ES, yield curve and gold

A

atrp2biz

I've been internally debating whether or not to start this journal but have obviously decided to do so. I have been trading off and on for a decade but have been more focused (and successful) over the past couple years.

I'll be posting my IB positions screenshots and YTD P/L at various intervals. I'm targeting +C$200,000 for 2023. I start each year 100% cash in this account as it makes taxes easier. It also lets me go skiing the last few days of the year without the urge to check my account. :) This is my 'fun' account. I have my other holdings in boring stuff and am generally buy-and-hold forever in my other accounts.

TIA for your support, call-outs and musings.

Views to start the year:
1. I will be playing the steepener on the 2/10 yield curve. At the start of the year, the curve was inverted by 53 bps. I anticipate being in this trade for most of the year unless it hits my target of +30 bps.

2. I'm a bit of a gold bug and my GC positions will be +delta biased.

3. I'm short-term bearish on ES. I can see the potential of 3400 some time in Q1. It's been in a range since mid-December so unless we breakout (up) out of this range, this will be my bias for now.
 
Last edited:
Trades from Tuesday:
1. IV on TSLA is through the roof so I toyed with a short January 100/120 strangle @7.83
2. My go-to on the ES is short ES and 2x puts.
3. Similarly, long GC and short 2x calls.
4. Started my +2ZT/-1ZN steepener.

upload_2023-1-5_17-33-19.png
 
Last edited:
Wednesday:
1. Adjusted my ES puts through the day.
2. Rolled up some GC calls.
3. Added a short Feb 63/70 put spread on CL.
4. Added to the steepener.

upload_2023-1-5_17-38-3.png
 
Last edited:
Thursday:
1. Added to steepener. I was intending to go to scale to +20/-10 at the start of the year. I'll hold here for a bit.
2. Adjusted ES delta because I felt I was a bit too delta(-) and I want to be a little flatter going into tomorrow's NFP.

I'm MST for those that are interested in time of trades.

+~C$8k YTD

upload_2023-1-5_17-41-45.png
 
1. ES spiked following NFP release. I rolled short puts up and out into February by selling put diagonals. I thought I was going to be whipsawed when ES briefly went red but it went up almost 100 points from the morning lows. I rolled puts up a couple of times to keep my delta in check. I should have rolled some more in the afternoon, but I wasn't in front of my computer. VIX contraction helped a bit. Going into the weekend short the equivalent of one contract.

2. 2/10 finally steepened a bit today!

3. Gold shot out like a rocket. I just rolled up a single call to flatten my position.

Good start to the year: +$13k (it was a lot better in the morning!)

Today's trades:
upload_2023-1-6_15-29-28.png


Current positions:
upload_2023-1-6_15-36-35.png
 
Last edited:
Rolled up ES puts early in the morning. At 9:33 MST, I legged into a SPX put diagonal (started with the long side) as I felt the ES was rolling over (see arrow below). I was right, unfortunately I didn't have the conviction to not fill the short leg. I leg into spreads once in a while which is probably a bad habit.

Good day across the board with positive P/L in ES, SPX, GC, CL, 2/10s (although RTH isn't quite over yet but I'll be sitting on my hands for the rest of the day).

My ES/SPX delta is a whisker short, but will flatten out with a breath of wind.

upload_2023-1-9_13-37-3.png


upload_2023-1-9_13-32-47.png
 
Last edited:
Volatility was crushed across the board today--a true gift to my P/L. With the CPI release on Thursday, I closed all of my short vol positions (ES, GC, CL). I can't see vol being hit again tomorrow (Wednesday). My only positions are the SPX put diagonal and the steepener.

Cash is a position, right?

VIX
upload_2023-1-10_14-6-58.png


upload_2023-1-10_14-6-24.png
 
So we’re up 80+ points since yesterday morning. It feels like the market is expecting a soft print. Therefore, I’ll play the contrarian.

Setup for tomorrow:
Short 3 ES @3969
January 12 call ratio: +3 S=3950, -5 S=4000

ES > 4020 will hurt a bit.
 
atrp2biz said:
So we’re up 80+ points since yesterday morning. It feels like the market is expecting a soft print. Therefore, I’ll play the contrarian.

Setup for tomorrow:
Short 3 ES @3969
January 12 call ratio: +3 S=3950, -5 S=4000

ES > 4020 will hurt a bit.
More...

That VIX is a nasty sneaky bitch. Just a gut feeling.
 
You must log in or register to reply here.
Back
Top