higher and had a strong rally towards close. The volatility rose quite a bit eventhough the move was very small. It seems to be a lot of traders looking for a move lower, bascially everybody. That is maybe a good reason to not go lower?
Closing pretty much on top of the daily range and 11 points off the low. That is a strong close in my view and expect tomorrow to open higher.
Trading wise the portfolio declined 0.85% on the day and was a bit too short when we reversed higher, which cut the performance today.
Lost 35 points in the futures and I did a fair amount of trading against short calls for 29 Oct expiration. I sold the calls at 1180 and 1175 and 1170 and hedged long, closed some of them out when it didn't hold below 1170 and also closed some of the long hedges leaving the futures negative. Made about 16.50 points on the short term options trading.
On the longer term options portfolio I did only one change, adding short 1180 calls for 19 Nov expiration.
That was all for today, take care.
Closing pretty much on top of the daily range and 11 points off the low. That is a strong close in my view and expect tomorrow to open higher.
Trading wise the portfolio declined 0.85% on the day and was a bit too short when we reversed higher, which cut the performance today.
Lost 35 points in the futures and I did a fair amount of trading against short calls for 29 Oct expiration. I sold the calls at 1180 and 1175 and 1170 and hedged long, closed some of them out when it didn't hold below 1170 and also closed some of the long hedges leaving the futures negative. Made about 16.50 points on the short term options trading.
On the longer term options portfolio I did only one change, adding short 1180 calls for 19 Nov expiration.
That was all for today, take care.
Tuesday 26th of October
The weakness from Friday and yesterday coming through today a bit as it tested that 1175 support level that I mentioned a few times as key support level. However we closed well off the lows and close was exact same level as yesterday's close 1182.75 in the S&P Emini futures. The volatility rose more than I expected and my plan was to offload more short calls at the end of today's session, but that didn't really work out as planned.
Trading wise the portfolio was down 0.42% on the day.
Lost about 2 points in the futures and traded some intra day tradig on the 1190 calls expiring 29 Oct and I also sold 1180 call for expiration 29 Oct.
Seems to be chopping around quite a bit and I am still looking for a correction lower, but as long as we don't see a daily close below 1175 the trend is up.
That is all for now, have a nice day
Trading wise the portfolio was down 0.42% on the day.
Lost about 2 points in the futures and traded some intra day tradig on the 1190 calls expiring 29 Oct and I also sold 1180 call for expiration 29 Oct.
Seems to be chopping around quite a bit and I am still looking for a correction lower, but as long as we don't see a daily close below 1175 the trend is up.
That is all for now, have a nice day
tirsdag 26. oktober 2010
Monday 25th of October
We did not get any down move to confirm the no demand bar on Friday, but I do note down that we have the no demand bar in the background and in fact today's bar looks like and uptrust making a new multi month high and the close was more than 11 points of the high at 1193, closing at 1182.75. To close that far off the high indicates selling otherwise it is no way it would close that far off the highs.
I do pay attention to this weakness, but purely technically we have the bullish trend intact as long as we don’t have a daily close below 1175.
S&P futures chart: http://chart.ly/98pdssp
As I mentioned Friday I would make some major changes to the options portfolio in the start of this week and indeed I did quite a bit today.
ES gapped up a bit today, which was not optimal since I have to close off the short calls a bit higher then I really wanted, but in return I got a bit more for the calls I sold and I was long the futures, so all in all worked out rather well.
Basically as I think the volatility will rise going into Friday's US advance GDP and next week's FOMC decision I bot back many options today.
Overall the portfolio declined 0,32% on the day as I not enough long in the futures to compensate for the short calls I have on.
I bot back some of most of the 1180 November calls 27 to 28. I also bot back 1190 November calls and sold some 1210 December calls, for a net zero. selling the 1210 Dec for around 21.50 and buying the 1190 Nov calls for 21.50.
