A quieter week than I thought ... and a new service offering I can provide

I thought that we'd have more volatility this past week, what with the latest round of tariffs kicking in September 1, but no:

So the equity positions I had on just quietly made a little money this week.

But the big news is that I've become aware of another trader who has published a terrific track record the last 2+ years ... trades that I can automate and bring to you as a service.

I am still interested in bringing my trading ideas to those interested, but I don't have a track record of performance to show yet. So this automation service for the other trader's trades is what I can do for now.

Full details of the offer are at my website. I expect demand for this service to be strong and I suggest you contact me ASAP if you find this of interest.

/ES futures cooperate (so I closed them out); earnings were not the whole thing, it turns out

Just when you think the /ES futures will go up forever, Mr. Trump steps in to knock them down:

Trade wars "good and easy to win?" Not so much

This returned volatility to the /ES futures and the market as a whole:

Back to the earnings discussion ... I was planning to do a lot more earnings trading, but I looked at the ones available two weeks ago and planned out my day on that Monday (April 29, I think it was) ... and even if I'd won them all I'd have made like $170 or so ... while risking at least $500 on every trade. So one loss could kill the whole day.

I went back and watched the "rising star" I had seen talking about this and I had missed 1/2 the discussion ... he said he wasn't trading just earnings but "moving toward indexes" ... sheesh.

I've had good success trading SPX butterflies in the past, so going smaller this time I've been using SPY, IWM and QQQ ... all with one-lot butterflies.

With the pop in volatility we got, this makes a huge difference in the credit we get for this butterfly trade:

              May 24                 June 7

QQQ        $5.12                  $8.46            +65.2%
IWM        $4.15                  $7.18            +73.0%
SPY         $5.70                  $11.37          +99.4%

Total risk on the SPY trade is about $1200, so if we take 1/4 of this credit, that's a 23% return ... in about 8 days (typically ... if we put these on with around 30 DTE, then 1/4 of the credit expires in about 1/4 of that time) ...

I actually closed the first set of these for small losses $100-$200 each, with about 15 days left in them ... Tastytrade's research shows that this is better than hanging on to see if such a trade will come back, and in this case the increased volatility seems to fully justify that.

I also am trading some other volatile underlyings:

More next week ...

/ES continues its non-cooperation ... a couple of earnings losses illustrate a nuance

The S&P futures continued to be a drag for anybody short:

I continue to sell puts and wait for a pullback. *sigh*

I had a mixed week trading earnings, with one too-big loss, MMM:

I sold a 5-wide Iron Condor for 28 cents ... and had to buy it back the next day for $3.50. This was for 5 contracts, so that's a $1610 loss. Ouch!

I sold only 4 different underlyings that day:

EW
TXN
FB
MMM

... so taking $2000 in risk in MMM was too much, clearly.

There are at least 11 good ones available on Monday so I'm going to revise my strategy to going down to take the minimal risk I can in each and only then possibly scale up in a couple of the most volatile (and therefore lucrative) when I get that done.

3 of the earnings for next week ... more then!

I give up (mostly) predicting market direction after a near miss this week

I thought that since the Democrats were widely expected to take the House of Representatives that that would be negative for the market. So on Monday I sold 1 /ES future short at 2722.25.

Unfortunately:

On Wednesday midday with the market continuing to soar, I sold another /ES futures contract short at 2801.50, thinking what a great opportunity that was. It wasn't until Friday, until the market went down below 2780, closing at 2778.75.

Unfortunately the SPX closes at 1 PST and not 2 PST along with the /ES futures, so it missed a couple of points of down move.  This is an issue because I'd also sold short the 2775/2785 call spread in SPX, for $2.50 to $2.55 credit. So loss closing at 2781.01 was $351 for a one-lot, less than half of what it could have been (and that I was resigned to on Wednesday ...)

We're now in position to do what I've tried to do previously when NOT in this position: sell puts against short futures contracts. I have two on right now (expiring Friday Nov 16) and can sell two for the next few weeks at least (I think!) for $1000 or more per week.

(Note: this doesn't mean $1000 profit per week. Depends on the movement of the underlying futures price. I'm ahead on the one I sold short at 2801.50 and behind on the one I sold at 2722.25).  Effectively I'm "reducing the basis" of these ... if I sell one put for $500, that's 10 points for /ES futures, effectively as if I'd sold the losing short at 2732.25 instead of 2722.25 ...

In other action ...

I've continued to sell futures options strangles and butterflies, small, and mostly have won on these. In fact I made $500 on yet another gold (/GC) butterfly with an adjustment I remembered from Dan Sheridan's butterfly guy Mark Fenton: you just sell another butterfly:

This worked beautifully and I'm going to continue to experiment with it.

