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My performance last week. Not a very good week, but I promised myself to give it 10 weeks.

BIDU fell so IV went up. I made on my position than I could have at this price (if closed at expiration) so closed it early. I will post rest of trades later.

I would believe that my trades are still of positive expectancy, but I look at profit factor instead. Of course every spread has some historical expectancy as well.

I assume that moves in the future are equally likely to the ones in the past. Nothing to do with lognormal distribution and standard deviation. If market moved up 10% in 10 days in the past, I assume I might move 10% in the next 10 days. That means about 0.957% a day. I also assume that opposite...

Based on historical volatility, or more precisely on a sample of historical moves of the underlying during N amount of days, where N is days to expiration at the time of the trade.

Each trade is independent. My system scans for positive expectancy spreads with current market prices as input. Every market seems to have some positive expectancy trades, I have to choose which ones to trade. For example, I didn't trade RIMM this week as expected profit factor for best spreads...

f profit vs underlying:

bac profit vs underlying:

BAC and F entries are shown on screen:

Sure, which ones?

All next week. Here is my risk profile, greeks and so on:

Trades: AAPL: Sell 3x 395 Call, Buy 3x 415 Call, Sell 2x 395 Put, Buy 2x 415 Put BAC: Buy 20x 11 Call, Sell 20x 11.5 Call, Buy 30x 11 Put BIDU: Sell 10x 92.5 Call, Buy 15x 95 Call C: Buy 20x 46.5 Call, Sell 30x 46 Put, Buy 30x 46.5 Put CLF: Buy 6x 16 Call, Sell 6x 18 Call, Buy 9x 16 Put...

I used to post my trades on the thread 'Weekly options experiment'. Method that I tried there was too directional - to win on a trade I would have to get direction and vol right. Since then I rebuild my model and now I can simply scan for statistically profitable trades. I will post 10 trades...

New trades for this week: Buy 1 AAPL Mar13 430 Put Buy 4 BIDU Mar13 87.5 Put Buy 5 C Mar13 46 Put Buy 40 F Mar13 13 Call Buy 1 GOOG Mar13 835 Call Buy 25 IBM Mar13 215 Call Buy 1 NDX Mar13 2820 Call

New trades for this week: Buy 1 AAPL Mar-8-13 430 PUT Buy 3 BIDU Mar-8-13 90 PUT Buy 13 F Mar-8-13 12.5 CALL Buy 3 GOOG Mar-8-13 825 CALL Buy 2 IBM Mar-8-13 200 CALL Buy 5 NDX Mar-8-13 2825 CALL Buy 3 GLD Mar-8-13 156 CALL Buy 20 SLV Mar-8-13 29.5 CALL

Trades for the next week: Buy 1 AAPL Feb-22-13 450/475 Put vertical Buy 8 BAC Feb-22-13 12 Call Buy 5 BBRY Feb-22-13 14.5/15 Call vertical Buy 1 BIDU Feb-22-13 97.5 Put Buy 2 C Feb-22-13 43 Call Buy 7 F Feb-22-13 13/13.5 Call Vertical Buy 3 FB Feb-22-13 28 Call Buy 1 GOOG Feb-22-13 785...

I've sold-to-close 10 C 43 calls and for the profit I bought 15 44 calls. 43 calls were still with positive expectancy but not so good, 44s give me a chance for a decent profit.

Biggest disappointment this week is my trade in BIDU. I was right about the direction and yet I've lost money. On Monday I bought 2x put spread (110/115) for a total cost of $746. My total potential profit was $1k - $746 = $254. I sold that spread a day later for $844, so I made profit of $98...

I have closed most positions (except for GOOG and SPX) and opened new ones for the next week: Buy 1 AAPL Feb13 470 Put Buy 41 BAC Feb13 12 Call Buy 6 BBRY Feb13 16/17.5 Call Vertical Buy 4 BIDU Feb13 95 Put Buy 10 C Feb13 43 Call Buy 20 F Feb13 13 Call Sell 12 FB Feb13 29/30.5 Put...

Some trades this afternoon: Sell 2 BIDU Feb-8-13 110/115 Put Vertical to close Buy 4 BIDU Feb-8-13 95 Put to open Buy 4 BBRY Feb-8-13 15.5 Call to close Sell 4 BBRY Feb-8-13 16.5 Call to open