I also took home 34.50 points in the Futures on the day, of course some of it from long hedges over last sessions. I also bot back the short 1160 puts for Friday (29 Oct) as the value was 1.50 points it was no point keeping them. In case we dropped lower and they would come back into play I would regret big time if I had not taken them off for 1.50. I did sell a small portion of 1150 puts for November 19th just as a bit of hedge against the calls now mainly sitting above 1200 and up. I also see that 1150 as a key support level. If we have a daily close below 1150 we could head much lower, so since I view that as a key level it make sense to have something on at that level as well. I am still heavily short delta and hedging via trading long in the futures. We are approaching key 1198 and 1207 resistance levels and would expect a correction lower. The only problem is that basically everybody is looking for a move lower and most are way underinvested in stocks, so that is a good enough reason to go higher.
That is all for now, have a nice day
I do pay attention to this weakness, but purely technically we have the bullish trend intact as long as we don’t have a daily close below 1175.
S&P futures chart: http://chart.ly/98pdssp
As I mentioned Friday I would make some major changes to the options portfolio in the start of this week and indeed I did quite a bit today.
ES gapped up a bit today, which was not optimal since I have to close off the short calls a bit higher then I really wanted, but in return I got a bit more for the calls I sold and I was long the futures, so all in all worked out rather well.
Basically as I think the volatility will rise going into Friday's US advance GDP and next week's FOMC decision I bot back many options today.
Overall the portfolio declined 0,32% on the day as I not enough long in the futures to compensate for the short calls I have on.
I bot back some of most of the 1180 November calls 27 to 28. I also bot back 1190 November calls and sold some 1210 December calls, for a net zero. selling the 1210 Dec for around 21.50 and buying the 1190 Nov calls for 21.50.
I also took home 34.50 points in the Futures on the day, of course some of it from long hedges over last sessions. I also bot back the short 1160 puts for Friday (29 Oct) as the value was 1.50 points it was no point keeping them. In case we dropped lower and they would come back into play I would regret big time if I had not taken them off for 1.50. I did sell a small portion of 1150 puts for November 19th just as a bit of hedge against the calls now mainly sitting above 1200 and up. I also see that 1150 as a key support level. If we have a daily close below 1150 we could head much lower, so since I view that as a key level it make sense to have something on at that level as well. I am still heavily short delta and hedging via trading long in the futures. We are approaching key 1198 and 1207 resistance levels and would expect a correction lower. The only problem is that basically everybody is looking for a move lower and most are way underinvested in stocks, so that is a good enough reason to go higher.
That is all for now, have a nice day
mandag 25. oktober 2010
Friday 22nd of October
Narrow range in the S&P futures today with high to low of only 6 points. It looks like a possible no demand bar, which is a narrow up bar closing on the highs with relatively low volume and at least volume of less than previous 2 bars.
Looking at the volume it was really low, only 1.240m contracts on the Emini futures on the day compared to the 50 day average of 1.981m.
However we need to see a confirmation on this no demand bar to really get excited about the downside. So put simply we are bullish above 1175 support now with next resistance being 1198 and 1207. Key support remains 1150 and 1127.
Today I did mostly short term trading around the daily options with intra day trading of the 1180 puts and calls and 1175 puts, was quite a few trades, so a bit too much to write down every single trade, but overall I made 0.90% on the day.
I made no changes to the longer term options portfolio.
I remain long in the futures to hedge the short calls from 1170 to 1210 at the moment.
My plan is to extract more theta (time value) out of the long calls over the weekend probably volatility will drop a bit more too.
Then I plan to make some major changes to the portfolio Monday as I suspect that volatility will start to rise next week as we get ready for the FOMC following week.
The idea is to scale back start of the week and don't have that many positions on when we approach end of the week as the volatility is likely to rise.
G-20 is of course an event risk over the weekend as well.
Today's Mr. Top Step: http://mrtopstep.com/2010/10/22/thin-market-with-range-trading/
That is all for now, have a nice weekend
Looking at the volume it was really low, only 1.240m contracts on the Emini futures on the day compared to the 50 day average of 1.981m.
However we need to see a confirmation on this no demand bar to really get excited about the downside. So put simply we are bullish above 1175 support now with next resistance being 1198 and 1207. Key support remains 1150 and 1127.
Today I did mostly short term trading around the daily options with intra day trading of the 1180 puts and calls and 1175 puts, was quite a few trades, so a bit too much to write down every single trade, but overall I made 0.90% on the day.
I made no changes to the longer term options portfolio.
I remain long in the futures to hedge the short calls from 1170 to 1210 at the moment.
