Global Options Trades

G

Global OptionsTrades

I have decided to publish the results of my trading as I am proud of the performance that I am achieving.

A few points to address immediate questions follow.

Background

  • Professional Financial Analyst based in UK, who took an interest in options whilst at University and began trading them (unsuccessfully) during my twenties.
  • Studied volatility, hedging and margin management to arrive at the strategy that I am trading now.

Trading

  • Swing trading and volatility trading, from long options positions on a range of stock indices, currencies and commodities including SPX, DAX, Nikkei225, FTSE100, AUDUSD, and Oil
  • Trading decisions are purely technical.
  • Looked at intraday timeframes, and decided that whilst profits may be greater with fully-automated trading on shorter timeframes, daily timeframes align my trading style and the securities being traded.
  • Average duration is 20 to 40 days across the range of securities over the last 20 years.

Performance

  • Backtesting 20 years to June 2016
  • Paper trading June 2016 to June 2018
  • Actual trading since June 2018
Consistently producing annualised returns >1000% over each phase (backtesting, paper trading, actual trading)

Notes, disclaimers, caveats

  • Performance figures are calculated by (closing price less opening price) divided by opening price. This seems to be the most transparent method.
  • Performance figures do not take into account commission, which at c.0.1% can be significant for high-frequency trading but has negligible impact here.
  • Backtested performance figures do not take into account bid-offer spread, as trades are inside the spread. NB trading via a spreadbetting account would incur the full cost of the spread.
  • Allocation of funds to a particular strategy is for an individual investor to decide, based on several factors including appetite for risk and correlation to other investments. For example allocating 10% of Funds Under Management to this strategy requires performance figures to be divided by 10.
  • Backtesting does not include Out-of-the-Money trades, which I will incorporate in due course, and which will be accretive to returns.
  • Backtesting does not include occasionally closing losing trades and re-entering the position later - this functionality exceeded my backtesting capabilities - but paper trading and actual trading includes this activity and it is accretive to returns.
  • Nothing I say should be taken as investment advice. It is information only.
 
Current open long positions:

Security / Ticker:ES
Open Trade Date: 22 January 2019
Trade: Buy to Open
Expiry Date: 15 March 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,650
Direction: Put
Opening Price: 63.5

Security / Ticker:ES
Open Trade Date: 22 January 2019
Trade: Buy to Open
Expiry Date: 15 March 2019
At the Money / Out of the Money: OotM
Exercise Price: 2,540
Direction: Put
Opening Price: 21.8


Security / Ticker: Z
Open Trade Date: 28 January 2019
Trade: Buy to Open
Expiry Date: 15 March 2019
At the Money / Out of the Money: AtM
Exercise Price: 6,750
Direction: Straddle (Put side)
Opening Price: 144.3

NB closed Call side at a profit.


Security / Ticker:ES
Open Trade Date: 31 January 2019
Trade: Buy to Open
Expiry Date: 15 March 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,710
Direction: Straddle (Put side)
Opening Price: 56.2

NB closed Call side at a profit.


Security / Ticker: DAX
Open Trade Date: 11 February 2019
Trade: Buy to Open
Expiry Date: 15 March 2019
At the Money / Out of the Money: AtM
Exercise Price: 11,000
Direction: Straddle (Put side)
Opening Price: 183.8

NB closed Call side at a profit.


Security / Ticker: Z
Open Trade Date: 19 February 2019
Trade: Buy to Open
Expiry Date: 18 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 7,150
Direction: Put
Opening Price: 145.4

Security / Ticker: Z
Open Trade Date: 19 February 2019
Trade: Buy to Open
Expiry Date: 18 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 6,875
Direction: Put
Opening Price: 46.7
Close Trade Date: 18 April 2019


Security / Ticker: AUD
Open Trade Date: 01 March 2019
Trade: Buy to Open
Expiry Date: 05 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 0.7050
Direction: Put
Opening Price: 0.0051

Security / Ticker: AUD
Open Trade Date: 01 March 2019
Trade: Buy to Open
Expiry Date: 05 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 0.6850
Direction: Put
Opening Price: 0.0009