But I think NDX can continue to be the "bread and butter" trade ... It's "expiration week" coming up this week on the 16th, where NDX settles in the a.m. instead of the p.m. So I'm going to load up on this trade again, at 9:45 a.m. PST Thursday:  "one standard deviation" Iron Condors with very wide wings. That's short at the .16 delta and long 50 to 70 points away.

On "non-expiration" weeks I think the .08 delta NDX trade from Monday to Friday should work at least as well: 91.7% for the a.m. settlement and I'm assuming at least 90% for the Monday-to-Friday p.m. settled trade.

More next week ....

NDX weekly trade wins again: 8 for 9!

I did put a short /ES trade back in for just 1 contract, unfortunately selling a 2nd put against it on Friday:

I had heard (via Tastytrade) that there might be some weirdness the last hour, and boy no kidding!

But back to the NDX trade: it worked again! Now 8 in a row and 8 for 9: 88.9%! And I got $1.86 credit, which is 22.8% return on capital. Wahoo!

That's enough of a test; I'm taking this into "production" next week using 1/2 the Kelly Criterion.

Given the assumptions that I'm going with (11 for 12 wins on average, returning 20% on average bet), the full Kelly Criterion recommends betting just over half your account on every trial. That's a little too exciting for me, but 1/2 that seems OK: 25% of the account.

More next week ...

NDX weekly trade: 7 in a row and 7 for 8!

I did give up on the short /ES futures trade just as it was about to start working:

It stopped going straight up, which is all you need to make money selling puts against the futures contract(s) ... I trust I'll have another opportunity later for this ...

But back to the star of our show: the NDX weekly trade. It won again this week, for 7 in a row and 7 for 8: 87.5% and counting:

Unfortunately I put this trade on at the minimum volatility of the morning and only got $1.00 for it (11.1%) ... based on action later in the morning I could have set an order to fill at $1.35 and got that later ...

Once again, the study I saw showed this trade winning 11 for 12 (91.7%) and we're getting in range of that.

Visualizing 17 in a row! More next week ...

I'm just about to give up being short ....

Another week of the relentless skyward climb of the S&P 500:

Right now the brokerage I'm using is down so I don't have the exact damage number, but I'm down at least 40% this month despite all the credit I've collected selling puts .... If present trends continue I can just close the short S&P futures and sell the puts naked!

That should flip the market over ... but now for the good news:

That's 6 for 7 in the NDX weekly trade ... 91.7% is 11 for 12, so we're still on track for that.

If the S&P isn't down on Monday I'm going to give up on my short strategy and move to this weekly NDX trade in my own account.

Watch this space ...

NDX trade 4 for 5, short /ES whomped again

First the annoying news:

The then-incipient tax cut burbling its way through congress late last week sent the market into a frenzy of buying, up to 2658 and change before closing Friday at 2642.75. This leaves me with $20677.87 ... I did actually cut down the size of the trade I had on by 60%, thank goodness! But the sharp upmove really caused damage ... it was even worse on Thursday.

But: buy the rumor, sell the news (I hope!) The Senate passed its version late Friday night so with any luck that will allow a bit of down movement in /ES ...

Now for the good news: the NDX weekly trade is now 4 for 5 (80%):

Thursday to Friday a.m. it was down, but not quite enough to damage the trade ... close was 6315.56, not touching the short 6310 put ... I sold this one just after 11 a.m. PST on Thursday and got $1.75 in credit ... that's a 21.2% return ($1.75 / $8.25) ... Just need to do that 91.7% of the time as advertised .... more next week!

Update: 2 more successful weeks ... and another leg of the trading plan now in place

I've been moving for the last week so missed last week's post ...

We are in the process (after 17 years!) of moving from a house we had built and where we'd lived since 2000. The new house is a rental:

... that looks kind of like this, but on more acreage (no houses around). Our little cockapoo Myla likes the place ...

(This is one of Myla's cousins I found on the Internet.) The only trouble for Myla is those other cousins that are around:

So we have to watch her ... But back to the subject at hand!

Last week I made the NDX trade just before expiration, which only yielded 75 cents: on a $10 wide spread that's 8.1%, and Monte Carlo simulation says that's not profitable even winning 91.7% of the time.

So just to try this out, the next day I put on at 8:30 Pacific a 1-day 1-standard deviation Iron Condor in our favorite volatile vehicle: TSLA. I got 15% on this one ... and 8.1 + 15 == ... 23%, just like last week's fabulous one.

So that's one thing I can try: when I get less than 15%, try a 1-day trade the next day to make up the difference, in whatever is volatile: TSLA or NFLX are two to try.

This week I got the trade in one hour before the market closed and got filled at $1.35 ... around 15% just for this one. It worked again so I didn't do anything extra on Friday.

