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 ...

Another mixed week ... NDX trade now 5 for 6, /ES suffers again

It's now looking like the 91.7% results were on target; 5 for 6 is 83.3%  ... Actually I was girding myself for a loss this past week:

... as my short call was at 6370. But the trade is marked not on the opening but after all 100 of the NDX 100 stocks open, and marked under the symbol NDS. That squeaked in:

and all 4 legs expired worthless, as a good Iron Condor is supposed to. I sold the spread for $1.77, which is a 21.5% return ....

On the short /ES trade: bleah! Here's the 5-day chart:

I did pay back to myself the extra $750 I had put in to meet a margin call last week. But then I got too excited during Wednesday's market dip and sold another 1 contract. The bounce straight up from there leaves me with $18009.09 of the $28134 or so I started with. Splut!

I started by just leaving the 3rd contract without selling a put against it, so I'd get the complete benefit of any further market meltdown. Not so ... I finally sold that 3rd put on Friday with 2 others, thinking I could get $1000 credit per week to make it back (assuming the market would just stop going up!)

But no: I'm in margin call again so will have to close that third /ES short contract and put pair ... but maybe not until close on Monday so I get all weekend plus Monday's theta ...

We'll see .... More next week!

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!

Mixed results: short /ES clobbered, NDX now 3 for 4

For weeks the /ES had been bouncing down from 2585 or less ... until I started to rely on this! Silly me:

I met a margin call on Thursday with an extra $750.00 to go with the $28137 I started with. And the market continued up on Friday, so I'm left with $24130.32 ... I should know better than this by now ... I'm going to cut my position size down early Monday and put the rest into the NDX trade.

... which won again this time, returning $1.40 (16.2%) ... in fact I think I dodged a bullet on this one as I sold not the 16 delta but one was the 20 delta ... meaning it wasn't 1 standard deviation, quite.
But the trading in /NQ was weak enough that this one won again: now 3/4 or 75%.

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 ...

Reconsidering routine use of the futures to save the Iron Condor ... because the projected results are so good without it

Despite my enthusiasm in my last post for using  /NQ futures to overcome any loss in an NDX iron condor going wrong, I am reconsidering the routine use of such futures.

The trade I made on Thursday worked, making this test session 1 and 1: 50%. But the futures graph was very different on this past Thursday and Friday:

I put on this trade late Thursday a.m.:

• Sold the 6270 Call
• Bought the 6280 Call
• Sold the 6170 Put
• Bought the 6180 Put

... for a $1.90 credit. This gives $1.90 / ($10 - $1.90) = a 23.456% return.

After you put on this trade, the only chart you need to look at is the NDX settlement number, which goes under a different symbol called NDS:

... and as you can see by the NDS value from Friday, this trade worked and all 4 legs expired worthless, for a full profit.

If we can really do this 91.7% of the time (make 23%), and we risk 25% of our stake every time, the 1-year (52 week) Monte Carlo results are like this:

• Starting stake $55,000
• Mean value  $281,043
• Standard deviation: $181,147

So the ending results should be between $100K and $462K 68% of the time ...

(I think I can improve this trade by widening it a bit ... for example sell the 6280 calls and buy the 6290 calls ... so what if this returns "only" 18% or 20% if you win 93.5% of the time ...) 

For this test I'll keep doing the "one standard deviation" but will check results against the "one standard deviation and one more strike wide" version. Last week it would have made no difference whatsoever ...

The risk you have to be willing to stomach doing this trade this way is: now and then you will lose 25% of your account. You'll make enough to cover this, many times over. But if you can't stand this you'll have to cut down the amount you risk, which will reduce your expected return.

The Kelly Criterion is even wilder: it suggests risking 57% of your stake on this trade. Great when it works, but hoo boy! I'd suggest being damned sure of the 91.7% win rate before doing this ...