Security / Ticker: DAX
Open Trade Date: 04 March 2019
Trade: Buy to Open
Expiry Date: 18 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 11,550
Direction: Put
Opening Price: 202.2

Security / Ticker: DAX
Open Trade Date: 04 March 2019
Trade: Buy to Open
Expiry Date: 18 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 10,850
Direction: Put
Opening Price: 46.9


Security / Ticker: N225
Open Trade Date: 04 March 2019
Trade: Buy to Open
Expiry Date: 11 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 21,625
Direction: Put
Opening Price: 373.2

Security / Ticker: N225
Open Trade Date: 04 March 2019
Trade: Buy to Open
Expiry Date: 11 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 20,500
Direction: Put
Opening Price: 115.0


Security / Ticker: AUD
Open Trade Date: 05 March 2019
Trade: Buy to Open
Expiry Date: 03 May 2019
At the Money / Out of the Money: AtM
Exercise Price: 0.7050
Direction: Strangle
Opening Price: 0.0089

Security / Ticker: AUD
Open Trade Date: 05 March 2019
Trade: Buy to Open
Expiry Date: 03 May 2019
At the Money / Out of the Money: AtM
Exercise Price: 0.7100
Direction: Strangle
Opening Price: 0.0073
 
Short positions:

Security / Ticker: CL
Trade: Sell to Open
Expiry Date: 16 May 2019
Exercise Price: 57.50
Direction: Call
Opening Price: 2.91

Security / Ticker: CL
Trade: Sell to Open
Expiry Date: 16 May 2019
Exercise Price: 54.00
Direction: Put
Opening Price: 2.68

Security / Ticker: ES
Trade: Sell to Open
Expiry Date: 31 May 2019
Exercise Price: 2840
Direction: Call
Opening Price: 46.95

Security / Ticker: AUD
Trade: Sell to Open
Expiry Date: 07 Jun 2019
Exercise Price: 0.7200
Direction: Call
Opening Price: 0.01147

Security / Ticker: N225
Trade: Sell to Open
Expiry Date: 13 Jun 2019
Exercise Price: 21000
Direction: Call
Opening Price: 643.8

Security / Ticker: N225
Trade: Sell to Open
Expiry Date: 13 Jun 2019
Exercise Price: 20500
Direction: Put
Opening Price: 583.9

Security / Ticker: N225
Trade: Sell to Open
Expiry Date: 13 Jun 2019
Exercise Price: 21000
Direction: Call
Opening Price: 643.8

Security / Ticker: DAX
Trade: Sell to Open
Expiry Date: 21 Jun 2019
Exercise Price: 11500
Direction: Call
Opening Price: 289.2

Security / Ticker: DAX
Trade: Sell to Open
Expiry Date: 21 Jun 2019
Exercise Price: 11000
Direction: Put
Opening Price: 328.9

Security / Ticker: Z
Trade: Sell to Open
Expiry Date: 21 Jun 2019
Exercise Price: 7025
Direction: Call
Opening Price: 156.3

Security / Ticker: Z
Trade: Sell to Open
Expiry Date: 21 Jun 2019
Exercise Price: 6750
Direction: Put
Opening Price: 137.8
 
"Consistently producing annualised returns >1000% over each phase (backtesting, paper trading, actual trading)"

This is ET. You are going to have to do lots better than 1000% annually. Just kidding! :D

Do it with some volume and you will soon own the world. :)
 
Bought oil Straddles whilst volatility is relatively inexpensive.

Security / Ticker: CL
Open Trade Date: 11 March 2019
Trade: Buy to Open
Expiry Date: 16 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 57.00
Direction: Straddle
Opening Price: 3.62
 
AUD, S&P500 and Nikkei225 all showed a sudden reversal so closed put positions, mainly at a loss.

