Global Options Trades

Sold Treasury Bond Calls:

Security / Ticker: ZB
Open Trade Date: 29 March 2019
Trade: Sell to Close
Expiry Date: 24 May 2019
At the Money / Out of the Money: AtM
Exercise Price: 149.00
Direction: Put
Opening Price: 1.27
Close Trade Date: 23 April 2019
Closing Price: 2.72
Roundtrip P&L: 114.2%

Security / Ticker: ZB
Open Trade Date: 29 March 2019
Trade: Sell to Close
Expiry Date: 24 May 2019
At the Money / Out of the Money: OotM
Exercise Price: 145.00
Direction: Put
Opening Price: 0.20
Close Trade Date: 23 April 2019
Closing Price: 0.43
Roundtrip P&L: 120.5%

And bought Calls:

Security / Ticker: ZB
Open Trade Date: 23 April 2019
Trade: Buy to Open
Expiry Date: 24 May 2019
At the Money / Out of the Money: AtM
Exercise Price: 147.00
Direction: Call
Opening Price: 0.80

Security / Ticker: ZB
Open Trade Date: 23 April 2019
Trade: Buy to Open
Expiry Date: 24 May 2019
At the Money / Out of the Money: OotM
Exercise Price: 151.00
Direction: Call
Opening Price: 0.04
 
Bought S&P 500 Puts:

Security / Ticker: SPX
Open Trade Date: 25 April 2019
Trade: Buy to Open
Expiry Date: 21 June 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,920
Direction: Put
Opening Price: 51.3

Security / Ticker: SPX
Open Trade Date: 25 April 2019
Trade: Buy to Open
Expiry Date: 21 June 2019
At the Money / Out of the Money: OotM
Exercise Price: 2,790
Direction: Put
Opening Price: 9.6
 
Bought Oil Puts:

Security / Ticker: CL
Open Trade Date: 25 April 2019
Trade: Buy to Open
Expiry Date: 17 June 2019
At the Money / Out of the Money: AtM
Exercise Price: 65.00
Direction: Put
Opening Price: 1.07

Security / Ticker: CL
Open Trade Date: 25 April 2019
Trade: Buy to Open
Expiry Date: 17 June 2019
At the Money / Out of the Money: OotM
Exercise Price: 58.00
Direction: Put
Opening Price: 0.30
 
Bought S&P500 Straddle:

Security / Ticker: SPX
Open Trade Date: 29 April 2019
Trade: Buy to Open
Expiry Date: 21 June 2019
At the Money / Out of the Money: AtM
Exercise Price: 2,940
Direction: Straddle
Opening Price: 97.4
 
Whilst volatility was relatively low, bought FTSE Stradde:

Security / Ticker: FTSE
Open Trade Date: 01 May 2019
Trade: Buy to Open
Expiry Date: 21 June 2019
At the Money / Out of the Money: AtM
Exercise Price: 7,325
Direction: Straddle
Opening Price: 232.9
 
After the fall in oil price, closed Oil Puts at a profit:

Security / Ticker: CL
Open Trade Date: 25 April 2019
Trade: Sell to Close
Expiry Date: 17 June 2019
At the Money / Out of the Money: AtM
Exercise Price: 65.00
Direction: Put
Opening Price: 1.07
Close Trade Date: 06 May 2019
Closing Price: 4.00
Roundtrip P&L: 273.3%

Security / Ticker: CL
Open Trade Date: 25 April 2019
Trade: Sell to Close
Expiry Date: 17 June 2019
At the Money / Out of the Money: OotM
Exercise Price: 58.00
Direction: Put
Opening Price: 0.30
Close Trade Date: 06 May 2019
Closing Price: 0.71
Roundtrip P&L: 137.8%
 
...and Bought Oil Calls:

Security / Ticker: CL
Open Trade Date: 06 May 2019
Trade: Buy to Open
Expiry Date: 17 June 2019
At the Money / Out of the Money: AtM
Exercise Price: 62.50
Direction: Call
Opening Price: 2.13

Security / Ticker: CL
Open Trade Date: 06 May 2019
Trade: Buy to Open
Expiry Date: 17 June 2019
At the Money / Out of the Money: OotM
Exercise Price: 69.00
Direction: Call
Opening Price: 0.39
 
Nikkei 225 volatility was relatively low, so bought a Straddle position:

Security / Ticker: N225
Open Trade Date: 07 May 2019
Trade: Buy to Open
Expiry Date: 13 June 2019
At the Money / Out of the Money: AtM
Exercise Price: 21,625
Direction: Straddle
Opening Price: 1,120
 
In addition, I have introduced Bull Put Credit Spreads when purchasing long (Call) positions, and Bear Call Credit Spreads when purchasing short (Put) positions.

I have tried to ensure that this journal is transparent such that positions closed can quickly be reconciled with positions opened, providing the reader with confidence in the journal.

I don't want the addition of credit spreads to make the journal less transparent, so am open to suggestions on how to show the information best.

Positions opened during the last month:
CL 17/06/19 56.50/57.00 with 0.07 credit
DAX 21/06/19 12850/12950 with 16.4 credit
ES 21/06/19 2825/2800 with 4.14 credit
ES 21/06/19 3010/3035 with 4.44 credit
Z 21/06/19 6975/6900 with 12.16 credit
Z 21/06/19 7075/7150 with 12.3 credit
ZB 21/06/19 150/151 with 12/64ths credit
AUD 05/07/19 0.685/0.680 with 0.00085 credit
DAX 19/07/19 11750/11650 with 16.4 credit
Z 19/07/19 6900/6825 with 12.2 credit
Z 19/07/19 7100/7025 with 12.7 credit
CL 15/08/19 55.00/54.50 with 0.09 credit
Z 16/08/19 6825/6750 with 13.2 credit
AUD 06/09/19 0.6750/0.6700 with 0.00075 credit
AUD 06/09/19 0.7300/0.7350 with 0.00075 credit
CL 17/09/19 52.50/52.00 with 0.09 credit
DAX 20/09/19 11400/11300 with 17.9 credit
Z 20/09/19 6900/6825 with 12.7 credit
AUD 06/09/19 0.6750/0.6700 with 0.00075 credit
AUD 06/09/19 0.6750/0.6700 with 0.00075 credit
DAX 21/6/19 12850/12950 with 16.4 credit
DAX 21/6/19 12850/12950 with 16.4 credit
 
Global OptionsTrades said:
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.
More...
Going to read your journal with real interest, thanks for sharing it. Do you mind if I ask you a couple of things?

1. What signals do you use on the daily chart to indicate if you will buy a call or put?

2. What broker platform do you use, from what I can see you trade futures options, is there any reason for that?

Thanks!
 
You must log in or register to reply here.
Back
Top