Account: Blog backtesting 2016
On Jan 22, 2016 the market was up and Average IV was 24.1% at the time of entry around 10:30am.
Trade entry:
Adjustments:
- Feb 8 - Rolled BF down b/c of a two days of down moves and controlling DELTA
- Feb 11 - Sold 10 x 930 to control DELTA inside tent
- Feb 17 - Sold 5 x 950 & 5 x 960 to control VEGA outside tent
- Feb 22 - Rolled BF up b/c can't keep DELTA and VEGA negative and RUT is 31 pts above upper wing
- Feb 24 - Sold 7 x 1000 to protect t+0 upside
- Feb 26 - Sold 3 x 1000 to proteect t+0 upside
- Feb 29 - Sold 5 x 1010 to control DELTA outside tent and upside t+0 risk
- Mar 1 - Sold 5 x 1010 to control VEGA
- Mar 2 - Rolled BF up, can't keep DELTA and VEGA negative
- Mar 3 - Sold 5 x 1060 to control DELTA
- Mar 10 - Sold 4 x 1060 to control DELTA
- Mar 11 - Exited the trade 7 DTE at a loss - $413