Caffeinated thoughts from a full-time software developer/part-time trader

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The SP500 rocket is about ready for takeoff. My P/L is going to be stellar this morning. I will likely need to roll some of my positions since i've gotten most of the premium out of them.
 
It's lunch time for this software dev. That means a fresh half gallon pot of coffee and an apple.

As I expected, today has been a stellar day for the portfolio. I made some lunchtime adjustments. I had already collected 55% of the premium in my TLT position so I rolled it from Sep to Oct and tightened up the strangle by 1 strike on both the put/call sides.

My GLD and GDXJ strangles are both at about 47% premium collected so I will likely do some adjustments today. I may end up closing my GLD trade, and then rolling GDXJ out to Oct, and adding a few extra contracts. Reason being is the IV is juicer in GDXJ, and I wouldn't mind owning some if price were to drop back. So this is one trade I wouldn't mind shares getting put to me.

I took a directional trade from a V reversal and pin bar setup. The trade is a hybrid, DITM call + synthetic long stock (short put + long call ATM). Once the trade is over I may talk about it. Who knows, we'll see. I am not going to be announcing what that trade is because every time I do I get a bunch of no experience paper traders that want to argue about it.

Making some other trade adjustments, adding to/taking off the board.
 
I was looking at corn futures with my son sitting on my lap. He looks down and says "Hey, that's a water slide". This pattern will henceforth and forever be known as the "Water Slide".

I asked him if price will go up or down when it reaches the bottom, he said down, so this is clearly a bearish pattern.

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krugman25 said:
A standard correlation check does not look at magnitude it just looks at direction. So using that correlation table I can quickly see my position-to-position and portfolio correlations. I obviously want a low correlation to help reduce risk and volatility of my portfolio.
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What kind of lookback period are you using for determining the levels of correlation? Is this lookback period related to the holding period of your positions?
 
HobbyTrading said:
What kind of lookback period are you using for determining the levels of correlation? Is this lookback period related to the holding period of your positions?
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I like to look at 30 day correlations. It's long enough to filter out some of the noise, but short enough to not be too laggy if there are sudden shifts in correlation. Most of my positions come off the board after 1-4 weeks depending on how quickly volatility contracts and if my strikes get tested. If i'm forced to defend a position it might be on the board for a number of months.
 
Interesting. 30 trading days is about 6 calendar weeks. Only a bit longer than the usual holding period of your positions (1~4 weeks). My guess is, but I have no proof for it, that the recent increase in volatility on the markets also creates larger changes in correlations between instruments. Which might seem as more "noise" in the correlations you see. Anyway, if this combination of parameter settings work well for you yo should stick to it.
 
HobbyTrading said:
Interesting. 30 trading days is about 6 calendar weeks. Only a bit longer than the usual holding period of your positions (1~4 weeks). My guess is, but I have no proof for it, that the recent increase in volatility on the markets also creates larger changes in correlations between instruments. Which might seem as more "noise" in the correlations you see. Anyway, if this combination of parameter settings work well for you yo should stick to it.
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Correlations are funny things. Its always amazing seeing what markets decide to correlate or uncorrelate. And they are always different between each volatility spike. These are still just back of the envelope checks and generally speaking, the increase in correlation during hightened volatility is not material enough to cause me to adjust positions. Only during very extreme and prolonged volatility does that become the case.
 
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