EqOp System

C

Cizzerhand

Hello Folks,

Great forum here. Excellent contributors and quite a bit of solid knowledge floating around. I will be recording the trades generated by an equity options system I have been trading sporadically over the years. Working on "the street" limits my ability to trade with the frequency required by this system.

I'll post the rationale and some system rules over the coming days. In the meantime, there is a trade for tomorrow, January 16th:

Trades for January 16th, 2007:

BUY February 180 PUTS on SHLD -- (KDUNP) at the Open.

I am starting with an Account Balance of $150,000 and a risk per trade of 2.5%. Thus, each trade is for a number of contracts which total to the relevant trade size; currently $4500. The trade size is adjusted on the First of each month.

Positions are executed at the open--within the first five minutes of trading. Commissions are set at Fidelity Silver Account standard for 120 annual trades ($8.00 + 0.75 per contract).

Trades are held until the underlying equity moves 7.0% in our direction or until day of expiration.
 
Executed the SHLD PUT trade at 6.50. Bought 7 contracts, representing $4,550 just a hair above the 3% per trade threshold (misstated 2.5% in last night's post, my apologies)

Execute offset when underlying (SHLD) declines to 165.72 which represents a 7% decline from todays open of 178.00.

Trades for January 17th, 2007:

1) BUY February 42.50 PUTS on BBBY -- (BHQNV) at the Open

2) BUY February 20.00 CALLS on INTC -- (NQBD) at the Open

3) BUY February 30.00 CALLS on MXIM -- (XIQBF) at the Open

Positions are executed at the open--within the first five minutes of trading.
 
What price do you go after on the option?

a. Split the b/a
b. Pay the ask
c. Market

Also, do you notice that the options market makers aren't really ready to go at the open? It seems like, at least on some I've traded, that they wait 10 minutes or so before they start to fill orders.

I've had orders to pay the ask sit there at the open and then when they start, they move the b/a on me to try and make me chase 'em.
 
Yes certain market makers do not set their prices until 5-10 mins after open. This system sticks to Nasdaq 100 names however and most of those names settle into normals spreads a little sooner. Once I see the spread stabilize, I buy at market.
 
Trades executed today:

Bought 30 INTC Feb 20 CALLS @ 150 for total of $4,500 -- Trade 2a

Execute offset when underlying INTC shares increase to $22.72 per share
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Bought 13 MXIM Feb 30 CALLS @ 350 for total of $4,550 -- Trade 3a

Execute offset when underlying MXIM shares increase to $34.92 per share
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Bought 35 BBBY Feb 42.5 PUTS @ 130 for total of $4,550 -- Trade 4a

Execute offset when underlying BBBY shares decrease to $39.09 per share
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Trades for January 18th, 2007:

1) BUY February 42.50 CALLS on ADSK -- at the Open

2) BUY February 30.00 CALLS on BRCM -- at the Open

3) BUY February 37.50 CALLS on NTAP -- at the Open

4) BUY February 125.00 CALLS on RIMM -- at the Open

Positions are executed at the open--within the first five minutes of trading.
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riaamaan, trade selection is initiated based on either of two primary indicators signalling a trade opportunity relative to the underlying equity. One signal is contra-trend, the other, less frequent, is trend-positive.

Upon signal identification, the corresponding option trade is run through a simple model to determine the profit characteristics and whether it meets a preset range threshold. If the trade qualifies, it's executed.

Universally, the option selected for the model is at- or slightly in- the-money and typically a minimum of twenty and maximum of fifty days to expiration.
 
Quote from Cizzerhand:


Positions are executed at the open--within the first five minutes of trading.
More...

Isn't it true that price action in the first 5 minutes can be quite wild and therefore can create a big discrepancy for you if you wait for the option spreads to narrow? For those who trade options, what is the typical spread on QQQQ deep in the money calls right at the opening bell?
 
Executed Trades for January 18th will be posted later, likely tonight.

----------------------------------------------------

Trades for January 19th, 2007:

1) BUY February 25.00 CALLS on DELL -- at the Open

2) BUY February 50.00 CALLS on GRMN-- at the Open

3) BUY February 40.00 PUTS on PDCO -- at the Open

4) BUY February 32.50 PUTS on NVDA -- at the Open

Positions are executed at the open--within the first five minutes of trading.
---------------------------------------------------

giggollo, I addressed that issue earlier in this thread. Don't trade the QQQQ's so can't answer that part.
 
