Account: Blog backtesting 2013 Apr start
On Oct 25, 2013 the market was down and Average IV was 13.7% at the time of entry around 10:30am.
Trade entry:
Adjustments:
- Oct 31 - Sold 5 x 1080 to protect t+0 downside risk
- Nov 1 - Sold 5 x 1070 to protect t+0 downside risk
- Nov 4 - Sold 5 x 1110 to protect t+0 upside risk
- Nov 6 - Sold 3 x 1060 to protect t+0 downside risk
- Nov 7 - Rolled BF down 40 pts b/c can't keep DELTA and VEGA negative
- Nov 8 - Sold 10 x 1060 to reduce - DELTA outside tent
- Oct 25 - There was a volatility hit which resulted in market makers taking the price out of my butterflies. As a result my absolute loss (ABS Loss) was increase to -$4000
- As a result of an increase in ABS Loss, my threshold when assessing t+0 line will be $1500 - $1800
- Sold 5 x 1060 to protect t+0 upside risk
- Nov 15 - Sold 5 x 1070 to increase - VEGA
- Nov 21 - Rolled the BF up 40 pts b/c can't keep VEGA and DELTA negative
- Nov 22 - Sold 10 x 1110 to reduce - DELTA inside edge of tent
- Nov 25 - Sold 4 x 1120 to protect t+0 upside risk
- Nov 26 - Sold 6 x 1120 to control - DELTA outside tent
- Dec 3 - Sold 5 x 1110 to protect t+0 downside risk
- Dec 6 - Sold 5 x 1120 to reduce - DELTA inside edge of tent
- Dec 11- 9 DTE left exited this trade for a slight profit + $315 < In a real trade I probably would have taken profits here.
Continued to trade this to 7 DTE
- Dec 12 - Sold 10 x 1100 to reduce + DELTA inside tent
- Dec 13 - Sold 10 x 1110 to reduce - DELTA inside tent
- Dec 14 - 7 DTE and exited the trade for a slight profit of + $975
