er2 naked future option journal

Its odd that someone called greeks wouldn't know what sigma means :)

Sigma is the symbol (and word) used for standard deviation. Google a bit for a statistics primer if needed.

Quote from greeks:

I started seeing this Sigma thing but have not idea what it's. Would someone please explain it?

Thnaks,
Tom
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Quote from jeffm:

I'm curious then about your Oct 610 put entry. You first mentioned it on Aug 31 (unless I missed it earlier.) The past few days would seem to be a good entry for short calls, but not necessarily for puts.

OTOH, you sold them for 2ish and they are now down to 1ish, which would indicate that you sold them earlier and at a more favorable location. Does that mean you added the oct puts while the earlier Sep puts were still open?
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yes, i did write october while sept was still open. i was planning on closing september, but since it had so little value i had not pulled the trigger.
funny though, today at around 11:00am i closed them for .10 .normally i do not hold that long. i am thinking about more calls, just had orders that did not hit yet..... and riskarb has rattled me on the call side.

updated positions below

account 89,710.74 liquidation value

update er2 future options

-10 puts october 610 sold @ 2.00 /current value 1.13

-10 calls october 795 sold @ .95 /current value 1.39

-10 calls october 800 sold @ 1.05 /current value 1.03



closed sept positions

-10 puts 610 @ 293.35 closed @ .10
netting 283.35 x 10

i will try to show beginning value for month vs ending on sept 30
 
i have one new addition to my journal, short october 620 . please see below.



update er2 future options

-10 puts october 610 sold @ 2.00 /current value .56

-10 calls october 795 sold @ .95 /current value .58

-10 calls october 800 sold @ 1.05 /current value .36

-10 puts october 620 sold @ 2.05/ current value .75

currently excess overnight liquidity is about $56,000.
as anyone who has traded using span margin knows, liquidity can dramatically change when shorts rise in value and the margin requirement rises as the market moves closer to the shorts. imo, the opposite positions held do not hedge at all, they just allow me to capture more theta without effecting the margin requirement.

if i am not compelled to cover and roll any positions ; i will in the first week of october open november shorts and close october shorts.
 
Quote from domestic:



if i am not compelled to cover and roll any positions ; i will in the first week of october open november shorts and close october shorts.
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update er2 future options

-10 puts october 610 sold @ 2.00 /CLOSED @ .20

-5 calls october 795 sold @ .95 /CURRENT VALUE .20

I CLOSED 5 @ .20 today, although i had an order to close all 10. i will try again on monday.


-10 calls october 800 sold @ 1.05 /CLOSED TODAY @ .20

-10 puts october 620 sold @ 2.05/ CLOSED @ .15

NEW trades

-10 nov 625 sold @ 2.3835

acct value : 97,310.70

available funds : 65,502.03


i will add to my journal the current price er2 is at when the position is started. with the latest runnup in prices from my short calls (about 50pts), i was able to exit the trade for far less than i received. in any case, i continue to exit all my positions before expiration, as explained in an earlier post.
 
Hey domestic, just stumbled unto this thread. Please continue to post and in the manner you have been posting as I'm very interested in this thread.

If you've been doing this for a while, have you ever encountered a near crippling loss before at any point in time?
 
when you post that you opened a short position, would it be possible to indicate where the ER2 was at during the time and also post where ER2 is when you close your position?
 
Quote from polpolik:


If you've been doing this for a while, have you ever encountered a near crippling loss before at any point in time?
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i have made an income(of varying size) for 10 plus years straight. for the past 10 months i have been trying to make the income equal my original career. i am not close at all of course; but my goal is for 2007 to equal half of my normal pay. i have never been hit . in the past i have come close and also risked more than prudent levels, just been lucky maybe. my current trading is meant to be far less risky than previous years, mainly because my intent is to depend on this income.
 
risk, er2 can trend like a mutha. often the straddle is not enough premie to offset the move to exp. how would you play/defend this? my guess: buy/sell er2 futures to neutralize delta. but then you are basically playing a trend system, aren't ya? (if this is not your answer then obv ignore my rude assumption)

Quote from riskarb:

I wouldn't recommend you continue selling gamma convexity in ER2 strangles. The "safe" strike offers little to mitigate the risk on the strike at risk. It is far more sound to simply sell ER2 puts and get flat deltas in ER2 futures. Even hedged weakly is preferable to your current course of action. You may also want to consider selling 1/5 the size in atm straddles as an alternative.

Compare your short puts to the running atm straddle/2. This is the risk you assume with no blip in implied vols. Now imagine the market reaches your short puts at a rise of 1000 basis on the vol-line. At least with a weak synthetic straddle you may walk away without injury. Traded strong [1x2] and you'll earn. There is no adequate hedge for these strangles.

I don't recommend anyone sell naked combos unless they're willing to take the risk on the notional futures position. Unfortunately there is vega risk as well.
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updating new trades:

-10 calls nov 805 sold @ .85 / current value: 1.50

-10 puts nov 625 sold @ 2.3850/ current value: .60

-10 calls nov 815 sold @ .8 / current value: .85
er2 traded at 749 when sold

-10 calls nov 820 sold @ .55 / current value: .6
er2 traded at 749 when sold

closed short oct 795 early yesterday @.15
netting .5

it is obvious that i would love a major downturn.......
 
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