Trading Dutch Markets

T

tikipoki

Hey guys, new to the boards and new to trading, ill keep my trading journal of the Dutch markets here for my education (shame punishments and brag rewards on my actions ;))

I will primarily trade 3 setups on the dutch AEX market:

1) Long stock with short straddles ATM

Trading stock for a longer holding time, ill change positions (go from long stock-->short stock and vice versa) when the markets demands it (when I start to lose money if I stay long/short), I wont go flat on the stock before I covered my short position. I will cover my short positions when 2/3 of the premium value has ran out, then assess whether ill keep a position (and write new premium) or liquidate it. Positions will be kept for weeks/months

2) Short term long/short positions in stock

Stock on a shorter timeframe, basically; when something's up a bunch, ill go long, when its down a bunch, ill go short. Stoploss @ 15ct, traling stop per 15ct level. Positions will be kept for days

3) Calendar spreads on Index options.

Not much to explain; long the longterm option, short a shorter term one, close out the short frame position when 2/3 of the premium has ran out, then assess whether ill close the long position, too, or short another month.

For now, the trading rules are:

[stock&strangles]
- turn on stock position @ breakeven
- cover strangles when premium is down 2/3

[short term stock]
- go long when stock is up 'a bunch'
- go short when stock is down 'a bunch'
- stoploss @15cts, size 1-2-3 00 stocks

[calendar spreads]
- get out when short premium is down 2/3

The rules will be modified when i find out something isnt working/something could add to the workings.

cheers,

Tiki
 
These trades were made last week/today:

17-10-2003:

trade:

Long 200MOO @ 7,37
Short 2 C Apr 2004 8,00 @ 1,20
Short 2 P Apr 2004 8,00 @ 1,80

(premium = 3 - (8-7,37) = 2,37)

motivation:

MOO (Van Der Moolen holding), big player on the NY exchange. Came down from 1yhigh of 23, was low around 8 in the start of 2003, came up to 14 again, now to drop back to 7. I have faith in support around that 7 level.

stops:

Short 400MOO when it plummets down to 6,41
Close out the strangle when premium worth is (1/3 * 2,37 =) 79cts

current status:

MOO @ 7,17
Strangle APR2004 8,00 @ 2,85 (premim abt. 2)
 
These trades were made last week/today:

20-10-2003:

trade:

Long 200GTN @ 1,69

motivation:

GTN (getronics) do stuff with computars ;P company almost went bankrupt but was saved (they made a deal with the obligation holders) and came back from 0,10 to current level. 1yhigh = 1,55, 1ylow = 0,10. It seems the company has broken through some upwards resistance levels now and shows HUGE volume and action. Lets see if I can take some money from that action.

stops:

Close 200GTN when it reaches 1,54

current status:

GTN @ 1,73
 
These trades were made last week/today:

20-10-2003:

trade:

Long 4 AEL Put Jul 2004 34,00 @ 3,40
Long 4 AEL Call Jul 2004 34,00 @ 2,30
Short 4 AEL Put Dec 2003 34,00 @ 1,80
Short 4 AEL Call Dec 2003 34,00 @ 0,90

motivation:

AEL is the AEX-Light option. (underlying value=AEX/10), european style, cash-settled. I chose this option over the AEX option because of financial reasons, 2k for this construction on margin I can put up, 5k for 1 full-blown contract is - at this point - too much for me (the light is liquid enough tho, so im not sweating it)

stops:

Cover the short options when premium level has dropped to 1/3 of the original action.

[edit] lets calculate that premium for a moment.
Underlying @ shorting time: 32,8
P Dec 2004 34,00 intrinsic value = (34-32,8) = 1,2, premium = (1,80-1,20 =) 0,60
C Dec 2004 34,00 intrinsic value = (32,8-34) = 0, premium = (0,90-0 =) 0,90
Total premium = 1,50 so I will close out the position when the premium money is down to 0,50

current status:

Underlying value 32,81

note:

I dont expect a lot of action from this position until the end of november.. well see

tiki
 
Phew, the day is already over here in NL :) So ill take a look back on the first trades now

1) GTN
============================================
GTN --> 200xlong @ 1.69, to see it go to 1.77 and drop back to 1.69.. I got all sad then saw some HUGE buyer blocks at this price level and decided to size up my position:
GTN --> 300xlong @ 1.69 added to it. The buyers indeed proved some nice support and the stock went up to 1.75 again (tho on lower value then the morning moves)

my stop loss is still @ 1.54, ill raise it to 1.69 as soon as it hits 1.84 tomorrow (and keep incrementing the stop in 15ct steps)

Feelings on this one: Good. I know what I can lose (500*15cts) & the stock is moving my way. One thing I dont like tho are the relatively high transfer costs, thats something to take in account for my position sizing. To get into this position I paid 2x 12€ (12 euro for the first 200 and 12 euro for the last 300), it will take me another 12 to get out (12 euro for 500), which is 36€ overall costs, translating to 7.2cents per share or a whopping 5%!!!!!!!

