Short Straddle Update

Quote from newguy05:

Closed:
-Short 3x June 1400C at 40pt, exit at 16(after commission), +72pt -> +$3600

Opened:
-Short 4x June 1350P at 18pt

June realized p&l: +$3600
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Long term bias is still negative, however short term(week) we may be looking at move up:
- Hitting multiple levels of strong support at 1370 area again, 1350 is also another solid support below
- 4 consective days of significant downward movement , 50pt drop!
- Today and Tuesday are good contrarian indicators due to the memorial day long weekend low volume, if the market moves in 1 direction significantly, wed will likely move in the opposite direction.
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Closed:
-Short 4x June 1350P at 18pt, exit at 7pt(after commission), +44pt -> $2200

June realized p&l: +$5800

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As per the TA, market followed as expected for a short term rally to 1400. We are now at a crossroad again, long term bias is still negative. But right now holding cash and waiting. If it hits 1425ish level again on the current low volume, will open short calls, otherwise will decide as the chart becomes more clear.
 
Just to compare apples to apples, we need to report our profit/loss as return on margin. I forgot to do this last week; I will try to remember to it this weekend. Newguy, I appreciate your results, but without knowing your return on margin, I can't compare it to my results. Anyway, I will try to publish week 2 results this weekend.
 
Week 2 results. Recap: single contract short straddle P1425/C1425; Return on Margin to-date: 6.25%. Two contract short straddle P1420/C1420; Return on Margin to-date: 9.00%. Returns on margin are different, for I am using two different brokers, one of which has higher margin requirements. Apparently, the one with the higher margin requirements includes the total premium received rather than just the highest premium on one side. Upper BB (bollinger Band) was hit and the VIX is now heading toward the lower BB band. Both bands are trending downward; the VIX did not go above 21. We will see what happens next week.
 
Quote from jwcapital:

Just to compare apples to apples, we need to report our profit/loss as return on margin. I forgot to do this last week; I will try to remember to it this weekend. Newguy, I appreciate your results, but without knowing your return on margin, I can't compare it to my results. Anyway, I will try to publish week 2 results this weekend.
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to be honest, i dont really track my profits based on return on margin, because the margin requirement differs so much when you short the underlying vs naked short vs short spread/combo, the risk difference between them is not that big to justify the difference especially for a relatively stable index such as the es/sp500

Example on 6/6: 1) short 10x 1420C at 10 requires 90k margin 2) short spread 10x 1420C/1470C at 8 requires 25k margin. Assume the contract expired worthless, your return on margin for 1) is 5%, for 2) is 16% But i dont think the risk between naked 1420C short vs spread 1420C/1470C short justifies a difference of 11%. If one trader did 1), another did 2), their "common sense" gain is not 5% vs 16%

Anyway when i make the trade i make sure the account's total margin requirement including the trade is at max 70% of account value. My max margin requirment for june was at around 35k if i remember correctly. So i guess that's a 16% return so far for june.

Opened and added small positions as es hits the 1400 resistence earlier this week and today.

current open position:
-4X short june 1420C at avg 10pt

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ps are you still holding the short straddles? after today's rally your positions should be in good profit :)
 
I am holding the 2x P1420/C1420. I had to let go the 1x P1425/C1425, for I wasn't able to watch it on Wednesday. As always, I exited it at the bottom on Tuesday before the ES recovered a little--loss was 6.6% return on margin. If I kept the trade alive, then it would be profitable as of today. Return on margin is most important to compare results. You only need to note the initial margin of each of your combos, for that initial margin is "the price of admission." Maintenance margin isn't important from a return point of view, just an accounting measure. Of course the initial margin and maintenance margin fluctuate, but the maintenance margin rarely rises above the initial margin when the trade is first placed. Will report results tomorrow for week three.
 
but my point was using return on margin is not a good comparison.

Today ES at 1378,
1) Selling 10x 1420C at 4.4pt requires $68577 initial margin
2) Selling 10x 1420C/1470C spread at 4pt requires $21187 initial margin

Assume both expires worthless, if you use the return on margin for comparison, 1) 3% gain 2) 9% gain

The 1470C delta is at 0.02, there are 4 trading days left. How much of a real difference are there between the 2 trades? Does it justify a 3% gain vs 9% gain calculated using report on margin. Personally i dont think so.

A better way for comparison purpose would be just to compare the total points opened, and points gained/lost upon closing the position.
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Very choppy market and wont get any better next week with option x. So has to go with the flow and adjust my style closer to active/day trading - take profit when able. Otherwise risk being chopped up by the big players. 2 key resistence at 1370 and 1350.

Closed:
-4X short june 1420C at 10pt, exit at 5pt(after commision) -> 20pt * 50 = $1000 gain

Opened:
-4x short june 1335P at 10pt

June realized p&l +$6800
 
Quote from newguy05:

The 1470C delta is at 0.02, there are 4 trading days left. How 1350.

June realized p&l +$6800
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you might want to re-check options expiration...5 week month for June so you have 11 days left NOT 4 ...can very easily go to 1450 or 1300 by expiration :eek:

edit I can't count either..9 trading days...anyway pt is the same a week longer than your seem to be counting on
 
Leh down 7% at pre market, risk too high for another down day. This is a great daytrader's market, unfortunately for us it's as bad as it comes. Holding all cash once again.

Closed at pre market:
-4x short june 1335P at 10pt, exit 11pt -> 4pt * $50 = -$200 loss

June realized p&l +$6600
 
making a small otm play below the 1300 support. options x should be a good contrarian next week, given this week's down market. I will have a hard stop loss at exactly the strike = 1290

Opened:
Short 5x JUNE 1290P at 4.6pt
 
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