WEEK ENDING 1/19/2007 SUMMARY:

Trades for January 16th, 2007:

1) BUY February 180 PUTS on SHLD -- (KDUNP) at the Open.
Bought 7 SHLD Feb 180.00 PUTS @ 650. for a total of $4,550 -- Trade 1a
Execute offset when underlying SHLD shares decline to $165.72 per share

----------------------------------------------

Trades for January 17th, 2007:

1) BUY February 42.50 PUTS on BBBY -- (BHQNV) at the Open
Bought 35 BBBY Feb 42.5 PUTS @ 130 for total of $4,550 -- Trade 4a
Execute offset when underlying BBBY shares decline to $39.09 per share

2) BUY February 20.00 CALLS on INTC -- (NQBD) at the Open
Bought 30 INTC Feb 20 CALLS @ 150 for total of $4,500 -- Trade 2a
Execute offset when underlying INTC shares increase to $22.72 per share

3) BUY February 30.00 CALLS on MXIM -- (XIQBF) at the Open
Bought 13 MXIM Feb 30 CALLS @ 350 for total of $4,550 -- Trade 3a
Execute offset when underlying MXIM shares increase to $34.92 per share

----------------------------------------------

Trades for January 18th, 2007:

1) BUY February 42.50 CALLS on ADSK -- at the Open
Bought 14 ADSK Feb 42.5 CALLS @ 320 for total of $4,480 -- Trade 5a
Execute offset when underlying ADSK shares increase to $47.73 per share

2) BUY February 30 CALLS on BRCM -- at the Open
Bought 22 BRCM Feb 30 CALLS @ 205 for total of $4,510 -- Trade 6a
Execute offset when underlying BRCM shares increase to $33.11 per share

3) BUY February 37.50 CALLS on NTAP -- at the Open
Bought 19 NTAP Feb 37.50 CALLS @ 235 for total of $4,465 -- Trade 7a
Execute offset when underlying NTAP shares increase to $41.44 per share

4) BUY February 125.00 CALLS on RIMM -- at the Open
Bought 6 RIMM Feb 125 CALLS @ 780 for total of $4,680 -- Trade 8a
Execute offset when underlying RIMM shares increase to $135.72 per share

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Trades for January 19th, 2007:

1) BUY February 25.00 CALLS on DELL -- at the Open
Bought 50 DELL Feb 25 CALLS @ 90 for total of $4,500 -- Trade 9a
Execute offset when underlying DELL shares increase to $26.80 per share

2) BUY February 50.00 CALLS on GRMN-- at the Open
Bought 16 GRMN Feb 50 CALLS @ 280 for total of $4,480 -- Trade 10a
Execute offset when underlying GRMN shares increase to $53.31 per share

3) BUY February 40.00 PUTS on PDCO -- at the Open
Bought 16 PDCO Feb 40.0 PUTS @ 285 for total of $4,560 -- Trade 11a
Execute offset when underlying PDCO shares decline to $34.68 per share

4) BUY February 32.50 PUTS on NVDA -- at the Open
Bought 18 NVDA Feb 32.50 PUTS @ 250 for total of $4,500 -- Trade 12a
Execute offset when underlying NVDA shares decline to $19.18 per share

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All Active Trades:

1a ) 7 SHLD Feb 180 PUTS @ 650 -- $4,550 -- Current: 510
2a ) 30 INTC Feb 20 CALLS @ 150 -- $4,500 -- Current: 105
3a ) 13 MXIM Feb 30 CALLS @ 350 -- $4,550 -- Current: 220
4a ) 35 BBBY Feb 42.5 PUTS @ 130 -- $4,550 -- Current: 115
5a ) 14 ADSK Feb 42.5 CALLS @ 320 -- $4,480 -- Current: 145
6a ) 22 BRCM Feb 30 CALLS @ 205 -- $4,510 -- Current: 165
7a ) 19 NTAP Feb 37.50 CALLS @ 235 -- $4,465 -- Current: 140
8a ) 6 RIMM Feb 125 CALLS @ 780 -- $4,680 -- Current: 550
9a ) 50 DELL Feb 25 CALLS @ 90 -- $4,500 -- Current: 85
10a ) 16 GRMN Feb 50 CALLS @ 280 -- $4,480 -- Current: 230
11a ) 16 PDCO Feb 40 PUTS @ 285 -- $4,560 -- Current: 275
12a ) 18 NVDA Feb 32.50 PUTS @ 250 -- $4,500 -- Current: 200

Total At Risk : $ 54,325 – Total Value : $ 41,155 – MTM ROI : -24.2%

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Targeted Offset Watch List:

1a ) SHLD -- $165.72
2a ) INTC -- $22.72
3a ) MXIM -- $34.92
4a ) BBBY -- $39.09
5a ) ADSK -- $47.73
6a ) BRCM -- $33.11
7a ) NTAP -- $41.44
8a ) RIMM -- $135.72
9a ) DELL -- $26.80
10a ) GRMN -- $53.31
11a ) PDCO -- $34.68
12a ) NVDA -- $19.18
 
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