Double or Triple in a Year?

Here is the update of this journal for Jan and the 1st week of Feb.

journaljan.jpg




journal1stweekfeb.jpg



Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Feb 1, 2013:
$14,314

Return since the beginning of this journal:
46.08%

Return in the month:
0.50%

Return in the week:
-0.64%

Simple average daily return:
0.3339%

Expect account to double on:
Jul 12, 2013


Equity curve (initial value set at zero):
See attached chart
chart1stweekfeb.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Medium

Max drawdown experienced (based on daily close):
12.40%

Initial Margin at most recent close:
$13,645

VAR at most recent close (99.5% confidence):
$5,888

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
Here is the update of this journal for the 2nd week of Feb.

journal2ndweekfeb.jpg



Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Feb 8, 2013:
$14,236

Return since the beginning of this journal:
45.29%

Return in the month:
NA

Return in the week:
-0.54%

Simple average daily return:
0.3123%

Expect account to double on:
Aug 2, 2013


Equity curve (initial value set at zero):
See attached chart
chart2ndweekfeb.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Medium

Max drawdown experienced (based on daily close):
12.40%

Initial Margin at most recent close:
$14,921

VAR at most recent close (99.5% confidence):
$3,892

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;



PS:
Bit about VAR: When we talk about VAR, we should also talk about confidence level. Theoretically, the VAR (if it is a naked/pure long position) is full 100% face value without talking about confidence level. For an index such as SPX, it may never happen in a single day.

In order to hit the VAR of this account, SPX has to move to the up side over 7% in a single day. I have 99.5% confidence to say that it will not happen though it does happen to the down side. Besides, dynamic adjust is what all about.
 
Here is the update of this journal for the 3rd week of Feb.

journal3rdweekfeb.jpg



Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Feb 15, 2013:
$14,538

Return since the beginning of this journal:
48.37%

Return in the month:
NA

Return in the week:
2.12%

Simple average daily return:
0.3182%

Expect account to double on:
Jul 27, 2013


Equity curve (initial value set at zero):
See attached chart
chart3rdweekfeb.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Medium

Max drawdown experienced (based on daily close):
12.40%

Initial Margin at most recent close:
$13,387

VAR at most recent close (99.5% confidence):
$4,538

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
Here is the update of this journal for Feb and 1st week of Mar.
journalfeb.jpg



journal1stweekmar.jpg



Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Mar 1, 2013:
$13,550

Return since the beginning of this journal:
38.29%

Return in the month:
-2.2%

Return in the week:
-7.64%

Simple average daily return:
0.2307%

Expect account to double on:
Nov 24, 2013


Equity curve (initial value set at zero):
See attached chart
chart1stweekmar.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Medium

Max drawdown experienced (based on daily close):
15.33%

Initial Margin at most recent close:
$11,813

VAR at most recent close (99.5% confidence):
$3,827

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
The past week’s really poor performance is partially due to hitting the wrong button in after hour. It costs the account about $400 (because much wider bid/ask spreads in AH trading) for now to a max around $900. The poor performance is also due to the “withholding gain” by the market.

As I’ve mentioned here before that the poor performance of this account is due to the inverse movement/relationship of the options. Here once again, I’ll mention it again. The “withholding gain” by the market will be fully released to the account with the approaching of the April expiration!

For an (delta neutral ratio spreads) example:
ES settled at 1516.20 on Feb 12 and the two series of Apr put options settled at: APR 1300 $2.55; APR 1485 $21.80.
ES settled at 1516.50 on Mar 1 and same two series settled at: $2.60 and $21 respectively.

Based on my calculation, the “fair value” of the pair should be either “2.60; 28.6”or “1.90; 21” or somewhere in between 1.9 to 2.6 and 21 to 28 depending on IV since all other variables are determined at any given time, underlying price and strike price, of course including risk free interest rate and dividend info.

Don’t believe this 185 S&P/ES point apart price (2.6/28.6) relationship? It will happen sometime before expiration unless market has a dramatic move either side (200 or more points). In fact, look at Apr 1400 and 1585 put relationship (settled on Mar 1): 7.25/76.25, I’m patient…

Presented here is a Charm, DvegaDtime versus options strike price chart. These are second order derivatives of options. Some buy and sell decisions are based on this chart. It is pure mathematics behind the trading decision, no psychic or lucky involved!

charmdvegadtime.jpg


Please note that the information presented here is for the notation/reference of this journal only. It is not intended to teach anyone or to advise anyone to buy or sell any particular instrument.
 
Here is the update of this journal for 2nd week of Mar.
journal2ndweekmar.jpg



Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Mar 8, 2013:
$13,238

Return since the beginning of this journal:
35.1%

Return in the month:
NA

Return in the week:
-2.3%

Simple average daily return:
0.2029%

Expect account to double on:
Jan 22, 2014


Equity curve (initial value set at zero):
See attached chart
chart2ndweekmar.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Medium

Max drawdown experienced (based on daily close):
15.33%

Initial Margin at most recent close:
$13,204

VAR at most recent close (99.5% confidence):
$4,360

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
Here is the update of this journal for 3rd week of Mar.
journal3rdweekmar.jpg



Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Mar 8, 2013:
$13,021

Return since the beginning of this journal:
32.88%

Return in the month:
NA

Return in the week:
-1.64%

Simple average daily return:
0.1827%

Expect account to double on:
Mar 17, 2014


Equity curve (initial value set at zero):
See attached chart
chart3rdweekmar.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Medium

Max drawdown experienced (based on daily close):
15.33%

Initial Margin at most recent close:
$13,225

VAR at most recent close (99.5% confidence):
$3,520

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
I am curious your account have been treading water on the biggest bull run for the pass 4 months. are you over trading? and are you bias on the short side? have you made an assessment why your strategy no longer works when the market is trending?
 
Here is the update of this journal for 4th week of Mar.
journal4thweekmar.jpg



Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Mar 22, 2013:
$13,032

Return since the beginning of this journal:
33.00 %

Return in the month:
NA

Return in the week:
0.09%

Simple average daily return:
0.1765%

Expect account to double on:
Apr 6, 2014


Equity curve (initial value set at zero):
See attached chart
chart4thweekmar.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Medium

Max drawdown experienced (based on daily close):
15.33%

Initial Margin at most recent close:
$13,232

VAR at most recent close (99.5% confidence):
$3,500

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
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