Security / Ticker: AUD
Open Trade Date: 01 March 2019
Trade: Sell to Close
Expiry Date: 05 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 0.7050
Direction: Put
Opening Price: 0.0051
Close Trade Date: 11 March 2019
Closing Price: 0.0048
Roundtrip P&L: -5.7%

Security / Ticker: AUD
Open Trade Date: 01 March 2019
Trade: Sell to Close
Expiry Date: 05 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 0.6850
Direction: Put
Opening Price: 0.0009
Close Trade Date: 11 March 2019
Closing Price: 0.0004
Roundtrip P&L: -54.1%


Security / Ticker:ES
Open Trade Date: 21 February 2019
Trade: Sell to Close
Expiry Date: 18 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,770
Direction: Put
Opening Price: 52.91
Close Trade Date: 11 March 2019
Closing Price: 34.75
Roundtrip P&L: -34.3%

Security / Ticker:ES
Open Trade Date: 21 February 2019
Trade: Sell to Close
Expiry Date: 18 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 2,650
Direction: Put
Opening Price: 12.66
Close Trade Date: 11 March 2019
Closing Price: 4.27
Roundtrip P&L: -66.3%


Security / Ticker: N225
Open Trade Date: 04 March 2019
Trade: Sell to Close
Expiry Date: 11 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 21,625
Direction: Put
Opening Price: 373.25
Close Trade Date: 11 March 2019
Closing Price: 543.66
Roundtrip P&L: 45.7%

Security / Ticker: N225
Open Trade Date: 04 March 2019
Trade: Sell to CloseExpiry Date: 11 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 20,500
Direction: Put
Opening Price: 115.00
Close Trade Date: 11 March 2019
Closing Price: 104.22
Roundtrip P&L: -9.4%

Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD1973.
 
Initiated long positions in AUD, S&P500 and Nikkei 225 by buying calls:

Security / Ticker: AUD
Open Trade Date: 11 March 2019
Trade: Buy to Open
Expiry Date: 03 May 2019
At the Money / Out of the Money: AtM
Exercise Price: 0.7100
Direction: Call
Opening Price: 0.0071

Security / Ticker: AUD
Open Trade Date: 11 March 2019
Trade: Buy to Open
Expiry Date: 03 May 2019
At the Money / Out of the Money: OotM
Exercise Price: 0.7300
Direction: Call
Opening Price: 0.0017


Security / Ticker: ES
Open Trade Date: 11 March 2019
Trade: Buy to Open
Expiry Date: 18 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,800
Direction: Call
Opening Price: 37.31

Security / Ticker: ES
Open Trade Date: 11 March 2019
Trade: Buy to Open
Expiry Date: 18 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 2,880
Direction: Call
Opening Price: 6.75


Security / Ticker: N225
Open Trade Date: 11 March 2019
Trade: Buy to Open
Expiry Date: 09 May 2019
At the Money / Out of the Money: AtM
Exercise Price: 21,500
Direction: Call
Opening Price: 504.0

Security / Ticker: N225
Open Trade Date: 11 March 2019
Trade: Buy to Open
Expiry Date: 09 May 2019
At the Money / Out of the Money: OotM
Exercise Price: 22,500
Direction: Call
Opening Price: 180.9
 
Outstanding March options expired at nil value on Friday.

Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD-2273.

NB this is the first time that rolling monthly P&L has been negative.
 
Closed S&P500 Calls on Thursday.

Security / Ticker: ES
Open Trade Date: 11 March 2019
Trade: Sell to Close
Expiry Date: 18 April 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,800
Direction: Call
Opening Price: 37.31
Close Trade Date: 20 March 2019
Closing Price: 54.00
Roundtrip P&L: 44.7%

Security / Ticker: ES
Open Trade Date: 11 March 2019
Trade: Sell to Close
Expiry Date: 18 April 2019
At the Money / Out of the Money: OotM
Exercise Price: 2,880
Direction: Call
Opening Price: 6.75
Close Trade Date: 20 March 2019
Closing Price: 10.00
Roundtrip P&L: 48.1%

Rolling monthly P&L (for a contract size of 1 lot in each security) with no compounding is USD914.
 
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