So the NDX trade is now 2 for 3: 66.666667% winning ..

The other "trade leg" I put on this week is short /ES futures, selling puts against them every week.
I started with $28137 last Tuesday ... got filled at $2070.50 and sold the 8-day 2060 puts against these for $9.50 each (i.e. $475 each, since they're $50 per $1 of options in these futures).

As I write this, the futures have settled back to $2575.75 ... but the puts have collapsed to $2.65 so I'm showing a profit: up more in the options than I've lost in the futures.

And I can sell another batch of puts next week ... and the next. So this looks really good!

 More next week ...

Bumping along the top!

Well, the S&P 500 didn't go down, but it has started just bumping along the top:

This is ideal for our neutral trade, except for volatility being so low. But this pattern allows us to swing back to a profit on the futures trade, just selling a put every week for another $300 or $400 (at this volatility level) ...

Result charts are like this:

The neutral trade:

Trade Date	Symbol	Result	Profit/Loss	Comment
02/06/2017	SPY	Lost	-18%
02/13/2017	SPY	Lost	-16%
02/21/2017	SPY	Won	+15.4%
02/27/2017	SPY	Won	+17%
03/06/2017	SPY	Won	+15.3%
03/13/2017	SPY	Won	+12.9%
03/20/2017	TLT	Lost	-1.4%	Dumb!
03/27/2017	SPY	Won	+9.6%
04/03/2017	SPY	Won	+6.6%	18 days long
04/10/2017	SPY	Won	+11.1%	only 14 days!
04/17/2017	SPY	Won	+6.7%
04/25/2017	SPY	Won	+8.9%
05/01/2017	SPY	Lost	-5.0%
05/08/2017	SPY	Won	+5.0%
05/15/2017	SPY	Won	+6.1%
05/22/2017	SPY	Won	+2.0%
05/30/2017	SPY	Open
06/5/2017	SPY	Open
06/12/2017	SPY	Open

The short /ES futures trade:

Trade Date	What	Qty	Credit Received	Net Liq Change Since Start
04/25/2017	/ES Put	-1	$362.50	$0
05/03/2017	/ES Put	-1	$487.50	+$70.00
05/12/2017	/ES Put	-1	$337.50	+$1250.00
05/17/2017	/ES Put	-1	$500.00	+$1250.00
05/26/2017	/ES Put	-1	$262.50	-$100.00
06/02/2017	/ES Put	-1	$325.00	-$312.50
06/09/2017	/ES Put	-1	$450.00	+$150.00
06/15/2017	/ES Put	-1	$325.00	+$350.00

Another neutral trade is going on tomorrow morning ...

What goes up must eventually come down ...

Something in the news last week sent the market further up to hit more record highs:

This hurt both sides of our trades; the short futures position got hammered ... as I write this the S&P futures price is 2435.50, which is 51.75 points above where I sold it short ... at $50 per point, that's $2587.50.

But! I sold another put for a credit on Friday: a $325 credit, so I'm down only $312 or so on the futures trade. And I'll sell another put every week, forever, and eventually the market will stop going up and even ... go down!

I had to take a 5% loss in one of the neutral trades to meet a margin call on the futures position; the other neutral trades I have on are hurting but not dead yet. Charts below:

Trade Date	Symbol	Result	Profit/Loss	Comment
02/06/2017	SPY	Lost	-18%
02/13/2017	SPY	Lost	-16%
02/21/2017	SPY	Won	+15.4%
02/27/2017	SPY	Won	+17%
03/06/2017	SPY	Won	+15.3%
03/13/2017	SPY	Won	+12.9%
03/20/2017	TLT	Lost	-1.4%	Dumb!
03/27/2017	SPY	Won	+9.6%
04/03/2017	SPY	Won	+6.6%	18 days long
04/10/2017	SPY	Won	+11.1%	only 14 days!
04/17/2017	SPY	Won	+6.7%
04/25/2017	SPY	Won	+8.9%
05/01/2017	SPY	Lost	-5.0%
05/08/2017	SPY	Open
05/15/2017	SPY	Open
05/22/2017	SPY	Open
05/30/2017	SPY	Open

Trade Date	What	Qty	Credit Received	Net Liq Change Since Start
04/25/2017	/ES Put	-1	$362.50	$0
05/03/2017	/ES Put	-1	$487.50	+$70.00
05/12/2017	/ES Put	-1	$337.50	+$1250.00
05/17/2017	/ES Put	-1	$500.00	+$1250.00
05/26/2017	/ES Put	-1	$262.50	-$100.00
06/02/2017	/ES Put	-1	$325.00	-$312.50

Trump rally reboots ... but can't last forever!

I cashed out the  another trade for a profit this morning: 8.9%. But the "Trump Rally" is hurting results a bit:

If not for the up move of the last few days this trade would've made up to 17% or so.