My plan is to extract more theta (time value) out of the long calls over the weekend probably volatility will drop a bit more too.
Then I plan to make some major changes to the portfolio Monday as I suspect that volatility will start to rise next week as we get ready for the FOMC following week.
The idea is to scale back start of the week and don't have that many positions on when we approach end of the week as the volatility is likely to rise.
G-20 is of course an event risk over the weekend as well.
Today's Mr. Top Step: http://mrtopstep.com/2010/10/22/thin-market-with-range-trading/
That is all for now, have a nice weekend
fredag 22. oktober 2010
Thursday 21st of October
S&P futures made a new multi month high in early trading reaching 1186.25, breaking that 1182.25 high from Monday. However we got no follow through and we reversed lower. I came out on the Twitter when it was trade 1184 yesterday saying:
“not that much expansion in volume on the break above 1185 in ES, so I am not sure the breakout will extend, should have seen more buying imo”
It failed up there basically and also watch George Cavaligos on Failed Auction on Mr Top Step yesterday: http://mrtopstep.com/2010/10/21/george-cavaligos-on-failed-auction/
Talking about the lack of follow through as a weakness sign.
So make sure to follow my twitter handle to get real time information,
twitter handle is: AFtrading
Trading wise I was up 0.59% on the day. Could have been more aggressive on the downside after the failure at 1186, but technically speaking we are bullish above 1163 now, so since that level was not taken out I cannot really go that short I reckon.
I lost 16 points in the ES futures as I had to hedge the short calls even on the way down, but of course made up for the loss on the options side.
I bot back some of the 1170 puts when we tested 1185, for 1.70 to 2.25 points, which turned out well since we moved lower off that level. I always try to close out options with very little value left as any large move can come back and hurt you big time if you leave those positions on. In the options I bot back more 1170 calls for 32.50 to 33 points and sold more 1200 Nov and 1210 Nov 19th calls for 13.50 to 21.25 respectively. Also bot back some 1180 calls for Nov19 paying 24.50.
Positions wise I have now basically move the mass of my short calls higher and they are now more or less above 1190 as compared to around 1170 before. Unless 1207 is broken I will remain to look for a correction lower before we break higher.
Today's candle can be an up trust, which is weakness, making a new high on weak volume to trigger short stops and fool trader’s to buy the break, only to have both people fooled by end of the day. We still need to break below 1163 to really get excited about the downside potential.
We also have POMO tomorrow, which has been supportive for risk on and higher equities.
Pomo schedule:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
That is all for today, take care
“not that much expansion in volume on the break above 1185 in ES, so I am not sure the breakout will extend, should have seen more buying imo”
It failed up there basically and also watch George Cavaligos on Failed Auction on Mr Top Step yesterday: http://mrtopstep.com/2010/10/21/george-cavaligos-on-failed-auction/
Talking about the lack of follow through as a weakness sign.
So make sure to follow my twitter handle to get real time information,
twitter handle is: AFtrading
Trading wise I was up 0.59% on the day. Could have been more aggressive on the downside after the failure at 1186, but technically speaking we are bullish above 1163 now, so since that level was not taken out I cannot really go that short I reckon.
I lost 16 points in the ES futures as I had to hedge the short calls even on the way down, but of course made up for the loss on the options side.
I bot back some of the 1170 puts when we tested 1185, for 1.70 to 2.25 points, which turned out well since we moved lower off that level. I always try to close out options with very little value left as any large move can come back and hurt you big time if you leave those positions on. In the options I bot back more 1170 calls for 32.50 to 33 points and sold more 1200 Nov and 1210 Nov 19th calls for 13.50 to 21.25 respectively. Also bot back some 1180 calls for Nov19 paying 24.50.
Positions wise I have now basically move the mass of my short calls higher and they are now more or less above 1190 as compared to around 1170 before. Unless 1207 is broken I will remain to look for a correction lower before we break higher.
Today's candle can be an up trust, which is weakness, making a new high on weak volume to trigger short stops and fool trader’s to buy the break, only to have both people fooled by end of the day. We still need to break below 1163 to really get excited about the downside potential.
We also have POMO tomorrow, which has been supportive for risk on and higher equities.
Pomo schedule:
http://www.newyorkfed.org/markets/tot_operation_schedule.html
That is all for today, take care
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