Friday 21 August 2015

Backtesting 2015 - Aug 21, 2015 Entry

On August 21, 2015 the market gapped down and Average IV was 22.0% at the time of entry around 10:30am.



Trade entry:



Risk graph:



Adjustments:

  • Aug 24 – That was a sharp down move of -46.60 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
    • Bought 5 x 1120 and Sold 5 x 1110 Put Verticals to protect my t+0 downside risk
  • Sep 11 - Bought 5 x 1110 and Sold 5 x 1140 Put Verticals to protect my t+0 upside risk, my t+0 was starting to sag and I decided to flatten it out
  • Sep 23 - Exited at Max Profit of +$2825

Video Recap of Trade