Friday 18 January 2013

Backtesting 2013 - Jan 22, 2013 Entry

On Jan 18, 2013 the market was down and Average IV was 14.4% at the time of entry around 10:30am.

Trade entry:


Adjustments:

  • Jan 25 - Sold 4 x 880 to reduce DELTA outside tent 
  • Feb 5 - Sold 6 x 880 to reduce DELTA outside tent
  • Feb 7 - Sold 4 x 890 to reduce DELTA outside tent
  • Feb 13 - Sold 4 x 890 to reduce DELTA outside tent
  • Feb 14 - Have to roll the BF up 30pts b/c I can't keep DELTA and VEGA negative
  • Feb 19 - Sold 3 x 930 to reduce DELTA inside edge of tent
  • Feb 20 - Sold 2 x 920 to reduce positive DELTA in the tent (I made this adjustment, but my 20 pt threshold rule is not being followed, i.e. 20 pts down I'm - $2000 - I don't know what I would have done)
  • Feb 21 - Sold 5 x 910 to protect t+0 downside risk
  • *Note* For Adjustments starting Feb 20, I had to increase my ABS Max Loss to $5000 and my adjustment thresholds.
  • Feb 25 - Sold 5 x 900 to reduce DELTA under the tent
  • Feb 27 - Sold 7 x 920 to reduce DELTA under the tent
  • Mar 1 - Considered making an adjustment to protect t+0 upside risk, but decided that since my Greeks are within parameters that I won't over manage the t+0 line.
  • Mar 4 - Sold 3 x 930 to reduce DELTA
  • Mar 5 - Sold 7 x 930 to reduce DELTA
  • Mar 6 - Sold 1 x 950 to reduce DELTA (sold this 1 over my upper wing)
  • Mar 7 - Sold 1 x 950 to reduce DELTA (sold this 1 over my upper wing)
  • Mar 8 - Exited at 7 DTE and below profit target + $1376