Friday 24 April 2015

Backtesting 2015 - April 24, 2015 Entry

On April 24, 2015 the market was hitting slight resistance at 1275 and Average IV was 13.6% at the time of entry around 10:30am.



Trade entry:



Risk graph:


Adjustments:

  • Apr 27 – Bought 5 x 1250 and Sold 5 x 1240 Put Verticals to protect t+0 downside risk
  • Apr 30 - RUT dropped 26.40 pts down and I decided to roll the BF down 60 pts to control DELTA
    • There was a sharp down move of -26.40 pts, this volatility hit 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 - $2000
  • May 15 - Bought 10 x 1190 and Sold 10 x 1200 Put Verticals to control DELTA
  • May 18 - Rolled the BF up 40 pts b/c I couldn't keep VEGA and DELTA negative
  • May 20 - Bought 5 x 1240 and Sold 5 x 1250 Put Verticals to protect t+0 upside risk
  • May 26 - Bought 5 x 1240 and Sold 5 x 1220 Put Verticals to protect t+0 downside risk
    • Was this a good adjustment?
  • May 27 - Bought 3 x 1220 and Sold 3 x 1250 Put Verticals to protect t+0 upside risk
  • Jun 3 - Bought 2 x 1220 and Sold 2 x 1260 Put Verticals to protect t+0 upside risk
  • Jun 9 - Exited at Max Profit of +$2633



Video Recap of Trade