Also, the short futures segment has suffered under this move ... though the credit received in selling puts has it still just below breakeven. And we get to sell another put every week!

Charts below ... The main trade is now 9 for 12: 75%.

Trade Date	Symbol	Result	Profit/Loss	Comment
02/06/2017	SPY	Lost	-18%
02/13/2017	SPY	Lost	-16%
02/21/2017	SPY	Won	+15.4%
02/27/2017	SPY	Won	+17%
03/06/2017	SPY	Won	+15.3%
03/13/2017	SPY	Won	+12.9%
03/20/2017	TLT	Lost	-1.4%	Dumb!
03/27/2017	SPY	Won	+9.6%
04/03/2017	SPY	Won	+6.6%	18 days long
04/10/2017	SPY	Won	+11.1%	only 14 days!
04/17/2017	SPY	Won	+6.7%
04/25/2017	SPY	Won	+8.9%
05/01/2017	SPY	Open
05/08/2017	SPY	Open
05/15/2017	SPY	Open

Futures:

Trade Date	What	Qty	Credit Received	Net Liq Change Since Start
04/25/2017	/ES Put	-1	$362.50	$0
05/03/2017	/ES Put	-1	$487.50	+$70.00
05/12/2017	/ES Put	-1	$337.50	+$1250.00
05/17/2017	/ES Put	-1	$500.00	+$1250.00
05/26/2017	/ES Put	-1	$262.50	-$100.00

Finally a down tick lets us cash out the oldest trade ...

It looks like the Trump vs. Comey story is finally affecting the market:

It was down enough this a.m. early for me to finally get the April 17 trade off for a 6.7% profit.

Once again, the trade characteristics are such that there's more room on the downside than the upside. The market was somewhat down on April 17 when I put this trade on and the market's flirting with 2400 the past few days kept it just barely unprofitable. Normally I would have taken it off last Friday, 21 days until expiration (June 2 expiration for these particular options), but I wanted to give it a few days to see if there would be this profitable down move ... and it worked!

The charts are now like this:

Trade Date	Symbol	Result	Profit/Loss	Comment
02/06/2017	SPY	Lost	-18%
02/13/2017	SPY	Lost	-16%
02/21/2017	SPY	Won	+15.4%
02/27/2017	SPY	Won	+17%
03/06/2017	SPY	Won	+15.3%
03/13/2017	SPY	Won	+12.9%
03/20/2017	TLT	Lost	-1.4%	Dumb!
03/27/2017	SPY	Won	+9.6%
04/03/2017	SPY	Won	+6.6%	18 days long
04/10/2017	SPY	Won	+11.1%	only 14 days!
04/17/2017	SPY	Won	+6.7%
04/25/2017	SPY	Open
05/01/2017	SPY	Open
05/08/2017	SPY	Open
05/15/2017	SPY	Open

That's a 72% win rate on these, finally.

The futures trade is doing well also:

Trade Date	What	Qty	Credit Received	Net Liq Change
04/25/2017	/ES Put	-1	$362.50	$0
05/03/2017	/ES Put	-1	$487.50	+$70.00
05/12/2017	/ES Put	-1	$337.50	+$1250.00

More details as they become available!

Short /ES and "reducing basis": an illustration

The S&P futures market went straight up yesterday after the jobs report:

If you'll remember from my first post on this subject 10 days or so ago, I sold the futures contract at 2383.75. It gains or loses $50 per point, so at yesterday's close of 2399.25 it's lost 15.5 points: $775.

But! I've also sold two puts, the first for $362.50 (I closed it out for $5) and the other for $487.50. So that's $845 total, giving me a small profit even after this move against the position.

This latest put expires next Friday, at which point I will sell another on for another $300 or $400 ... following the market up if necessary (though I hope not!)

The charts:

Trade Date	Symbol	Result	Profit/Loss	Comment
02/06/2017	SPY	Lost	-18%
02/13/2017	SPY	Lost	-16%
02/21/2017	SPY	Won	+15.4%
02/27/2017	SPY	Won	+17%
03/06/2017	SPY	Won	+15.3%
03/13/2017	SPY	Won	+12.9%
03/20/2017	TLT	Lost	-1.4%	Dumb!
03/27/2017	SPY	Won	+9.6%
04/03/2017	SPY	Won	+6.6%	18 days long
04/10/2017	SPY	Open	+11.1%	only 14 days!
04/17/2017	SPY	Open
04/25/2017	SPY	Open
05/01/2071	SPY	Open

Trade Date	What	Qty	Credit Received	Net Liq Change
04/25/2017	/ES Put	-1	$362.50	$0
05/01/2017	/ES Put	-1	$487.50	+$70.00

More next week ...