Shortie's 10 Best Market Calls

[tradingjournals]

Quote from shortie:

Nice Unrealized PL +363. Let's see if I will manage to blow it after the Greek vote is in.

It was a nice trade.

Are you overstaying? Why you do not lock some profits? Theta might start working against you? There is no theta hedging? To hedge theta would imply selling option premium.

 

[tradingjournals]

Quote from shortie:

[B Also, I note that the spread's PL >+$200 which is roughly the amount of VXX Puts I bought, so I am buying the insurance from the profits.
[/B]

That is quantitive --- quantitive does not mean some fancy charts of greeks. Good money management, and patience!

One other point: Have you tried to see what you would have gotten had you used IWM or QQQ instead of SPY.


My impression is that if you used IWM or QQQ (in that order) you might have done even better. But volty on IWM, QQQ might be higher than in SPY, so I am not sure about the outcome.

 

[tradingjournals]

Quote from shortie:

thanks for the input.
some of it is definitely over my head.

actually i did buy wrong puts due to a mistake. i thought i bought 24 Puts which were ATM/ITM at the time (should have been 1 Aug 24 Put @~2.70). i guess it only partly solves the likely implied drop on VXX when/if the market volatility starts dropping but VXX call spreads do address this.

I feel that a risk to your position is a retreat to Bernanke's Line, with a lower volty (amplified with time left in options), and a little passge in time with costs some thetas. Long options are wasting assets (if you remove the intrinsic value).

 

[tradingjournals]

Quote from atticus:

You're up on SPY deltas, down on vol, up a tick on smile. You need a linear rally in SPY to justify the otm VXX puts. They will track discretely, which is not what you want. You need a big move to have the hedge pay off. You should have sold VXX calls/call spreads.

What would be the "best" way to play a bottom using VXX? Would buying puts, and selling higher strike calls (with more calls sold than puts bought) be a good thing?

 

[atticus]

Quote from tradingjournals:

What would be the "best" way to play a bottom using VXX? Would buying puts, and selling higher strike calls (with more calls sold than puts bought) be a good thing?

Bottom in the SPX? Nothing in VIX or var-swaps in general. Diminishing return in selling those here, akin to going long blue EDs at 99.

Selling index puts, put spreads; long risk-reversals, long-delta flies, short calendars.

 

[shortie]

Bailed out this morning, PL +370 (12% return on 100% risked) (note that ate ~>$70 in spreads round trip). During the trade SPY:GLD moved 3.5% in my direction after a small adverse movement.

entry, exit and Bernanke line are illustrated in the chart.

 

[shortie]

It is with great sadness I report that Bernanke Line is broken. See prior posts for explanation about THE LINE. Don't know what the implications are here.

"If it is broken, you can't fix it"
--Shortie Out

 

[shortie]

The trade is back! Feel good about this one. Demo account trade. Ate the spread on all.

Long SPY
Short GLD
Short VXX

 

[shortie]

As previously, the rationale for the trade is that we are at the MAJOR support level (right now we are around 2009 bottom) so we should bounce from here. VXX Short is to compensate for volatility drop that will eat into SPY GLD option premium. VXX Short is also a trade in its own right since low volatility can be expected going forward (VIX ~40 is quiet extreme historically).

The ratios and strikes have been picked by eye and not attempt was made to make them "scientifically correct"

 

[shortie]

last week i added to VXX Short. Won't be adding to the position any more. Taking it up the butt after today. VXX is insane, so is GLD.