HowardCohodas Index Options Credit Spread Trading Journal

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Quote from HowardCohodas:

Ask me a specific question.

All spreads expiring tomorrow show less then 5% PoT. Overnight futures show little change expected. None the less these will be monitored near the end of trading today to make the final decision of closing them or letting them expire.
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Obviously you monitor PoT (how do you calculate this?).

What has to happen to "make the final decision" of closing a spread or letting it go on and expire?.

With spreads 1 day to expiration, every metric is very "jumpy". How do you decide when/if to do the closing (bad) or let expire (good)?.
 
Quote from eudaemon:

Obviously you monitor PoT (how do you calculate this?).
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I covered this in the post at the top of page 20.

Quote from eudaemon:

What has to happen to "make the final decision" of closing a spread or letting it go on and expire?.
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If PoT is less than 10% (7% for those more cautions) I will let it expire.

Quote from eudaemon:

With spreads 1 day to expiration, every metric is very "jumpy". How do you decide when/if to do the closing (bad) or let expire (good)?.
More...
I make this decision between 30 and 45 minutes before trading closes. If the day starts out with PoT near my limit I will watch throughout the day. If the overnight futures show an adverse move, I will watch at opening of trading.
 
Howard

I think OPTION COACH had mentioned it. IRON CONDORS really only work with reliability in a bull market, with VIX in his case below VIX 20 and in my estimation below VIX 22. When you are in a bull trend as you are now with VIX 15 your Iron condors should work well. But you are going to get hit and wipe out your account when the VIX rises to around VIX 26 and above. You can´t trade them all the time, and succeed. The risks grow exponentially as the VIX rises. These are just rule of thumb experiences.

What this means in practice, the real world is that Iron Condors which are non-directional as you say, are of limited application. You don´t use them all the time. The majority of the time you play Vertical Credit Spreads in a directional play. Thus if you have to predict direction, then you might as well straight buy options which is safer.
 
Howard
A little tidbit from one years experience but a lot of trades in weeklies compared to slower monthly trades.

Thursday and Friday of expiration week, 3% deviation covers BEAR CALL SPREADS and 4% deviation covers Bull Put Spreads fine. So if your spreads on a Thursday outside of those deviations, you are probably safe to go to expiration.
 
Quote from falconview:

Howard
A little tidbit from one years experience but a lot of trades in weeklies compared to slower monthly trades.

Thursday and Friday of expiration week, 3% deviation covers BEAR CALL SPREADS and 4% deviation covers Bull Put Spreads fine. So if your spreads on a Thursday outside of those deviations, you are probably safe to go to expiration.
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My preference is for a metric that incorporates volatility.
 
2011-01-21_a_Journal.png


21 JAN 2010 Trading Plan

Opportunity - Takeoffs are optional
Column: IC
Spread #61 is unpaired. Opportunity to form an Iron Condor.

Column: Spread P/L
Roll opportunities:
Spread #65

Jeopardy - Landings are mandatory
Column: Probability of Touching
No cautions. No warnings

Column: Days Until Expiration
No cautions. No warnings

Column: At Risk P/L
No cautions. No warnings

New Opportunity
Funds will be released from quarantine today.
 
I like your systematized repetitive process to look at the whole picture of your position and possible actions/dangers/opportunities every day.:cool:
 
Quote from eudaemon:

I like your systematized repetitive process to look at the whole picture of your position and possible actions/dangers/opportunities every day.:cool:
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Thank you.

Can you tell I'm an engineer? :eek:
 
21 JAN 2010 Expiration Report

PHP: 
NDX Iron Condor 15 - Yield 63.8%
   35   CALL   4.2%   Expired
   33   PUT    8.1%   Rolled
   48   PUT    7.6%   Rolled
   52   PUT    1.0%   Closed - Error in entering spread
   64   PUT    5.3%   Rolled
   70   PUT    5.9%   Rolled
   74   PUT    5.6%   Rolled
   78   PUT    4.1%   Expired

PHP: 
RUT Iron Condor 16 - Yield 30.5%
   50   CALL   4.2%   Expired
   34   PUT    8.0%   Rolled
   55   PUT    6.6%   Rolled
   77   PUT    4.1%   Expired

PHP: 
SPX Iron Condor 17 - Yield 26.6%
   53   CALL   3.6%   Expired
   36   PUT    7.7%   Rolled
   69   PUT    7.5%   Expired

PHP: 
Total closed spreads:       72
Profitable spreads:         68
Average profit per spread: 6.0%
Unprofitable spreads:        4
Average loss per spread:   9.3%

Percentage Profitable:      94%
Average Life (Days)         19

How were spreads closed?
Rolled spreads:             25
Exited spreads (last day):   9
Expired spreads:            38

PHP: 
Total closed Iron Condors:         20
Profitable Iron Condors:           19
Average profit per Iron Condors: 22.9%
Unprofitable Iron Condors:          1
Average loss per Iron Condors:   20.3%
 
I presume that you've back tested this system against some of the more notorious crashes, notably in the fall of 2008 and March 2009, when it would be necessary to stop out of the bull put spreads. What sort of results do you get for those periods? Did you use actual option prices at those times (with high IV and wide bid/ask spreads) or estimates?
 
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