Noregrets' "Double or Nothing" Volatility Trading Journal

[noregrets]

Quote from noregrets:

Long the Oct VIX 14 put, 20 put, 20 call, and 30 call from 4.70.

Sold 2x Oct VIX 25 calls for .65 each.

Sold 2x Oct VIX 17 puts for 1.40 average. Am now in the 14/17/20 put fly and the 20/25/30 call fly from .60 all-in.

 

[justrading]

Quote from noregrets:

Sold 2x Oct VIX 17 puts for 1.40 average. Am now in the 14/17/20 put fly and the 20/25/30 call fly from .60 all-in.

Very interesting strategy.

 

[noregrets]

Long the Oct VIX 13/14/15 call fly from .15. Just adding a little bit of downside protection in case the VIX collapses before expiration.

 

[noregrets]

Quote from justrading:

Very interesting strategy.

Thanks; we'll see if it works.

 

[noregrets]

Long the Oct VIX 14,20 puts and 18,22 calls from 5.60.

 

[noregrets]

Quote from noregrets:

Long the Oct VIX 14,20 puts and 18,22 calls from 5.60.

Out of the calls for 1.80.

 

[noregrets]

Long the SPX Oct4 1680/1690/1700 call fly from 3.75. Stop 3.00, target EOD, will protect significant profits if they appear.

 

[noregrets]

Quote from noregrets:

Long the SPX Oct4 1680/1690/1700 call fly from 3.75.

Out at 3.00. -22% return on risk. I like this trade and was probably just shaken out with other longs but had to honor the stop. Am still synthetically long through VIX puts.

 

[noregrets]

Quote from noregrets:

Long the Oct VIX 14,20 puts and 18,22 calls from 5.60.

Out of the calls for 1.80.

Out of the 20 put for 3.70. Happy with what I have on for the VIX and looking for other opportunities. Nothing special here, but in all over the last several days I was able to put on the October expiry 13/14/15 call fly, 14/17/20 put fly, 20/25/30 call fly, and 14 put from .85. I plan to hold these through expiration. The position has 20 strike pin risk as well as risk if VIX explodes to the upside (both limited to the debit + comms), but has the potential for windfall profit also. This is the first time that I have tried legging into flies like this and, though my execution could have been better, I think there is a lot of potential for a strategy like this in a volatile, rangebound environment.

 

[noregrets]

Quote from noregrets:

Long the SPX Oct4 1680/1690/1700 call fly from 3.75.

Out at 3.00. -22% return on risk. I like this trade and was probably just shaken out with other longs but had to honor the stop.

Another obvious lesson re-learned today. I should have waited for a pullback to enter the fly, rather than putting it on right after the market had marched up a few points. I could have entered it at the stop price and would not have been shaken out. The fly is currently at 7.00, but the lesson is priceless.