Question: Do you guys take your RT costs in consideration on your position sizing? if so, how. What I can think of now is applying a minimum €value of shares for size. Ill think it over some more and implement a rule in the trading plan for it soon.
=============================================

2) MOO
=============================================
MOO --> Long 200 @ 7.37, Short the APR 2004 8,00 Straddle for €3,00

MOO has been struggling with low volumes (1.4 mil today if im not mistaken) but shows some resistance around the 7 level.. luckily for me. Yesterday's close was 7.50, the US took it up to 7.62, and by 10am this morning in Holland it was trading at 6.98 (days low). Its been struggling its way back up to 7.30 during dutch trading hours and America's taken it to 7.39 for now.

The short straddle is still trading at €3 tho the intrinsic value has slightly increased (thus the premiums slightly decreased :)) My feelings on this trade are good, too, for I wont see MOO falling down to <6, and even if it does I have time to turn on my stock position and hedge myself from pain.

basically im happy happy about this trade (though ofcourse i'd like it to rally up a bunch and keep mr. Tiki even MORE happy)
============================================

3) Index Options
============================================
Long 4 AEL Put Jul 2004 34,00 @ 3,40
Long 4 AEL Call Jul 2004 34,00 @ 2,30
Short 4 AEL Put Dec 2003 34,00 @ 1,80
Short 4 AEL Call Dec 2003 34,00 @ 0,90

is my position. Underlying now 32.8

This is a strategy I though up before I started trading, because I THOUGHT that having these scary stock positions would make me feel uncomfortable but a strategy like this (in this example calculated to pump out about 400 eur in 2 months) would have me feeling warm, safe, fuzzy and happy.

Well it really DOESNT. While I was (am) comfortable about the other 2 trades i set up, and feel like I am in good control to cut my loss everytime I want, I find myself checking this position every damn 2 minutes and I feel VERY uncomfortable holding it. I also dont like that this baby clogs up €3000 of my trade money (€1000 overvalue of the longer running options and 2x €1000 held back margin for the short ones).

I will try to eliminate this position ASAP with minimal loss..
(current quotes:
AEL C Dec 2003 34.00 @ 0.80
AEL C Jul 2004 34.00 @ 2.15
AEL P Dec 2003 34.00 @ 1.80
AEL P Jul 2004 34.00 @ 3.35)
=============================================

This is it, so the plan for tomorrow is:

* do thinking on sizing the short-timeframe-trading trades (see: GTN)
* eliminate Index Options position

Also I though up today about changing the entry rule for ShortTerm trades, taking prices every 5 minutes. When the Delta Upwards is bigger 3 consecutive times ( like: 1ct increase->3ct increase->6ct increase), go long, when Delta downwards is bigger 3 consecutive times ( like: 1ct decrease ->3ctdecrease->6ctdecrease) go short.

I will papertest this tomorrow.

Comments, thoughts, ideas & complaints all (but not equally ;)) welcome!

Tiki
 
I use Alex and the iex premium feeds.

Are you netherlands based, too? Maybe we should exchange thoughts/ideas somewhere!

Tiki
 
Tiki,

I live in The Netherlands as well (most of the time) and I know Alex. (in fact when I started being interested in economics, it was my first broker)
Have you ever tried other brokers ?
I suggest you also take a look at IB (www.interactivebrokers.com) since they also offer Dutch products (options / futures) Stocks are comming soon.

Where in the Netherlands are you ?
There are more Dutch traders on this board, some of them I spoke with, but most / all of them focus on US markets or EUREX (more liquidity)
 
H20:

I know IB and checked them out, but being too fond of my dutch stock (I like the dutch markets because I know what the company's do, im closer to the heat and that comforts me) I wont have much use of an account there (yet!). I have not tried other broker but did play with ABN & Postbanks programs. They sucked for me :)

Living on and off in Amsterdam/Hilversum. Since im just starting and I want to focus on AEX stock first, I dont have anyproblems with liquidity since alot of them trade at least over 1-1.5mil contracts a day with the bigboys almost always nearing the 10 (at least what I can see).


Tomorrow's plan:

Stops will be modified with position size; ill use:

100shares- 25cts stoploss, 25cts stages for the trailing profit
200shares- 13cts stoploss, 13cts stages for the trailing profit
300shares- 9cts
400shares- 7cts
500shares- 5cts

individual positions will not exceed a total value of €1500

Tiki
 
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