Noregrets' "Double or Nothing" Volatility Trading Journal
- Thread starter noregrets
- Start date
Took profit by closing the 17/20 legs of the fly at 1.43 credit as the premise for the trade is disappearing with the budget deal and the fly is at neutrality. It seems likely that VIX will fall significantly over the coming days if the deal goes through. I am leaving on the rest of the Oct VIX position as MTM value is low and there is the potential for windfall profit if Wednesday's SOQ is <15 or >19. Will report on the total p/l of this series of trades at that point.
Closed for a loss of 1.90 inc. commissions. I just needed to close the position and take the loss, with the stock having gone up 9% since I put it on last Thursday (including eight points today), and again nearly at the upper short strike. I was happy with the calculated edge when I put it on but it is hard to find an IC that will be successful when the underlying makes such a large move so quickly.
I wanted to report out on the final results of the series of Oct VIX option trades I put on over the last few days. I legged into a series of flies up and down the vol line from 13 to 35 for low or no cost, taking profits on one to lock in breakeven on the trade series and "letting the rest ride" until today's expiration. Today's SOQ was 17.21, so my remaining five flies finished OTM. Overall p/l was approximately a scratch after commissions. I would definitely do the trade again as the r/r was excellent, with minimal risk at any point and the potential for substantial profit if VIX had settled significantly above, or below, where it did.
One key takeaway for me though is to chew on the thought process that led to my a priori assumption that, at expiration, the VIX would either be significantly elevated (if there was no budget deal yet) or collapsed (if there was a deal). As it happened, there is no signed deal yet but the VIX has priced in that there will be one so the binary settlement outcome did not occur. I saw on another thread a poster (Mav) suggesting game theory as a way of explaining an outcome such as this one, which I agree with and thought was an insightful point. Like a chess player, I need to start thinking more moves ahead when planning my trades and going beyond the simple, obvious projections of how a trade may play out.
One key takeaway for me though is to chew on the thought process that led to my a priori assumption that, at expiration, the VIX would either be significantly elevated (if there was no budget deal yet) or collapsed (if there was a deal). As it happened, there is no signed deal yet but the VIX has priced in that there will be one so the binary settlement outcome did not occur. I saw on another thread a poster (Mav) suggesting game theory as a way of explaining an outcome such as this one, which I agree with and thought was an insightful point. Like a chess player, I need to start thinking more moves ahead when planning my trades and going beyond the simple, obvious projections of how a trade may play out.
I am going to be taking the journal offline for a while. Disappointed with my results to date, I will be trying a different, somewhat more aggressive, strategy and I worry that it could affect my trading knowing that my trades are visible publicly due to the loss aversion that that creates in oneâs mind. Once I have completed (whether successfully or not remains to be seen) the âproof of conceptâ of the new strategy then I plan to begin journaling again. I appreciate the feedback to date and thanks for following along.